A Dynamic Portfolio or Dynamic Asset Allocation is a strategy used to determine the proportion of a number of assets, chosen carefully, in order to achieve optimum performance of the portfolio. In this paper, the portfolio consists only Options traded in the financial market. One of the most famous models of option pricing is Binomial Cox-Ross-Rubinstein (CRR) Model. Using Fuzzy Binomial CRR pr...

We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms for the transition probabilities, with an interpretation in terms of limits of mixtures over Gamma laws.

We develop and estimate an empirical collective model with endogenous marriage formation, participation, and family labor supply. Intrahousehold transfers arise endogenously as the transfers that clear the marriage market. The intra-household allocation can be recovered from observations on marriage decisions. Introducing the marriage market in the collective model allows us to independently es...

Over the past quarter century, mathematical modeling of the behavior of the interest rate and the resulting yield curve has been a topic of considerable interest. In the continuous-time modeling of stock prices, one only need specify the diffusion term, because the assumption of risk-neutrality for pricing identifies the expected change. But this is not true for yield curve modeling. This paper...