The purpose of this paper is to present an application of a cach flow-based Contingent Claims Analysis (CCA) to equity valuation. The cach flow-based Contingent Claims Analysis is used to extend a traditional CCA toproblems with incomplete capital markets, overreacted markets of situations where...

We compare the random preference, Fechner, and constant error (or "tremble") approaches to the stochastic modelling of choice under risk. Various combinations of these approaches are used with expected utility and rank-dependent theory to generate a set of econometric models. These are estimated...

many models postulate a continuum of agents of finitely many different types who are repeatedly randomly matched in pairs to conform certain activities (e.g. play a game) which may in turn make their types change. The random matching process is usually left unspecified , and some law of large...

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...

Recent works on aggregate job flows in the US economy indicate that (i) specific sectoral shocks are important to account for aggregate job flows dynamics and that (ii) aggregate creation and destruction dynamics display significant non-linearities. This paper aims to study whether a simple...

A generalization of the endogenous threshold model is developed by extending this class to multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give conditions...

A common objective of social science and business research is the modeling of the relationship between demographic/psychographic characteristics of individuals and the likelihood of certain behaviors for these same individuals. Frequently, data on actual behavior are unavailable; rather, one has...

To clarify the impact of demand variability on single item stochastic inventory systems with setup costs, we subsume the distributional information of the lead time demand into its mean and variance and solve the resulting problem against the worst possible distribution in this class. For (Q, r)...

An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative....

A two-particle stochastic model of turbulent dispersion in the classical isotropic pseudoturbulence is suggested. The main idea is to describe the relative motion of two particles in small scales by a stochastic differential equation, while the dispersion in large scales is governed by the...