Recent discussions on the volatility of agricultural prices have been drawing on factors as low short term elasticities of supply and demand, climatic risk, market uncertainty, central banks monetary policies, trade barriers, biofuel development and, finally, speculation. Much debate has aroused...

Arrow-Debreu state preference approach to derivatives pricing is embedded into decision theoretical framework. Derivatives prices are considered as decision variables. Axiomatic decision theory, concerned with the attitude toward uncertainty and existence of closed in *-weak topology sets of...

Arrow-Debreu state preference approach to derivatives pricing is embedded into decision theoretical framework. Derivatives prices are considered as decision variables. Axiomatic decision theory, concerned with the attitude toward uncertainty and existence of closed in *-weak topology sets of...

Closed sets of finitely-additive probabilities are statistical laws of statistically unstable random phenomena. Decision theory, adapted to such random phenomena, is applied to the problem of valuation of European options. Embedding of the Arrow-Debreu state preference approach to options...

This paper identifies two distinct types of payoff kinks that can be exhibited by preference functions over monetary lotteries - "locally separable" vs. "locally nonseparable" - and illustrates their relationship to the payoff and probability derivatives of such functions. Expected utility and...

Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic,...