The principle that revisions to the expectation of a security’s value should be unforecastable identifies this expectation as a martingale. When price changes can plausibly be assumed covariance stationary, this in turn motivates interest in the random walk. In the presence of the market frictions featured in many microstructure models, however, this expectation does not invariably coincide wit...

Numerous microscopic models [1] for price fluctuations on stock or currency markets have been invented within the last decade [2, 3] in the physics literature. An alternative are more phenomenological differential equations for the price itself [4, 5, 6, 7, 8], with some noise as in Langevin equations. The present note follows Sornette and Ide [5] but uses a complex instead of a real variable. ...

eremurus and forage are main by-products in the khazangah rangelands of makoo region. eremurus is harvested and used by local people in a period of 30 days during the spring in this region. at this study, eremurus and forage have been evaluated financially and the data were obtained through field work using unstructured interviews as well as direct observation. the harvested eremurus value was ...

This paper explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventor...

Tree methods are amongst the most popular numerical methods to price financial derivatives. They are mathematically speaking easy to understand and they do not require severe implmentation skills to obtain algorithms to price financial derivatives. Tree methods basically consist in approximating the diffusion process modeling the underlying asset price by a discrete random walk. In fact, the pr...

In a recent paper Longstaff & Schwartz (2001) suggest a method to American option valuation based on simulation. The method is termed the Least Squares Monte-Carlo (LSM) method, and although it has become widely used not much is known about the properties of the estimator. This paper corrects this shortcoming using theory from the literature on seminonparametric series estimators. A central par...

this paper presents an oil price cartel model. the aggregate reaction functions for non-cartel producers and for substitute suppliers are included. the former group acts as a price-taker, while the latter expects oil prices in production of its non-oil energy resources. this expectation about prices affects a cartel’s oil demand and, thus, gives intertemporal price elasticities it turns out tha...

The present study has made an attempt to discuss the effects of exchange rate volatility and price expectation on maize imports in Iran from 1980 to 2013. In doing so, using the EGARCH technique for time series econometrics, price volatility variables for both exchange rate and final price have been calculated, and the time series for these variables have been extracted. Additionally, in regard...

| There exists a huge demand for multi-media goods and services on the Internet. In this paper, we develop an analytical framework to price such services in the Internet. As a rst step, we consider a system where a server handles requests for a service on a First-Come-First-Served (FCFS) basis. We develop a model where customers can refuse the service based on their capacity to pay and their wi...