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On stochastic calculus related to financial assets without semimartingales
A-martingale weak k-order Brownian motion no-semimartingale utility maximization insider no-arbitrage viability hedging
2011/3/23
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...
BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games
BSDEs RCLL Reflecting Obstacles driven Brownian Motion Poisson Measure related Mixed Zero-Sum Games
2010/12/17
In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson...
New Economy – an analysis of the competitiveness related to education of students and managers
New Economy competitiveness comparative advantage indexes RCA RCA I RCA II
2014/3/24
New Economy deals with competitiveness analysed by international comparative advantage of commodity and regional trade. According to New Economy we are forced to quantify the contribution of tradable ...