This paper provides a concise guide to dynamic optimization with an integral treatment on various optimal control and dynamic programming problems. It presents essential theorems and methods for obtaining and characterizing solutions to these problems. The paper discusses Pontryagin's maximum...

The sum of a supermodular function, assumed nondecreasing in the choice variable, and of a 'concavely supermodularizable' function, assumed nonincreasing in the parameter variable, satisfies the Milgrom- Shannon (1994, Monotone comparative statics, Econometrica 62, 157-180) single crossing...

Under certain conditions on the excess demand function, it is shown that the set of equilibrium prices coincides with the set of maximizers of a potential function. Therefore, monotone comparative statics techniques can be employed to study how equilibrium prices change when there are shocks to...

The aim of this paper is to provide a new straightforward \textit{measure-free} methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which...

We consider the solution of bound constrained optimization problems, where we assume that the evaluation of the objective function is costly, its derivatives are unavailable and the use of exact derivative-free algorithms may imply a too large computational burden. There is plenty of real...

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Where is the most likely position for the last success in n events, if each event has the same probability Pr(A)? What is the probability for the last success? This situation assumes returning successes which is different to the stop waiting problem where a single best event is assumed. We set...

In this paper the stop-waiting strategy of Franz Bruss is set into a simple probabilistic framework and applied to the apple share prices from 1984 to 2013. Within the probabilistic framework a heuristic and a mathematical decision rule using the $\Psi$ function is developed. The results are in...

We develop a methodology for studying large deviations type questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...