In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory...
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theor...
to Stochastic Calculus for Finance A New Didactic Approach With 6 Figures 123 Prof. Dr. Dieter Sondermann Department of Economics University of Bonn Adenauer Allee 24 53113 Bonn, Germany E-mail: sondermann@uni-bonn. de ISBN-10 3-540-34836-0 Springer Berlin Heidelberg New York ISBN-13 978-3-540-34836-8 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, speci?cally the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on micro?lm or in any other...
to Stochastic Calculus for Finance A New Didactic Approach With 6 Figures 123 Prof. Dr. Dieter Sondermann Department of Economics University of Bonn A...
In the context of sports leagues scheduling (SLS) several groups' interests must be taken into account. This book treats requirements for sport leagues schedules to be realizable from an operational and a security point of view, attractive for spectators and tv channels, and fair for the conampeting teams. Formal problem definitions as well as integer programming models are presented and analyzed. Additionally, several fairness concepts are developed and their operability is investigated by means of graph theory. Moreover, this book presents algorithmic concepts that can be drawn upon to...
In the context of sports leagues scheduling (SLS) several groups' interests must be taken into account. This book treats requirements for sport lea...
Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the ?nancial markets, for instance, the fuzzy set theory Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems,...
Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - p...
Pensionomics puts forward a portfolio perspective on the combination of funded and unfunded pension arrangements. In a second-best type argument it is formally shown that a Pay-As-You-Go pension system can substitute the tradability of human capital: if risk-averse investors were able to directly invest into the present value of future labour income, they would allocate their pension portfolios in both human and physical capital. While this ideal form of diversification can not be implemented due to the imperfection of capital markets, one can design a typical Pay-As-You-Go system in such...
Pensionomics puts forward a portfolio perspective on the combination of funded and unfunded pension arrangements. In a second-best type argument it...
MOPGP is an international conference series devoted to multi-objective p- gramming and goal programming (MOP/GP). This conference brings together researchers and practitioners from different disciplines of Computer Science, Operational Research, Optimisation Engineering, Mathematical Programming and Multi-criteria Decision Analysis. Theoretical results and algorithmic developments in the ?eld of MOP and GP are covered, including practice and applications of MOP/GP in real-life situations. The MOP/GP international conferences are organised in a biennial cycle. The previous editions were held...
MOPGP is an international conference series devoted to multi-objective p- gramming and goal programming (MOP/GP). This conference brings together rese...
A recent line of research in environmental and resource economics deals with the analysis of the so-called product-related environmental policy, i.e. the regulation of certain product characteristics which are mainly determined by producers and which influence the impact of consumption goods on the environment. In this line of literature, only little attention has been paid to the role of product durability. The present study aims at filling this gap. It investigates the relationship between (built-in) product durability, production emissions, solid consumption waste and recycling. The...
A recent line of research in environmental and resource economics deals with the analysis of the so-called product-related environmental policy, i....
Consisting of three models on various aspects of standardization and expectations, this book aims at deepening our understanding of how standards and expectations interact. The models are applied to problems such as "Inter-Technology vs. Intra-Technology Competition" and "Standardization of Nascent Technologies".
Consisting of three models on various aspects of standardization and expectations, this book aims at deepening our understanding of how standards and ...
Closed loops depict supply chains for which Original Equipement Manufacturer reintegrate their returned products into their own production network. While the reverse logistics research has extensively addressed the technical aspects of product reintegration, very few insights are available on whether OEMs should commit themselves to a closed-loop. The structure of the monograph is aligned to the decision-making process of Original Equipment Manufacturers willing to investigate the potential of closed-loops. This decision-making process is structured around fundamental questions managers...
Closed loops depict supply chains for which Original Equipement Manufacturer reintegrate their returned products into their own production network....
Economic Systems exhibit complex dynamics evidenced by large-amplitude and aperiodic fluctuations in economic variables, such as foreign exchange rates and stock market prices, indicating that these systems are driven far from the equilibrium. Characterization of the complex behavior of economic cycles, by identifying regular and irregular patterns and regime switching in economic time series, is the key for pattern recognition and forecasting of economic cycles. Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time...
Economic Systems exhibit complex dynamics evidenced by large-amplitude and aperiodic fluctuations in economic variables, such as foreign exchange rate...
