In this paper, we develop methods for hedging financial instruments through stochastic optimization. We first concentrate on the proper formulation of such problems. Indeed one may consider artibrage-free prices, which are theoretical prices consistent with a model of the risk factors in the...

In this paper we shall construct two classes of single-sector stochastic models of economics with perfect competition. The first one is created by inclusion of the stochastic evolution of exogenous variables into the well known deterministic model. The perfect competition requires maximization...

We consider the design of C++ classes for abstract data types that are useful in scientific computing, such as vectors and matrices that appear and disappear dynamically, have varying sizes, may be sparse, and that respond to the natural arithmetic operators. These classes should be memory-safe,...

To facilitate R&D investment, it is necessary to prove a validity of economic effects of the R&D investment. This paper examines the direct effect of R&D of electrical and electronic industries (EEI) on economic growth as well as the indirect effect via the development of technical and...

In this paper we investigate trade of CO emission permits in the framework of a competitive economic equilibrium. For this purpose we integrate well established regional models called Markal-Macro [Manne and Wene1992, Ahn1992] in one multi-regional CGE model. Emphasize is put on doing as few...

Taking into account the very limited ability of individuals to handle and process information (for given information-processing technology), some economists argue that the sequential regime of data processing has been replaced by parallel methods (in economic jargon: hiererchical or...

This paper describes a way of recording information on discrete states by means of a technique called key transformation. This involves recognising that, where N discrete states of a variable are observed T groups or periods, any particular combination of states and periods can be uniquely...

Some authors distinguish between ``earnings management and ``income smoothing. The former occurs when the manager reports a number different from ``actual earnings to shareholders without facing intertemporal restrictions on the discretionary amount that she reports. In contrast, income...

Fair and Jaffeen[Fair and Jaffee1972] considered the econometrics of models of markets which were not in equilibrium. The estimation of disequilibrium models has proved difficult. Because of this the model was chosen to be a member of a test suite of optimization problems by Dorsey and...