Decisions in Economics and Finance

1978 - 2024

Current editor(s): Paolo Ghirardato

From:
Springer
Associazione per la Matematica
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Volume 27, issue 2, 2004

Weak convergence of tree methods, to price options on defaultable assets pp. 87-107

J.W. Nieuwenhuis and M.H. Vellekoop

Arbitrage pricing theory and risk-neutral measures pp. 109-123

Miklós Rásonyi

Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff pp. 125-151

Simona Sanfelici

Conditional comonotonicity pp. 153-166

Elyès Jouini and Clotilde Napp

Volume 27, issue 1, 2004

On the smoothness of optimal paths pp. 1-34

Joël Blot and Bertrand Crettez

A two-step simulation procedure to analyze the exercise features of American options pp. 35-56

Antonella Basso, Martina Nardon and Paolo Pianca

Arbitrage and completeness in financial markets with given N-dimensional distributions pp. 57-80

Luciano Campi

Notes and Comments: On the uniqueness of convex-ranged probabilities pp. 81-85

Massimiliano Amarante

Volume 26, issue 2, 2003

Insuring against the shortfall risk associated with real options pp. 81-96

Heinz Weisshaupt

Income taxation when markets are incomplete pp. 97-128

Mario Tirelli

Representing complete and incomplete subjective linear preferences on random numbers pp. 129-144

Bruno Girotto and Silvano Holzer

Notes and Comments: Profitability in a multiple strategy market pp. 145-152

Giacomo Aletti and Vincenzo Capasso

Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process pp. 153-166

Ralf Korn, Frank Oertel and Manfred Schäl

Volume 24, issue 2, 2001

Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads pp. 79-105

Fulvio Ortu

Efficient Monte Carlo pricing of European options¶using mean value control variates pp. 107-126

Paolo Pellizzari

Option pricing by large risk aversion utility¶under transaction costs pp. 127-136

B. Bouchard, Yu. M. Kabanov and N. Touzi

The rational expectation dynamics of a model for the term structure and monetary policy pp. 137-152

Luisa Malaguti and Costanza Torricelli

An algorithm for winning coalitions in indirect control of corporations pp. 153-158

Nando Prati and Enrico Denti

Volume 24, issue 1, 2001

Optimality in a financial economy with outside money and restricted participation pp. 1-19

Laura Carosi

Asset pricing with endogenous aspirations pp. 21-39

Fabio Antonelli, Emilio Barucci and Maria Elvira Mancino

Homothetic preferences on star-shaped sets pp. 41-47

Fabio Maccheroni

A discrete-time algorithm for pricing double barrier options pp. 49-58

Massimo Costabile

notes and comments: A discrete-time algorithmfor pricing double barrier options pp. 49-59

Massimo Costabile

A note on mixture sets in decision theory pp. 59-69

Philippe Mongin

On the use of capacities in representing premium calculation principles pp. 71-77

Marta Cardin and Paola Ferretti

Volume 23, issue 2, 2000

Option pricing with stochastic volatility models pp. 75-99

Stefano Herzel

Measuring the set of blocking coalitions in infinite dimensional economies pp. 101-120

Maria Graziano

A uniqueness theorem for convex-ranged probabilities pp. 121-132

Massimo Marinacci

Linearity properties of a three-moments portfolio model pp. 133-150

Flavio Pressacco and Patrizia Stucchi

Volume 23, issue 1, 2000

Testable consequences of economic theory pp. 1-13

Ivar Ekeland

Normal approximations by Stein's method pp. 15-29

Yosef Rinott and Vladimir Rotar

Volatility estimation from observed option prices pp. 31-52

Phelim P. Boyle and Draviam Thangaraj

Decision analysis using targets instead of utility functions pp. 53-74

Robert Bordley and Marco LiCalzi

Volume 22, issue 1, 1999

Existence of a convex extension of a preference relation pp. 5-11

Paolo Scapparone

On local relative stability of large sistems with small parameters. The example of a classical model of competition pp. 13-30

Luciano Boggio

η-Pseudolinearity pp. 31-39

Qamrul Ansari, Siegfried Schaible and Jen-Chih Yao

Qualitative parametric optimization for applications pp. 41-75

Piera Mazzoleni

Stress testing techniques and value-at-risk measures: A unified approach pp. 77-99

Umberto Cherubini and Giovanni Lunga

A note on direct term structure estimation using monotonic splines pp. 101-108

Luca Barzanti and Corrado Corradi

Ricordo del Prof. Mario Volpato pp. 111-112

Giovanni Castellani

Volume 21, issue 1, 1998

Two stage rationality under risk: Experimental results and perspectives pp. 3-23

Bertrand Munier

A three-moment based portfolio selection model pp. 25-48

Andrea Gamba and Francesco Rossi

Optimal auctions under collusion of buyers with discrete valuations pp. 49-71

Domenico Menicucci

Swap pricing and hedging of general DCFs pp. 73-95

Elisa Luciano

Directed hypergraphs as a modelling paradigm pp. 97-123

Giorgio Gallo and Maria Scutellà

Pricing dynamic solvency insurance and investment fund protection pp. 125-146

Hans Gerber and Gérard Pafumi

Convergence problems in stochastic programming models with probabilistic constraints pp. 147-164

Giovanna Redaelli

Volume 20, issue 2, 1997

Monotonicity preserving regression techniques for interest rate term structure estimation: A note pp. 125-131

Luca Barzanti and Corrado Corradi

On optimal investiment strategies pp. 133-151

Hans Gerber and Elias Shiu

Vitali’s early contribution to non-additive integration pp. 153-158

Massimo Marinacci

On the definition of integral of functions of one variable pp. 159-168

Giuseppe Vitali

Su Una Estensione Bidimensionale del Teorema di Scomposizione di Peccati pp. 169-185

Flavio Pressacco and Patrizia Stucchi

Volume 20, issue 1, 1997

Futures options with futures-style margining in the Gaussian models setting pp. 3-21

Maria Iovino

Some new ideas in the concept of financial law pp. 23-43

Salvador Cruz Rambaud

Twenty years of fuzzy preference structures (1978–1997) pp. 45-66

Bernard Baets and János Fodor

The interbanking liquidity market: Short-time prediction and the central bank reserve management pp. 67-82

Michele Bonollo and Francesco Lisi

Retrospective reserves for the insurances of the person in the framework of multistate models pp. 83-98

Annamaria Olivieri

Ranking and weak consistency in the A.H.P. context pp. 99-109

Luciano Basile and Livia D’Apuzzo

Semicontinuous utility functions in topological spaces pp. 111-116

Romano Isler