We investigate the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure. We also study completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jum...

Our paper demonstrates that aggregation operator characteristics count as a promising avenue for applied fuzzy set research. It is shown by means of two cases that these characteristics are particularly valuable as proxies for hard to measure domain knowledge within the fields of customer satisfaction and country-oforigin. More in detail, the uninorm’s neutral element could be identified as a u...

This paper presents a framework for the pricing of contingent claims based on the assumption that the underlying asset has a mixture of transformed normal distributions. Speci...cally, the framework presented (i) can deliver risk neutral contingent claim pricing formulae, (ii) widens the set of distributions used in the mixture by assuming that the terminal price of the underlying security has ...

R. Dalang, A. Morton and W. Willinger have proved a beautiful version of the Fundamental Theorem of Asset Pricing which pertains to the case of nite discrete time: In this case the absence of arbitrage opportunities already characterizes the existence of an equivalent martingale measure. The purpose of this paper is to give an elementary proof of this important theorem which relies only on orth...

We analyze the aggregation problem without the assumption that individuals and society have fully determined and observable preferences. More precisely, we endow individuals and society with sets of possible von Neumann-Morgenstern utility functions over lotteries. We generalize the classical neutrality assumption to this setting and characterize the class of neutral social welfare function. Th...

The complexity of financial products significantly increased in the past ten years. In this paper we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1,1) processes and it involves to model the dependency among the assets using a copula based on pair-c...

In this paper, we provide a re-examination of the exchange rate exposure and foreign currency derivative use by Australian resources firms in the 2006–2009 period which is characterized by increased volatility caused by the global financial crisis. In particular, we consider the interaction of a resources firm’s exchange rate risk exposures, foreign currency derivative use and the global financ...

The paper studies the benchmark approach for pricing and hedging in incomplete markets where the investor has to filter the incomplete information. We consider a jump diffusion Markov modulated market model and derive the growth optimal portfolio (GOP), by using the stochastic control method. Using GOP, we price and hedge European options where the existence of the equivalent martingale measure...

Several automatic phonetic alignment tools have been proposed in the literature. They generally use speaker-independent acoustic models of the language to align new corpora. The problem is that the range of provided models is limited. It does not cover all languages and speaking styles (spontaneous, expressive, etc.). This study investigates the possibility of directly training the statistical ...

We study the optimal investment and consumption problem of a CRRA investor when the drift and volatility of the stock are driven by a correlated factor. The myopic and non-myopic components of the optimal portfolio process are characterized in terms of the market price of traded and non-traded risk of the minimax martingale measure. We find that the optimal policies depend crucially on the natu...