Given a Heath–Jarrow–Morton (HJM) interest rate model $\mathcal{M}$ and a parametrized family of finite dimensional forward rate curves $\mathcal{G}$, this paper provides a technique for projecting the infinite dimensional forward rate curve rt given by $\mathcal{M}$ onto the finite...

In this paper we discuss a basic framework for a grid computing market. It has long been argued that pricing of computer resources can act as a scheduling protocol. We take this idea to its natural conclusion by discussing the basic properties of such a model. We introduce agents that own...

An equity market is called “diverse” if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Itô-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions...

We provide simple, easy-to-test criteria for the existence of relative arbitrage in equity markets. These criteria postulate essentially that the excess growth rate of the market portfolio, a positive quantity that can be estimated or even computed from a given market structure, be...