We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

There is, among the economist ecosystem, the idea of virtuous public spending as a form of promotion of economic growth. If we think on the way GDP is measured, it is not possible to get that conclusion because it becomes circular: measuring the money flow obviously will detect directly the...

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set...

We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge their future commodity price uncertainty. On the other hand, speculators invest in these contracts...

Credit estimation and bankruptcy prediction methods have been utilizing Altman's $z$ score method for the last several years. It is reported in many studies that $z$ score is sensitive to changes in accounting figures. Researches have proposed different variations to conventional $z$ score that...

A fundamental problem in studying and modeling economic and financial systems is represented by privacy issues, which put severe limitations on the amount of accessible information. Here we introduce a novel, highly nontrivial method to reconstruct the structural properties of complex weighted...

We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information that can be accessed and, as a consequence, the...

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This expansion applies to both small and large maturities...

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an...