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Market models for CDOs driven by time-inhomogeneous Lévy processes
Market models CDOs driven time-inhomogeneous Lévy processes
2010/10/20
This paper considers a top-down approach for CDO valuation and proposes a market model. We extend previous research on this topic in two directions: on the one side, we use as driving process for the...
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Time and Risk Entrepreneurial Characteristics of Growth: The Case of Persisted Light Industrial Prototypes
Time Risk Entrepreneurship
2013/2/23
This article is about the role of entrepreneurial perception of time and risk vis à vis structural change and growth. Entrepreneurship is a basic constituent element of social capital which in turn is...
Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Point Processes Modeling Time Series Exhibiting Power-Law Statistics
2010/10/18
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activi...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of t...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
Optimal double stopping time
Optimal stopping optimal multiple stopping stopping times hitting times american options with double exercise time
2010/11/2
We consider the optimal double stopping time problem defined for each stopping time S by v(S) = ess sup{E[ ( 1, 2) |FS], 1, 2 S }. Following the optimal one stopping timeproblem, we study the exi...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
Forecasting with time-varying vector autoregressive models
time-varying vector autoregressive models
2010/12/13
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible ...
We show that a simple model of a spatially resolved evolving economic system, which has a steady state under simultaneous updating, shows stable oscillations in price when updated asynchronously. The...
Activity spectrum from waiting-time distribution
Activity spectrum waiting-time distribution
2010/12/13
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades...
Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
demand price viewed market agents
2010/12/13
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social ...
Characteristics of land market in Hungary at the time of the EU accession
land land market land policy land property land use
2014/3/20
The Agricultural Economics Research Institute has launched a research project with the aim to analyse the Hungarian land market and the changes occurred since the EU accession as well as to present th...