We use additive processes to price options on the Standard and Poor’s 500 index SPX for the sake of comparison of pricing performance across both model class and family of time-one distribution. Each of the additive processes in this study is defined using one of the following: subordination, Sato’s 2002 construction of self-similar additive processes from self-decomposable distributions, or bo...

BACKGROUND 2,6-dimethylphenol (2,6-DMP) is a product of phenol methylation, especially important for the plastics industry. The process of phenol methylation in the gas phase is strongly exothermic. In order to ensure good temperature equalization in the catalyst bed, the process was carried out using a catalyst in the form of a fluidized bed - in particular, the commercial iron-chromium cataly...

This article considers an economy where risk is insurable, but selection determines the pool of individuals who take it up. First, we demonstrate that the comparative statics of these economies do not necessarily depend on its marginal selection (adverse versus favorable), but rather other characteristics. We then use repeated cross-sections of medical expenditures in the U.S. to understand the...

We build a New Keynesian model of the business cycle with sticky prices and real wage rigidities motivated by efficiency wages of the gift exchange variety. Compared to a standard sticky price model, our Fair Wage model provides an explanation for structural unemployment and generates more plausible labor market dynamics — notably accounting for the low correlation between wages and employment....

The inclusion of spatial correlation of house price in hedonic pricing model may produce better marginal implicit price estimate(s) of the environmental variable(s) of interest. Most applications where a spatial econometric model is applied to the estimation of a hedonic property value model have used either a spatial lag model or a spatial autoregressive (SAR) error model. Incorrect spatial sp...

We consider a Mirrleesian model of optimal income taxation with endogenous product prices. Given endogenous prices, any redistribution of income in the economy affects social welfare not only directly, but also through its influence on the level of product prices. To correct for this price externality, the optimal income tax schedule includes a new Pigouvian term. For competitive markets with i...

The model shows how a regulated monopolist’s price should change as random cost and demand parameters are revealed. The regulator has a Ramsey-type problem. With a linear tariff a trade-off between allocative efficiency and risk sharing typically exists. The attitudes of the consumer and the firm to both income and price risk determine how the price should move. Sufficient conditions are found ...

BACKGROUND Disease Management Programmes (DMPs) aim to improve effectiveness and equity of care but may suffer from selective enrolment. We analysed social disparities in DMP enrolment among elderly patients with coronary heart disease (CHD) in Germany, taking into account contextual effects at municipality and primary care practice levels. METHODS Cross-sectional analysis of effects of educa...

The Ames assay was used to investigate the mutagenicity of several phthalate esters as an approximation of their carcinogenic potential. The ortho diesters, dimethyl phthalate (DMP) and diethyl phthalate (DEP) produced a positive dose-related mutagenic response with Salmonella TA100, but only in the absence of S-9 liver enzymes. Dibutyl, di(2-ethylhexyl), mono(2-ethylhexyl), and butyl benzyl ph...

a r t i c l e i n f o Keywords: Hurst exponent Nonlinear dynamics Chaos Offer behavior Locational marginal price (LMP) In electricity markets where supply and demand drives the price for the purchase and sale of electricity, generating firms change capacity for various reasons including load level, policy, and varying market conditions. These types of fluctuating production patterns can result ...