We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the...

We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the...

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different tail thickness. After a discussion of...

We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of finite-horizon profit maximization problem in a monopoly setting....

Stochastic control problems related to optimal advertising under uncertainty are considered. In particular, we determine the optimal strategies for the problem of maximizing the utility of goodwill at launch time and minimizing the disutility of a stream of advertising costs that extends until...

For purposes of Value-at-Risk estimation, we consider three multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different tail thickness. After a discussion of...

We investigate the main properties of high-frequency exchange rate data in the setting of stochastic subordination and stable modeling, focusing on heavy-tailedness and long memory, together with their dependence on the sampling period. We show that the the instrinsic time process exhibits...

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Levy noise. Conditions for the absence of arbitrage and for the existence of mild...

After briefly recalling the definition and main properties of stable laws, we discuss issues of parameters estimation and numerical methods for computer simulation of stable random variables. We overview the basic properties of stable processes, in particular of Levy and fractional stable...