We present several variants of a robust risk management strategy based on minimax for the writer of a European call option on a stock and show that it performs at least as well as the standard hedging strategy, delta hedging. When using the minimax strategy, the hedger specifies a worst case...

This paper was prepared for the conference ``Public Access to the Internet,'' JFK School of Government, May 26--27 , 1993. We describe some of the technology and costs relevant to pricing access to and usage of the Internet, and discuss the components of an efficient pricing structure. We...

This is a preliminary version of a paper prepared for the Tenth Michigan Public Utility Conference at Western Michigan University March 25--27, 1992. We describe the history, technology and cost structure of the Internet. We also describe a possible smart-market mechanism for pricing traffic on...

I examine the incentives for software providers to design appropriate user interfaces. There are two sorts of costs involved when one uses software: the fixed cost of learning to use a piece of software and the the variable cost of operating the software. For example menu driven software is easy...

This paper introduces random versions of successive approximations and multigrid algorithms for computing approximate solutions to a class of finite and infinite horizon Markovian decision problems (MDPs). We prove that these algorithms succeed in breaking the curse of dimensionality for a...

In this study, we present a new method, called a tensor method, for the computation of unconstrained Full-Information Maximum Likelihood (FIML) estimates. The new technique is based upon a fourth order approximation to the log-likelihood function, rather than the second order approximation used...

Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the...