The indifference valuation problem in incomplete binomial models is analyzed. The model is general in that the stochastic factor which generates the marlet incompleteness may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and minimal entropy measures. ...

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underl...

Managers responsible for capital investment decision making need valuation models that can navigate both corporate finance and competitive strategy to generate well-grounded prices. Real options provide the firm with flexibility to adapt to changes in its environment. The dynamic nature of real options in the new economy makes them more difficult to price than stock options. Since real options ...

A fast and accurate method for pricing early exercise and certain exotic options in computational finance is presented. The method is based on a quadrature technique and relies heavily on Fourier transformations. The main idea is to reformulate the well-known risk-neutral valuation formula by recognising that it is a convolution. The resulting convolution is dealt with numerically by using the ...

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuation of the asset decreases with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that followed the work by Harrison and Kreps, investors are risk-neutra...

in future, soil erosion will be a great challenge for biosphere. if the soils today are notprotected carefully hunger crises all over the world will be widespread. the present article endeavorsto survey soil erosion process and approaches to prevent it. furthermore the article tries to review therelation between soil character and soil production capability shedding light on the effect of erosi...

The widely used short-term debt such as overnight repos and commercial paper is regarded as one of the main sources of instability leading to the distress of many …nancial institutions during the …nancial crisis of 2007-2008. What explains the popularity of shortterm debt in …nancing asset market investments? Geanakoplos (2010) presents a dynamic model of the joint equilibrium of asset markets ...