We apply the well-known CUSUM and the Girshick-Rubin algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Frankfurt mid-day auction prices. We select optimal pairs of fixed thresholds for up- and down-movements from a pre-defined two-dimensional...

[Statement of the problem] The present work considers the problem of investment portfolio risk estimation, including dynamic adjustment for each new transaction. Any Bank portfolio has a complex structure. It consists of stocks, bonds and a set of derivative securities. A portion of bonds and...

In this paper we study a hedging problem for European options taking into account the presence of transaction costs. In incomplete markets, i.e. markets without classical restriction, there exists a unique martingale measure. Our approach is based on the Föllmer-Schweizer-Sondermann concept of...

[Einführung] Die Erhaltungsgesetze sind bedeutende Gesetzmäßigkeiten in der Warteschlangentheorie (oder Bedienungstheorie) [4], [5]. Sie stellen eine invariante Gleichung in der breiten Klasse der Abfertigungsdisziplinen dar. Die Abfertigungsdisziplinen sind die Regeln, welche die Reihenfolge...

This paper introduces mathematical models to capture the spreading of epidemics to explain the expansion of mortgage default events in the United States. Here we use the state of infectiousness and death to represent the subsequent steps of payment delinquency and default, respectively. Since...

We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of...