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作者：Guasoni, P
作者单位：University of Pisa
摘要：We consider a general class of optimization problems in financial markets with incomplete information and transaction costs. Under a no-arbitrage condition strictly weaker than the existence of a martingale measure, and when asset prices are quasi-left-continuous processes, we show the existence of optimal strategies. Applications include maximization of expected utility, minimization of coherent risk measures and hedging of contingent claims.
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作者：Evans, SN; Steinsaltz, D
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Kauffman and Levin introduced a class of models for the evolution of hereditary systems which they called NK fitness landscapes. Inspired by spinglasses, these models have the attractive feature of being tunable, with regard to both overall size (through the parameter N) and connectivity (through K). There are N genes, each of which exists in two possible alleles [leading to a system indexed by {0, 1}(N)]; the fitness score of an allele at a given site is determined by the alleles of K neighbo...
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作者：Inoue, A
作者单位：Hokkaido University
摘要：We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.
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作者：Boyarchenko, S; Levendorskii, S
作者单位：University of Texas System; University of Texas Austin; Southern Federal University; Rostov State University of Economics
摘要：We derive explicit formulas for barrier options of European type and touch-and-out options assuming that under a chosen equivalent martingale measure the stock returns follow a Levy process from a wide class, which contains Brownian motions (BM), normal inverse Gaussian processes (NIG), hyperbolic processes (HP), normal tilted stable Levy processes (NTS Levy), processes of the KoBoL family and any finite mixture of independent BM, NIG, HP, NTS Levy and KoBoL processes. In contrast to the Gauss...
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作者：Lowe, M; Matzinger, H
摘要：Kesten has observed that the known reconstruction methods of random sceneries seem to strongly depend on the one-dimensional setting of the problem and asked whether a construction still is possible in two dimensions. In this paper we answer this question in the affirmative under the condition that the number of colors in the scenery is large enough.
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作者：Paulsen, J
作者单位：University of Bergen
摘要：We consider a classical risk process compounded by another independent process. Both of these component processes are assumed to be Levy processes. We show asymptotically that as initial capital y increases the ruin probability will essentially behave as y(-k), where K depends on one of the component processes.
