Pricing and revenue management: present and trends.
Pricing bonds and CDS in the model with rating migration induced by a Cox process
We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional Ornstein-Uhlenbeck...
Pricing equity-indexed annuities under stochastic interest rates using copulas.
Pricing exotic options under a high-order Markovian regime switching model.
Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach.
Pricing Polish three-year bonds in the HJM framework
We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
Pricing rules under asymmetric information
We consider an extension of the Kyle and Back's model [Back, Rev. Finance Stud.5 (1992) 387–409; Kyle, Econometrica35 (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable V which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function to...
Pricing variance swaps for stochastic volatilities with delay and jumps.
Principal-agent approach to environmental improvements policies
Successful solution to any environmental problem implies working with Knightian uncertainty that explicitly deals with decision making under conditions of unstructured randomness. A 'wild' type of randomness that we will never discern due to its unstable properties makes the assignment of corresponding probabilities impossible. For that reason, the consideration of general economical factors within cost/benefit analysis must fail. So, instead of governmental intervention and a cup and trade scheme,...
Priority ranking and minimal disagreement : a weak ordering model
Probabilistic and fuzzy panel modelling
Probabilistic comparison of weighted majority rules
This paper studies a bi-parametric family of decision rules, so-called restricted distinguished chairman rules, which contains several one-parameter classes of rules considered previously in the literature. Roughly speaking, these rules apply to a variety of situations where the original committee appoints a subcommittee. Moreover, the chairman of the subcommittee, who is supposed to be the most competent committee member, may have more voting power than other jurors. Under the assumption of exponentially...
Probabilistic methods for semilinear partial differential equations. Applications to finance
With the pioneering work of [Pardoux and Peng, Syst. Contr. Lett.14 (1990) 55–61; Pardoux and Peng, Lecture Notes in Control and Information Sciences176 (1992) 200–217]. We have at our disposal stochastic processes which solve the so-called backward stochastic differential equations. These processes provide us with a Feynman-Kac representation for the solutions of a class of nonlinear partial differential equations (PDEs) which appear in many applications in the field of Mathematical Finance....
Probabilistic properties of the continuous double auction
In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).
Probabilistic valuation of certain unit-linked contracts.
Problemas finitos de decisión con conocimiento cualitativo de la distribución a priori.
En lo que sigue, abordaremos problemas de decisión en ambiente de riesgo y con experimentación, en donde la distribución de probabilidad a priori sobre los estados de la Naturaleza no es perfectamente conocida, sino que solamente se posee una información cualitativa de la misma. Más concretamente, dados dos estados de la Naturaleza cualesquiera, se conoce a lo más, cuál de ellos es más probable que el otro, si bien no se tiene una idea cuantitativa de esta diferencia de probabilidades.
Problems of economic system optimization with quadratic criteria and monotone controls. Some algorithms for its numerical solution
Problems with classical models of sex-ratio evolution
The classical theory of the sex-ratio evolution, known as the sex-ratio game, is based on the maximization of the number of grandchildren, treated as a fitness measure of a female producing offspring of the sex ratio that is coded in her genes. The theory predicts that it is more profitable to produce offspring with less numerous sex. We can find in the literature mutually exclusive conclusions based on this prediction: some textbooks say that populations with the equal number of sons and daughters...
Procédure automatique d'examen de dossiers fondée sur une segmentation trichotomique en présence de critères multiples
Procesos de decisión de grupo con preferencias individuales difusas.