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The production - inventory problem for ameliorating / deteriorating items with non-linear shortage cost under inflation and time discounting
Inflation Amelioration Deterioration
2010/9/20
In this paper, we discuss the production inventory model with time- varying production, time dependent demand and non-linear shortage cost under inflation and time discounting. Shortages are allowed a...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
uncertain cash flows Model ambiguity discounting ambiguity
2010/4/27
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accoun...
Securities Pricing with Information-Sensitive Discounting
Asset pricing incomplete information stochastic interest rates credi trisk recovery models credit-ination hybrid securities information-sensitive pricing kernels
2010/4/27
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random rec...