A standard hidden information model is considered to study the influence of the a priori productivity distribution on the optimal contract. A priori more productive (hazard rate dominant) agents work less, enjoy lower rents, but generate a higher expected surplus.

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

We introduce Bayesian estimation into the Tikhonov regularisation process for recovering functions of high bandwidth from noisy band-limited observations. The method allows for the incorporation of featural constraints and requires the global minimisation of a functional derived from damped...

We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities...

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...

We study chaotic functions that are exact solutions to nonlinear maps. A generalization of these functions (which cannot be expressed as a recursive procedure anymore) can produce truly random sequences. Even if the initial conditions are known exactly, the next values are in principle...

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...