This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial...

In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia. While exact solutions to problems of evaluating both European and American call options...

This contribution deals with options on assets which pay discrete dividends. We analyze some methodologies to extract information on dividends from observable option prices. Implied dividends can be computed using a modified version of the well known put-call parity relationship. This technique...

In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial...

Zhan and Friedman (2007) study double auctions where buyers and sellers are constrained to using simple markdown and markup rules. In spite of the alleged symmetry in roles and assumptions, buyers are shown to have the upper hand both in the call market and in the continuous double auction. We...

Investors in mutual funds appear to reward disproportionately the best performing funds with large inflows while, at the same time, avoid to withdraw similar amounts from the poorly managed funds. We show that this peculiar flat-convex shape of the flow-performance curve for mutual funds can be...

To test for the adaptive optimization of risk attitudes, we use a simple model of preferences among lotteries, where agents evolve with a Genetic Algorithm. We find that the genetic selection operator are fundamental in determining the outcomes of the simulations, along with the possibility of...

Market segmentation is a fundamental topic of marketing theory and practice. We bring some market segmentation concepts into the statement of an advertising and production problem for a seasonal product with Nerlove-Arrow's linear goodwill dynamics, along the lines of some analyses concerning...

In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of...