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A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
model-insensitive First-hitting-time densities Application Equity default-swaps
2010/10/18
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable re...
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...
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...
Foreign Enclaves, Informal Sector and Urban Unemployment in Efficiency-Wage Model
foreign enclave informal sector urban unemployment efficiency-wage
2010/12/7
We consider a small open Harris-Todaro (1970) economy with a rural foreign enclave and urban informal sector. We introduce consumption-efficiency relation to explain the simultaneous existence of info...