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  • 1
    Article
    Article
    2015
    ISSN: 0254-5330 
    Language: English
    In: Annals of operations research, 2015-12, Vol.235 (1), p.75-84
    Description: In order to reduce informational asymmetry a signaling contract seems to be an efficient solution. Standard theory argues that insurance contracts typically produce separating equilibria. Mostly, this property is based on the assumption of two states of the world only. If however, there is a world with a continuum of states the solution is different. We prove that there is no longer a separating equilibrium. As a result, insurance markets are characterized by pooling equilibria or self-insurance structures.
    Subject(s): Business and Management ; C7 ; Combinatorics ; Contracting ; D8 ; G0 ; G1 ; G2 ; Game theory ; Operation Research/Decision Theory ; Second order stochastic dominance ; Theory of Computation
    ISSN: 0254-5330
    E-ISSN: 1572-9338
    Source: Business Source Ultimate
    Source: Alma/SFX Local Collection
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  • 2
    Language: English
    In: Economics and business review, 2020-08-01, Vol.6 (3), p.118-129
    Description: In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset’s price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.
    Subject(s): C72 ; G12 ; G13 ; game theory ; Nash equilibrium ; option pricing
    E-ISSN: 2450-0097
    Source: Business Source Ultimate
    Source: DOAJ Directory of Open Access Journals - Not for CDI Discovery
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  • 3
    Language: English
    Description: Grundlegende Prinzipien und Problemfelder des Projektmanagements werden anwendungsorientiert und benutzerfreundlich dargestellt.
    Source: De Gruyter eBooks
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  • 4
    Article
    Article
    2020
    ISSN: 2392-1641 
    Language: English
    In: Economics and business review, 2020-01-01, Vol.6 (3), p.118-129
    Description: In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset's price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.
    Subject(s): Arbitrage ; Decision making ; Game theory ; Insurance companies ; Investment policy ; Life insurance ; Prices ; Rates of return ; Stockholders
    ISSN: 2392-1641
    E-ISSN: 2450-0097
    Source: DOAJ Directory of Open Access Journals - Not for CDI Discovery
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  • 5
    Article
    Article
    2019
    ISSN: 0340-1650 
    Language: German
    In: WiSt - Wirtschaftswissenschaftliches Studium, 2019-11-07, Vol.48 (11), p.46-50
    Description: Gegenstand des Beitrages ist das Risikomanagement im Finanzsektor. Wir zeigen, wie man sich aus vielen riskanten Börsenwerten ein risikofreies Wertpapierportefeuille zusammen bauen kann. Dazu muss man zu jedem Börsenwert die maßgeschneiderte Gegenposition finden. Wenn diese Gegenposition in der Gesamtheit der existierenden Wertpapiere jedoch fehlt, muss sie neu produziert werden. Das nennt man „financial engineering“. Erfahrungsgemäß gibt es gute und schlechte Ingenieure. Alle Finanzmanager halten sich für Top-Experten. Dass sich viele dieser Leute stark überschätzt haben, trat in der Finanzkrise offen zu Tage. Ein Hinweis für den Leser: Im Anhang des Beitrages werden alle verbal abgeleiteten Ergebnisse auch mathematisch bestätigt.
    Subject(s): Financial institutions ; Markets ; Mathematics ; Portfolios ; Risk reduction
    ISSN: 0340-1650
    Source: International Bibliography of the Social Sciences (IBSS)
    Source: Alma/SFX Local Collection
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  • 6
    Article
    Article
    2018
    ISSN: 0340-1650 
    Language: German
    In: WiSt - Wirtschaftswissenschaftliches Studium, 2018-04-15, Vol.47 (4), p.51-54
    Description: Zusammen mit der Reaktion der Gegenspieler schafft Trumps “America first”-Position eine Nash-Lösung, die als Gefangenen-Dilemma bezeichnet wird. Darunter versteht man eine Situation, in der alle beteiligten Spieler Verlierer sind. Wenn man aus diesem Kollektiv-Desaster entkommen will, müssen alle Spieler bereit sein, ihre Präferenzordnungen zu ändern. Weil Trump die USA als Verlierer im Globalisierungsprozess sieht, ist er nicht bereit, die „America First“-Position aufzugeben. Deshalb sind auch die Gegenspieler zu keinen Konzessionen bereit. Das Gefangenen-Dilemma bleibt bestehen.
