Similar Search Results

Transitional dynamics in the Uzawa-Lucas model of endogenous growth

Bethmann, Dirk (contributor); Reiß, Markus (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919298

American options, multi-armed bandits and optimal consumption plans : a unifying view

Bank, Peter (contributor); Föllmer, Hans (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917057

Notes on an endogenous growth model with two capital stocks i : the deterministic case

Bethmann, Dirk - 2002

This paper extends the class of AK models with an explicit solution to the case where there are two capital goods in the model. this extension holds, even if an external effect in the use of human capital in goods production ia assumed.

Persistent link: https://www.econbiz.de/10009626676

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...

Persistent link: https://www.econbiz.de/10009574876

Efficient hedging : cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - 1999

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...

Persistent link: https://www.econbiz.de/10009579176

Stationary equilibria in discounted stochastic games with weakly interacting players

Horst, Ulrich - 2002

We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz...

Persistent link: https://www.econbiz.de/10009627284

Using private job agencies : optimal screening or cream skimming?

Kübler, Dorothea - 1997

In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and an efficient private agency may lead to optimal screening with first best...

Persistent link: https://www.econbiz.de/10009658470

Tax clientele effects in the German bond market

Stehle, Richard; Jaschke, Stefan R.; Wernicke, Stefan - 1998

; duality theory ; term structure of interest rates ; smoothing splines ; tax clientele ; arbitrage bounds …

Persistent link: https://www.econbiz.de/10009574878

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any … forward rate curve if the third order parameters are chosen in a restrictive way. The higher order conditions on the term … valuation bounds under the linear higher order conditions on the term structure generalize arbitrage bounds and provide a …

Persistent link: https://www.econbiz.de/10009579185

Efficient hedging for a complete jump-diffusion model

Kirch, Michael; Krutchenko, R. N.; Melʹnikov, Aleksandr V. - 2002

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....

Persistent link: https://www.econbiz.de/10009621417