This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explai...

We study the asymptotic behavior of asymmetrical spin glass dynamics in a Sherrington-Kirkpatrick model as proposed by Sompolinsky-Zippelius. We prove that the annealed law of the empirical measure on path space of these dynamics satisfy a large deviation principle in the high temperature regime. We study the rate function of this large deviation principle and prove that it achieves its minimum...

We study the influence of information structure on the salience of subjective expressions for human readers. Using an online survey tool, we conducted an experiment in which we asked users to rate main and relative clauses that contained either a single positive or negative or a neutral adjective. The statistical analysis of the data shows that subjective expressions are more prominent in main ...

+ e − collisions: a complete 1-loop calculation. Abstract We present the first complete 1-loop diagrammatic calculation of the cross sections for the neutral Higgs production processes e + e − → Z 0 h 0 and e + e − → A 0 h 0 in the minimal supersymmetric standard model. We compare the results from the diagrammatic calculation with the corresponding ones of the simpler and compact effective pote...

We shortly review the top quark decay into charged Higgs, and present new results on its production at the upgraded Tevatron. We have computed the MSSM cross-section for single charged Higgs in association with the top quark beyond the regime of on-shell t t̄ production followed by the decay t → H b,. Our results are higher than recent results in the literature. In the case where H belongs to th...

We show that every diffeomorphism with mostly contracting center direction exhibits a geometric-combinatorial structure, which we call skeleton, that determines the number, basins and supports of the physical measures. Furthermore, the skeleton allows us to describe how the physical measure bifurcate as the diffeomorphism changes. In particular, we use this to construct examples with any given ...

We propose a model for valuing participating life insurance products under a generalized jumpdiffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingale measure. Simulation experim...

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obt...

The latest electroweak precision data are analyzed assuming the existence of the fourth generation of leptons (N,E) and quarks (U,D), which are not mixed with the known three generations. If all four new particles are heavier than Z boson, quality of the fit for the one new generation is as good as for the Standard Model. In the case of neutral leptons with masses around 50 GeV (“partially heav...

Optimal fictitious completions of an incomplete financial market are shown to be associated with exponential martingales (not just local martingales) and, therefore, to "an optimal equivalent martingale measure'. Results of independent interest, in the theory of continuous-time martingales, are derived as well. iirshurgb, PA 15213-3890