<title>A<sc>bstract</sc></title>Local volatility models are popular as they can be calibrated to the market of European options by the simple Dupire formula. For such a model, we propose a modified Leland method which allows to approximately replicate a European contingent claim when the market is under proportional...

The authors investigate the problem of reliable unicast transmissions in wireless ad hoc and WLAN/WiMAX networks. Currently, approaches using network coding show several-fold gain in terms of bandwidth efficiency over the traditional technique, “store and forward”. However, most of these...

This paper examines whether test results characterizing per capita output as either trend or difference stationary are sensitive to whether output is valued in domestic currency terms, or in some international numeraire, such as the Summers-Heston international dollar. Using the conventional ADF...

When dealing with non linear trading costs, e.g. fixed costs, the usual tools from convex analysis are inadequate to characterize an absence of arbitrage opportunity as the mathematical model is no more convex. An unified approach is to describe a financial market model by a liquidation value...

We present a general financial market model defined by a liquidation value process. This approach generalizes the conic models of Schachermayer and Kabanov where the transaction costs are proportional to the exchanged volumes of traded assets. This allows to consider financial market models...

We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg....

Local volatility models are popular because they can be simply calibrated to the market of European options. For such models, we propose a modified Leland method which allows us to approximately replicate a European contingent claim when the market is under proportional transaction costs. The...

The pandemic has caused significant disruptions to business activities with serious adverse effects on small businesses. The frantic effort to curtail the human-to-human transmission of the virus led to a lockdown of communities and the closing of businesses. In their efforts to remain viable,...