The authors’model of Internet pricing competition shows how differences in switching costs, increasing returns to scale, and discount rates between pure and hybrid etailers affected their choice of pricing objective. During the run-up of Internet stocks, differences in these determinants motivated pure e-tailers to build their customer base, whereas hybrid e-tailers leveraged their relationship...

Pricing and risk management for longevity risk has increasingly become a major challenge for life insurers and pension funds around the world. Risk transfer to financial markets, with their major capacity for efficient risk pooling, is an area of significant development for a successful longevity product market. The structuring and pricing of longevity risk using modern securitization methods, ...

As financial markets are volatile and rapidly changing, preciseness and agility in price evaluation and risk assessment in the portfolios are more important and decision support systems containing diverse financial products and pricing algorithms have been adopted to support those quantitative analysis tasks. To effectively use the financial DSS, the trader should be able to know which algorith...

F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

Costs associated with traffic externalities such as congestion, air pollution, noise, safety, etcetera are becoming unbearable. The Braess paradox shows that combating congestion by adding infrastructure may not improve traffic conditions, and geographical and/or financial constraints may not allow infrastructure expansion. Road pricing presents an alternative to combat traffic externalities. T...

This article shows that the one-state-variable interest-rate models of.There are an enormous number of derivative securities being traded in financial markets. And just define those securities that we shall be pricing. Definition.We present a model for pricing and hedging derivative securities and option portfolios in an. In this equation, the pricing volatility is selected dynamically from.Bec...

Options pricing model parameters are inherently imprecise due to fluctuations in the real-world financial market. Traditional option pricing methods do not account for the uncertainty in parameters, but the fuzzy set theory may be applicable. This paper proposes a cash-or-nothing European call binary option pricing model based on the hypothesis that the underlying asset price, risk-free rate of...

Financial leasing is a financial innovation product with and financing functions. The research on the theory of risk pricing methods should be highly valued. Rent set based total revenue lessor cost lessee. factors that affect include project costs, security deposits, fees, lease terms, revenue, interest rates, etc. Using principle net present value to elaborate components leases constructing m...

Abstract We consider the problem of pricing in financial markets when agents do not have access to full information. The particular problem concerns the pricing of non traded or illiquid bonds on the basis of the observations of the yields of traded zero-coupon bonds. The approach being used gives an example of how stochastic filtering techniques, in particular the Kalman filter, can be usefull...