This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan and Kucera (1999), which we extend to allow for Poisson jumps, in the...

This paper considers a discrete-time model of a financial market with one risky asset and one risk-free asset, where the asset price and wealth dynamics is determined by the interaction of two groups of agents, fundamentalists and trend extrapolators. In each period each group allocates its...

Recently, Campbell and Viceira (2002) have introduced a framework that allows for dynamic decisions in asset allocation. This paper follows up their work by showing how uncertainties and expectations may affect consumption and portfolio decisions in an intertemporal dynamic framework. We use the...

The methods of various moving average rules remain popular with financial market practitioners. These rules have recently become the focus of empirical studies. However there seem to have been very few studies on the analysis of the type of financial market dynamics resulting from the fact that...