We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options...

The index of differential-algebraic equations is one measure for the numerical problems in electric circuit simulation. The index depends on the mathematical model in different ways: setup of equations, classical or charge-oriented formulation and modelling of basic elements and semiconductor...

In electrical circuit simulation, a refined network approach is used to describe secondary and parasitic effects. This ansatz yields initial-boundary value problems of mixed partial-differential and differential-algebraic equations, so-called PDAE systems. One requirement for method-of-lines...

We analyze the general risk-neutral valuation for counterparty risk embedded in a Credit Default Swap (CDS) contract by adapting the recent findings of Brigo and Capponi (2009) to allow for simultaneous defaults among the two parties and the underlying reference credit, while the counterparty...

We present a model of opinion formation where individuals repeatedly engage in discussion and update their opinion in a social network similarly to the DeGroot model. Abstracting from the standard assumption that individuals always report their opinion truthfully, agents in our model interact...

We study the evolution of R&D networks in a Cournot model where firms may lower marginal costs due to bilateral R&D collaborations. Stochastically stable R&D networks exhibit the dominant group architecture, and, contrary to the existing literature, generically unique predictions about the size...