In the analysis of time series of blackouts a powerlaw dependency of blackout size with respect to frequency hasbeen observed. It has been hypothesized that this behaviour is theresult of the power system operating near critical points. Modelshave been created in order to analyze this type of...

Includes bibliographical references (leaf [12]).

ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...

В статье рассматриваются проблемы повышения конкурентоспособности предпринимательства на основе применения проектного метода, применения математических...

The study aims to create an integrated framework of analysis allowing the optimization of government decisions to intervene in case of a major terrorist attack for limiting the consequences and restoring order and functionality, based on a set of specific models. This initiative is due to the...

A consumption-based asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual...

This survey examines the history and current practice in integrated assessment models (IAMs) of the economics of climate change. It begins with a review of the emerging problem of climate change. The next section provides a brief sketch of the rise of IAMs in the 1970s and beyond. The subsequent...

This paper is motivated by the observation that intermediaries play an important role in international trade. The matching role of intermediaries is examined in a pairwise matching model with two-sided information asymmetry, where intermediaries develop contacts. Intermediation expands the set...

Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This conversely implies that forecastability is higher in the preceding era, when the economy was unexpectedly volatile. We offer an explanation for this phenomenon in the context of...