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The current paper explores the cutting-edge applications of quantum field theory and quantum information theory … mathematical modelling of asset or option prices and firm theory. The paper then provides a brief discussion into a possible … extension of the extant literature of quantum-like modelling based on scattering theory and statistical field theory. A …
Persistent link: https://www.econbiz.de/10011991243
This article explores the effectiveness of applying a new multidimensional graphical method to the teaching and learning of economics. In essence, the paper extends the significance of multi-dimensional graphs to study any economic phenomenon from a multidimensional perspective. The paper...
Persistent link: https://www.econbiz.de/10010436013
– game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10010296819
relation to pure theory than was previously the case. Discussing new types of applied work, the changing context of applied …
Persistent link: https://www.econbiz.de/10011592234
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10010274147
has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical …
Persistent link: https://www.econbiz.de/10011604982
Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous benchmark is used to derive efficient portfolios and to...
Persistent link: https://www.econbiz.de/10010398109
Using bilateral data on international equity and bond flows, we find that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised...
Persistent link: https://www.econbiz.de/10011604724
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...
Persistent link: https://www.econbiz.de/10010324061
Persistent link: https://www.econbiz.de/10010324093