Monte Carlo simulation is a widely used tool in finance for computing the prices of options as well as their price sensitivities, which are known as Greeks. The disadvantage of the Monte Carlo simulation, in its standard form, is its slow convergence rate. In the first part of this thesis, we review several methods that they have been proposed, in order to improve the convergence rate of Monte ...

Major studios typically launch fewer than twenty motion pictures per year, so the financial performance of a single movie release can have a major effect on the studio’s profitability. The Efficient Capital Markets hypothesis posits that the stock market would recognize such an impact. In this paper we study how single movie releases impact the investor valuation of the distributor. We analyze ...

Abstract Analyses and aggregations of the ratings that wine critics judges assign to wines are made difficult by stochastic error biases remain even when assessed blind price, label, capsule, closure. Stochastic is due partially random nature ratings. Cognitive omitted-variable anchoring, expectation, serial position, commercial, other factors. Differences in decanting, filtering, aeration, tem...

Firms have traditionally used price and advertising to signal product quality when consumers initially are not well-informed about qualities of competing sellers. In the last two decades, the Internet has made it more feasible for buyers to connect with new sellers and products which they cannot inspect before purchase. But the Internet also provides abundant external sources of information abo...

the notion of a $d$-poset was introduced in a connection withquantum mechanical models. in this paper, we introduce theconditional expectation of  random variables on thek^{o}pka's $d$-poset and prove the basic properties ofconditional expectation on this  structure.

This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their ‘beliefs’ in each period in a boundedly rational way, according to a ‘fitness measure’ such as past realized profits. Price fluctuations are thus driven by an evolutionary dynami...

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated ...

Previous research in the area of buyer strategies for choosing sellers in ecommerce markets has focused on frequent purchases. In this paper we present a reputation based buyer strategy for choosing sellers in a decentralized, open, uncertain, dynamic, and untrusted B2C ecommerce market for frequent and infrequent purchases. The buyer models the reputation of the seller after having purchased g...

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated ...

This work presents an asset pricing model of informed investors with constant absoluterisk aversion (CARA) utility functions who trade with liquidity investors when prices and dividends are normally distributed. Adopting a competitive rational expectation equilibrium perspective, we find that the model shows two types of unique linear equilibrium price: the informationally semi-strong efficient...