Inventory positions of two risk averse market makers are introduced into a Kyle (1985) type batch trading model and the effects are analyzed. An equilibrium is defined with participation constraint and incentive compatibility and it is characterized as γ-coalitional equilibrium. At the equilibrium the two market makers share the risk of clearing orders so that the aggregate pricing schedule bec...

Inspector, an expert system, was implemented to assist foreign exchange management in the monitoring of trader activity and the compliance of risk management policies. The knowledge of senior foreign exchange managers, traders, controllers, and auditors is contained in an expert system shell, Nexpert Object. The foreign exchange deals from all Manufacturer's Hanover Trust (MHT) branches are rec...

Increasing corn production requires a supply chain to channel from farmers consumers. The of as raw material for animal feed in Central Java Province is not yet well managed, because each farmer or business still carried out individually. aim the study was analyze picture based on Food Supply Chain Network and efficiency agribusiness Java. Sampling techniques using proportional random sampling ...

This thesis contains three essays on option pricing. The first discusses a way to measure the risk of the short trader of an option if he decides to hedge partially his position. The second deals with the pricing of American-style Asian options, and the third with call and put options embedded in bonds. The first essay considers the case of a short trader of an option who decides to partially h...

Mathematical FinanceVolume 33, Issue 1 p. 16-18 OBITUARY Marco Avellaneda: Mathematician and trader Jim Gatheral, Corresponding Author Gatheral [email protected] orcid.org/0000-0002-0192-8797 Department of Mathematics, Baruch College, New York, USA Correspondence Mathematics Box B6-230, College One Bernard Way NY 10010, USA. Email: protected]Search for more papers by this author First published...