In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has different equilibrium distributions depending on the form of transition probabilities. In the...

In many firms the pricing and inventory control functions are separated. However, a number of theoretical models suggest a joint determination of inventory levels and prices, as prices also affect stocking risks. In this work, we address the problem of simultaneously determining a pricing and...

In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has di¤erent equilibrium distributions depending on the form of transition probabilities. In the...

This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the...

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...