The dynamics of nominal bond yields and the stock index are modelled within a continuous-time general equilibrium economy. Closed-form solutions are provided for both the term structure of nominal interest rates and the equilibrium value of the stock index where the value of the stock index is...

The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (log‐) commodity prices are modeled as a sum of a deterministic seasonal component, a non‐stationary...

The conceptual framework for understanding the logical Internet is based on the construction of a horizontal, layered architecture, which differentiates between physical-, data link-, network-, transport-, and application layers (1). This is different from the telecommunication networks model...

We consider the optimal asset allocation choice of an investor who can invest in <p> cash (a money market bank account), nominal bonds, and stocks (the stock index). <p> The investor faces an incomplete market setting and is not able to perfectly hedge <p> long run real interest rate risk using the...</p></p></p>

The stochastic behavior of agricultural commodity prices is investigated using ob- <p> servations of the term structures of futures prices over time. The continuous time <p> dynamics of (log-) commodity prices are modeled as a sum of a deterministic sea- <p> sonal component, a non-stationary...</p></p></p>

We study the consumption and investment choice of a time-additive power utility <p> investor and demonstrate how theinvestor should optimally hedge changes in the op- <p> portunity set. The investor is allowed to invest in stocks and interest rate dependent <p> assets in a continuous-time dynamically...</p></p></p>

This paper sets up and estimates a continuous-time stochastic volatility model using <p> panel data of soybean futures and options in an integrated time-series study. The <p> model of commodity price dynamics is within the class of affine asset pricing models, <p> and option prices are determined using a...</p></p></p>