Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law....
The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy...
View ArticleStudy of a model for the distribution of wealth. (arXiv:1407.7447v1 [nlin.AO])
An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us...
View ArticleNew analytic approach to address Put - Call parity violation due to discrete...
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported...
View ArticleEffective and simple VWAP option pricing model. (arXiv:1407.7315v1 [q-fin.PR])
Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be...
View ArticleGrid Integration Costs of Fluctuating Renewable Energy Sources....
The grid integration of intermittent Renewable Energy Sources (RES) causes costs for grid operators due to forecast uncertainty and the resulting production schedule mismatches. These so-called profile...
View ArticleWealth distribution of simple exchange models coupled with extremal dynamics....
Punctuated Equilibrium (PE) states that after long periods of evolutionary quiescence, species evolution can take place in short time intervals, where sudden differentiation makes new species emerge...
View ArticleSemiparametric Estimation of First-Price Auction Models. (arXiv:1407.7140v1...
We propose a semiparametric estimator within the class of indirect methods. Specifically, we model private valuations through a set of conditional moment restrictions. Our econometric model calls for a...
View ArticleMultivariate Self-Exciting Threshold Autoregressive Models with eXogenous...
This study defines a multivariate Self--Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditions for stationarity...
View ArticleUtility indifference pricing and hedging for structured contracts in energy...
In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach. In particular, we compute the buyer's price of such derivatives for an agent...
View ArticleConvex duality for stochastic singular control problems. (arXiv:1407.7717v1...
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random...
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