A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
A dynamic model of advertising competition: an empirical analysis of feedback strategies
A general version of the fundamental theorem of asset pricing.
A maximum principle approach to risk indifference pricing with partial information.
A natural characterization of nonlinear cost rules
We prove a new characterization of cost rules based on the relationship between the classes of unambiguous and nonwasteful assets in incomplete frictionless markets.
A note on a class of equilibrium problems with equilibrium constraints
The paper concerns a two-level hierarchical game, where the players on each level behave noncooperatively. In this way one can model eg an oligopolistic market with several large and several small firms. We derive two types of necessary conditions for a solution of this game and discuss briefly the possibilities of its computation.
A Partial Backlogging Inventory Model for Non-Instantaneous Deteriorating Items With Stock-Dependent Consumption Rate Under Inflation
A priori error estimates for reduced order models in finance
Mathematical models for option pricing often result in partial differential equations. Recent enhancements are models driven by Lévy processes, which lead to a partial differential equation with an additional integral term. In the context of model calibration, these partial integro differential equations need to be solved quite frequently. To reduce the computational cost the implementation of a reduced order model has shown to be very successful numerically. In this paper we give a priori error...
Alcuni problemi matematici legati alla gestione ottima di un portafoglio
In questa conferenza, vengono esposte le idee essenziali che stanno alla base del classico problema di gestire un portafoglio in modo da rendere massima l'utilità media. I metodi tipici del controllo stocastico sono confrontati con le idee della dualità convessa infinito-dimensionale.
An EOQ for Deteriorating Items Under Supplier Credits When Demand is Stock Dependent
An EPQ Model Under Cash Discount and Permissible Delay in Payments Derived Without Derivatives
Applications of the constant elasticity of substitutions functions.
Arbitrage and pricing in a general model with flows
We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...
Arbitrage in markets without shortselling with proportional transaction costs
We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.
Asset price dynamics in a financial market with fundamentalists and chartists.