This article covers the implicit estimation of the parameters in the Jarrow/Turnbull (1995) default risk model. We demonstrate by means of a simulation analysis that joint estimation of the default intensity and the recovery rate by non-linear least squares is numerically unstable. Therefore, we...

As early as the 1980s, several European countries implemented tax systems with imputed equity interest provisions. Since its tax reform in 2000, Austria has also allowed the deduction of (fictitious) imputed equity interest from the tax base. This paper integrates the resulting tax benefits...

Let ⊂ be fields of characteristic 0, and let [] denote the ring of polynomials with coefficients in . Let , ≠ 0. For ∈ []\[], define (), the deficit of , to equal − max{0 ≤ ≤ : ∉ }. For ∈ [], define () = . Let and let , with ≠ 0, ≠ 0, , ∈ , ∉ for some ≥ 1. Suppose that...

We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how in this case the power forward prices do not exhibit spikes...

In this paper, we deal with the real stochastic difference equation Y = + , ∈ ℤ, where the sequence () is a finite state space Markov chain. By means of the renewal theory, we give a precise description of the situation where the tail of its stationary solution is polynomial

The Lerch family of three-parameter, discrete univariate distributions includes as special cases the well known Zipf, Zipf-Mandelbrot, and Good distributions that are used as models in ecology, linguistics, information science, and statistical physics. The Lerch distribution was originally...

We propose a new graph metric and study its properties. In contrast to the standard geodesic distance in connected graphs, it takes into account all paths between vertices. Simple formulas for the increments of forest distances under basic transformations of a weighted multigraph are presented...