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Cross-country analysis of efficiency and productivity in the biotech industry: an application of the generalized metafrontier Malmquist productivity index
asymmetry co-integration milk, price transmission VECM
2015/3/31
The paper provides insights into the price transmission of dairy sector in Slovakia and examined the nature of price adjustments and market efficiency along the vertical chain. The results were based ...
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Extension theorems for linear operators on $L_\infty$ and application to price systems
linear operators equivalent martingale measures price systems
2011/3/23
In an $L_\infty$-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then ...