This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...

We model the decision problems faced by the members of societies whose new members are determined by vote. We adopt a number of simplifying assumptions: the founders and the candidates are fixed; the society operates for k periods and holds elections at the beginning of each period; one vote is...

The XPRESS interior point optimizer is an “industrial strength” code for solution of large-scale sparse linear programs. The purpose of the present paper is to discuss how the XPRESS interior point optimizer has been parallelized for a Silicon Graphics multi processor computer. The ma jor...

The achievable region approach seeks solutions to stochastic optimisation problems by: (i) characterising the space of all possible performances (the achievable region) of the system of interest, and (ii) optimising the overall system-wide performance objective over this space. This is radically...