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Mario Lucertini (1999)
Bollettino dell'Unione Matematica Italiana
This paper presents a critical view on the use of optimization models in production environment. Distributed decision process based on the concepts of autonomous agents is introduced in the framework of a deterministic optimization model. The modeling problems and the underlying theoretical background are briefly discussed.
Lo, Ming-Cheng, Yang, Ming-Feng (2008)
Mathematical Problems in Engineering
Hannu Nurmi (1982)
Stochastica
This paper deals with two ways in which uncertainty notions enter social science models: 1) They can be used in an effort to make intelligible some phenomena that would otherwise be difficult to comprehend, or 2) They can be use to generalize or modify the domain of validity of some theoretical results.
Bischi, Gian Italo, Gardini, Laura, Merlone, Ugo (2009)
Discrete Dynamics in Nature and Society
Andreou, A.S., Zombanakis, G.A., Georgopoulus, E.F., Likothanassis, S.D. (2000)
Discrete Dynamics in Nature and Society
V. M. MARAKULIN (1999)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
Michał Barski (2015)
Banach Center Publications
The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.
M.ª Angeles Fernández Fernández (1986)
Trabajos de Investigación Operativa
Se estudia el problema de inversión en un mercado en donde las rentabilidades aleatorias de los títulos satisfacen una relación temporal con rentabilidades anteriores y las interrelaciones vendrán dadas a través de unos índices, uno común a todos los títulos y otro específico del sector en que pueda incluirse cada título.
M. Musiela, E. Sokolova, T. Zariphopoulou (2010)
MathematicS In Action
The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and the minimal entropy measures. We study in detail the interplay among the different kinds of...
Guriev, Sergei, Pospelov, Igor (1999)
Discrete Dynamics in Nature and Society
Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing a Sidrauski-type...
Franke, Günter, Lüders, Erik (2010)
Advances in Decision Sciences
Michał Barski (2012)
Applicationes Mathematicae
The risk minimizing problem in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and , with p > 1 for digital, quantos, outperformance and spread options are derived.
Chunshien Li, Tai-Wei Chiang (2012)
International Journal of Applied Mathematics and Computer Science
Financial investors often face an urgent need to predict the future. Accurate forecasting may allow investors to be aware of changes in financial markets in the future, so that they can reduce the risk of investment. In this paper, we present an intelligent computing paradigm, called the Complex Neuro-Fuzzy System (CNFS), applied to the problem of financial time series forecasting. The CNFS is an adaptive system, which is designed using Complex Fuzzy Sets (CFSs) whose membership functions are complex-valued...
Uzawa, Hirofumi (2002)
Discrete Dynamics in Nature and Society
Szidarovszky, Ferenc, Abdel Rahman Mostafa, Ibrahim (2003)
Southwest Journal of Pure and Applied Mathematics [electronic only]
Dragan Radojević (2005)
The Yugoslav Journal of Operations Research
Eliza Niewiadomska, Adam Grabowski (2013)
Formalized Mathematics
In the article the formal characterization of preference spaces [1] is given. As the preference relation is one of the very basic notions of mathematical economics [9], it prepares some ground for a more thorough formalization of consumer theory (although some work has already been done - see [17]). There was an attempt to formalize similar results in Mizar, but this work seems still unfinished [18]. There are many approaches to preferences in literature. We modelled them in a rather illustrative...
S. Ardanza-Trevijano, J. Arsuaga, J. A. Crespo, J. I. Extremiana, L. J. Hernández, M. T. Rivas, J. Roca, M. Vázquez (2007)
Gaceta de la Real Sociedad Matemática Española
Chun-Tao Chang, Yi-Ju Chen, Tzong-Ru Tsai, Shuo-Jye Wu (2010)
The Yugoslav Journal of Operations Research
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