This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normall...

The stock model and option pricing problem are central contents in modern finance. In this paper, generalized stock model for financial market is proposed and the European option pricing formula for the generalized stock model is computed.

We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

Option pricing is the the core content of modern finance. American option is widely accepted by investors for its flexibility of exercising time. In this paper, American option pricing formula is calculated for uncertain financial market and some mathematical properties of them are discussed. In addition, some examples are proposed. keywords: finance, uncertain process, option pricing

This work presents an adaptive profitable discriminatory pricing mechanism for cloud computing based on secure function decomposition, cryptographic commitments and zero knowledge proof. Cloud computing is an emerging trend of enterprise resource planning where a selling agent or service provider (S) wants to allocate a set of computational resources and related IT services optimally and fairly...

This simple question does not have a simple answer. The boundary of such an interdisciplinary area is always moot and any attempt to give a formal definition is unlikely to be successful. Broadly speaking, financial econometrics is to study quantitative problems arising from finance. It uses statistical techniques and economic theory to address a variety of problems from finance. These include ...

Article history: Received 29 August 2012 Received in revised form 21 May 2013 Accepted 6 August 2013 Available online 15 August 2013 We test the impact of idiosyncratic risk on stock returns for emerging markets that experience financial market liberalizations. Idiosyncratic risk is positively associated with returns prior to financial market liberalization, but liberalization diminishes this e...

Modern option pricing techniques are often considered among the most mathematically complex of all applied areas of financial engineering. In particular these techniques derive their impetus from four milestones of option pricing models: Bachelier model, Samuelson model, Black-Scholes-Merton model and Levy model. In this paper we evaluate all related option pricing models based on these milesto...

Sometimes you just have to clench your teeth and go for the differential matrix algebra. And the central limit theorems. Together with the maximum likelihood techniques. And the static mean variance portfolio theory. Not forgetting the dynamic asset pricing models. And these are just the tools you need before you can start making empirical inferences in financial economics.” So wrote Ruben Lee,...

The right pricing of products is one of the most important issues concerning the development of companies’ financial performance. Prices should be low enough to attract customers and at the same time high enough to cover all the emerged costs and expected profits. This research illustrates how self-organizing maps (SOM) can be used for pricing purposes. We show how changes in a company’s pricin...