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A simple model of mortality trends aiming at universality: Lee Carter + Cohort
mortality trends Lee Carter + Cohort universality
2010/4/27
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that ...
Sensitivity of the Performance of a Simple Exchange Model to its Topology
Simple Exchange Model Topology
2010/10/18
We study a simple exchange model in which price is fixed and the amount of a good transferred between actors depends only on the actors' respective budgets and the existence of a link between transact...
Explicit equilibria in a kinetic model of gambling
a kinetic model of gambling nonlinear kinetic equation
2010/10/18
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gamb...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/10/18
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the m...
A proof of a conjecture in the Cramér-Lundberg model with investments
conjecture Cramér-Lundberg model investments
2010/10/19
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By as...
An extension of Davis and Lo's contagion model
credit risk contagion model dependent defaults default distribution exchangeability
2010/10/29
firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described...
On refined volatility smile expansion in the Heston model
refined volatility expansion Heston model
2010/10/18
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...
Quantum Model of Bertrand Duopoly
Quantum Bertrand duopoly profit functions Nash equilibria
2010/10/18
We present the quantum model of Bertrand duopoly and study the entanglement behaviour on the profit functions of the firms. Using the concept of optimal response of each firm to the price of the oppon...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
A Security Price Volatile Trading Conditioning Model
Security Price Trading Conditioning Model
2010/10/18
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probabili...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model
2010/10/18
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Value-Adding Designs and the Efficiency Augmented Solow Growth Model
Value-Adding Designs Augmented Solow Growth Model
2009/11/30
Long-run welfare growth can be achieved only by using finite resources more
productively within an economy, but the mechanisms that will ensure this out-
come are less understood. Nevertheless, a g...