This paper discusses a new approach to contingent claim valuation in general incomplete market models. We determine the neutral derivative price which occurs if investors maximize their local utility and if derivative demand and supply are balanced. We also introduce the sensitivity process of a contingent claim. This process quantifies the reliability of the neutral derivative price and it can...

In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rat...

Consumers’ prior experiences shape an episodic memory which largely influences their decision-making process. This episodic memory is mainly linked to cognitive and emotional perception and we know that a brand image influences our cognitive and emotional perception. Nevertheless, it has not been well described how autobiographical memories of brand images differ from those of other types of im...

Abstract The fundamental theory of asset pricing has been developed under the two main assumptions that markets are frictionless and have no arbitrage opportunities. In this case market enforces replicable assets valued by a linear function their payoffs, or as discounted expectation with respect to so-called risk-neutral probability. Important evidence presence frictions in financial led study...

This paper develops and implements a methodology for pricing multivariate contingent claims (MVCC's) based on semiparametric estimation of the multivariate risk-neutral density function. This methodology generates MVCC prices which are consistent with current market prices of univariate contingent claims. This method allows for completely general marginal risk-neutral densities and is compatibl...

6 The available water in a catchment depends on where and when the water is taken. This raises 7 considerable man-made uncertainty in water availability. Partly due to this uncertainty, catchments are 8 over-allocated almost everywhere. The over-allocation problem could be managed more effectively if 9 catchment managers could match users’ rights to the available water. In this paper, I show ho...

It is not surprising to see that firms that have more socially responsible actions (“good” firms) are rewarded by a higher market return of 3% per calendar year compared to firms that do not engage in socially responsible or irresponsible actions (“neutral” firms). On the contrary, firms that are more socially irresponsible (“bad” firms) are not penalized by a negative return compared to “neutr...