Results 141 to 150 of about 96,743 (212)

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Chaotic analysis, hopf bifurcation and collision of optical periodic solitons in (2+1)-dimensional degenerated Biswas-Milovic equation with Kerr law of nonlinearity. [PDF]

Sci Rep
Al-Sawalha MM, Noor S, Shah R, Yasmin H.
europepmc   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

MathOdyssey: Benchmarking Mathematical Problem-Solving Skills in Large Language Models Using Odyssey Math Data. [PDF]

Sci Data
Fang M, Wan X, Lu F, Xing F, Zou K.
europepmc   +1 more source

How Are “Financial Balances” Financed? Wicksell, (Keynes) and the US Mainstream Don't Fit Today's Institutions; Kalecki, Triffin, and Minsky Got it Right

Metroeconomica, EarlyView.
ABSTRACT The paper examines the financial balances of the US economy. Government is the main borrower and households and the foreign sector the main lenders. Business net lending is minimal. The balances and their underlying transactions contradict the loanable funds theory and its “global savings glut” variation.
Michalis Nikiforos, Lance Taylor
wiley   +1 more source

Unraveling the Link Between n-Back Working Memory and Algebraic Ability in Adolescents: Correlations and Training Effects. [PDF]

Psych J
Li J, Chen X, Hua L, Wang Z, Zhao Y, Wang X, Liu W.   +6 more
europepmc   +1 more source

Contractionary Effects of Devaluation and the Balance Sheet Effect in a Macroeconomic Model With Heterogeneous Firms

Metroeconomica, EarlyView.
ABSTRACT We propose a demand‐led heterogeneous firm macroeconomic model to study the impact of an exchange rate devaluation on output and financial stability. We simulate the model and find that, in the presence of foreign debt, a devaluation can have contractionary effects.
Lucca Gustafson Rodrigues, Lílian Rolim, Laura Carvalho   +2 more
wiley   +1 more source

Hirota, Fay and geometry. [PDF]

Lett Math Phys
Eynard B, Oukassi S.
europepmc   +1 more source

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

It Is Better to Be Semi-Regular When You Have a Low Degree. [PDF]

Entropy (Basel)
Kolokolnikov T.
europepmc   +1 more source