    Subject(s): Equilibrium ; Meaning ; Prisoners
    ISSN: 0340-1650
    Source: International Bibliography of the Social Sciences (IBSS)
    Source: Alma/SFX Local Collection
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  • 7
    Article
    Article
    2020
    ISSN: 0340-1650 
    Language: English
    In: WiSt - Wirtschaftswissenschaftliches Studium, 2020, Vol.49 (1), p.29-36
    Description: Folgen präzisieren mit „unendlich“ einen wichtigen Begriff des mathematischen Denkens. Als Basis für Funktionen fundieren Folgen die Analysis; mit dem Begriff des Limes die Breite der Mathematik (Maßtheorie, Integrationstheorie, Nichtstandard Analysis usw.). Dass der heutige Formalismus erst seit Mitte des 19. Jahrhunderts existiert, zeigt, wie schwierig der Weg zu ihnen war. Der Beitrag thematisiert, dass mit dem Achilles Paradoxon ein weltabgewandtes Problem die Finanzmathematik mit fundiert. Dies zeigt einmal mehr, dass die Mathematik auch durch das Nichtbefassen mit der Realität große Wirkungen auf die reale Welt hat. 450 B.C. Zeno of Elea, a Greek philosopher and logican, posed the paradox that in an unequal footrace the fleet-footed Achilles never reach a lowly tortoise, which has been granted a head start. The paradox relays on the idea that infinity cannot be achieved. Aristotle was unable to disprove Zeno’s paradox. It has taken several millennia for mathematicians to arrive at the language and concepts needed to solve the paradox satisfactorily. The mathematics for dealing with Zeno’s logic puzzle had to be developed. The safe handling of the concepts of time and infinity applied mathematical formulas like limits, continuity, and convergence. From today’s prospect, the flaw in Zeno’s argument is his unstated assumption that the sum of an infinite series cannot be finite. Roughly spoken, exactly that mathematicians wasn’t really clear until Newton and Leibniz invented calculus in the late 17th century. Of course, today mathematicians know that an infinite sum of positive quantities can be finite. The convergence of infinite series explains countless things we observe in the world. The paper focuses on this fact in financial mathematics by using the Gordon formula.
    ISSN: 0340-1650
    Source: Alma/SFX Local Collection
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  • 8
    Language: English
    In: Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 1995, Vol.131, p.227-246
    Description: In the present paper a Barro-Gordon model of monetary policy with asymmetric information is considered. Since monetary policy formation is an ongoing process with repeated interactions between the central bank and the private sector, game-theoretic methodology is the appropriate tool to analyse the problem of reputation as a repeated game. It is shown, that in a sequential equilibrium, which describes the policy actions, the time preference selection by the players has an important influence on the development of the real economy.
    ISSN: 0303-9692
    Source: Alma/SFX Local Collection
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  • 9
    Article
    Article
    2018
    ISSN: 0340-1650 
    Language: English
    In: WiSt - Wirtschaftswissenschaftliches Studium, 2018, Vol.47 (4), p.51-54
    ISSN: 0340-1650
    Source: Alma/SFX Local Collection
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  • 10
    Article
    Article
    2017
    ISSN: 0340-1650 
    Language: English
    In: WiSt - Wirtschaftswissenschaftliches Studium, 2017, Vol.46 (7-8), p.51-53
    ISSN: 0340-1650
    Source: Alma/SFX Local Collection
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