Asset Pricing in a Two-Country Discontinuous General Equilibrium Model

The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and volatilities and by log-normal amplitude of the jumps. Using this specification we deduce the fundamental evaluation equations for financial assets as well as a formula for the price of exchange rate options in this economy.general equilibrium model, two-country Lucas economy, exchange rate, risk premium, jump-diffusion

A Two-Country Discontinuous General Equilibrium Model

The aim of this paper is to develop a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process. We obtain the results concerning the evaluation of financial assets, the determination of the exchange rate, of the interest rate, and of the risk premium in this two-country economy.general equilibrium model, two-country Lucas economy, exchange rate, risk premium, jump-diffusion

The evolution of agricultural productions in Buzău County during the period 1999 - 2010

Agriculture is an important sector of economic activity of the County, we observe in this respect,the special quality of the arable land. This is why it is necessary the knowledge not only of the agricultural productions, but also of the value of agricultural production, which we have analyzed in this paper .One of the main issues is that the level of crop productions is due to climate conditions for the period 1999-2010, but in great measure to the level of the existing technical-material endowment at the level of farms. For the animal production we observed that it has had a descending trend in this period, for the main categories of animals

Tackling Dynamic Vehicle Routing Problem with Time Windows by means of Ant Colony System

The Dynamic Vehicle Routing Problem with Time Windows (DVRPTW) is an extension of the well-known Vehicle Routing Problem (VRP), which takes into account the dynamic nature of the problem. This aspect requires the vehicle routes to be updated in an ongoing manner as new customer requests arrive in the system and must be incorporated into an evolving schedule during the working day. Besides the vehicle capacity constraint involved in the classical VRP, DVRPTW considers in addition time windows, which are able to better capture real-world situations. Despite this, so far, few studies have focused on tackling this problem of greater practical importance. To this end, this study devises for the resolution of DVRPTW, an ant colony optimization based algorithm, which resorts to a joint solution construction mechanism, able to construct in parallel the vehicle routes. This method is coupled with a local search procedure, aimed to further improve the solutions built by ants, and with an insertion heuristics, which tries to reduce the number of vehicles used to service the available customers. The experiments indicate that the proposed algorithm is competitive and effective, and on DVRPTW instances with a higher dynamicity level, it is able to yield better results compared to existing ant-based approaches.Comment: 10 pages, 2 figure

A Robust Assessment of the Romanian Business Cycle

The paper provides potential output and output gap estimates for the Romanian economy in the period 1998 - 2008. Our approach consists in combining the structural method of the production function with several non-structural statistical detrending methods: Hodrick-Prescott, Kalman, band-pass, and wavelet transform filters. In this way, the obtained results benefit both from the economic foundations the production function method is relying on, as well as from the flexibility of the detrending techniques. The contribution of our analysis to the scarce literature dealing with the estimation of the cyclical position of the Romanian economy is twofold. First, we identify the contribution of the production factors to the potential output growth. Second, we aggregate the results obtained through filtering techniques in a consensus estimate ascribing to each method a weight inversely related to its revision stability. Our results suggest for the period 2000-2008 an average annual growth rate of the potential output equal to 5.8%, but on a descendant slope at the end of the analyzed period, due to the adverse developments in the macroeconomic context.potential GDP, output gap, NAIRU, business cycle

Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution

In the present study, we estimate the parameters of the Generalized Hyperbolic Distribution for a series of stock index returns including the Romanian BETC and indexes from other two Eastern European countries, Hungary and the Czech Republic. Using different econometric techniques, we investigate whether the estimated Generalized Hyperbolic Distribution is an appropriate approximation for the empirical distribution computed by non-parametric kernel econometric methods. The main finding of the analysis is that the probability density function of the estimated Generalized Hyperbolic Distribution represents a very close approximation (at least up to the 4th order term) of the empirical probability distribution function.Generalized Hyperbolic Distribution, heavy-tailed returns, non-parametric density estimation

Pricing European and Barrier Options in the Fractional Black-Scholes Market

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for the valuation of derivative products in the fractional Black-Scholes market. We also obtain a reflection principle for the fractional Brownian motion.fractional Brownian motion, fractional Black-Scholes market, the reflection principle for the fractional Brownian motion, mathematical finance, European option, barrier option

Barrier Options and a Reflection Principle of the Fractional Brownian Motion

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional Brownian motion, fractional Black-Scholes market, quasiconditional expectation

The analysis of the main indicators evolution of social and economic development in the Arab republic of Syria, period 1960-2014

The paper's aim is a retrospective analysis of the evolution of the main indicators of social and economic development from Syria by highlighting the degree of development of the country before the policy crisis in 2011. An attempt was also the surprise of external and internal influences in the country: a comparison with neighboring Arab countries of Syria, managing the formation of an overview image of economic and social development of the country, and the effects of the civil war start in 2011 resulting from the analysis of statistical data and official reports. The key indicators analyzed have been the Gross Domestic Product and the Human Development Index, the evolution being completed by the analysis of the main indicators that characterizes the evolution of agriculture in the period analyzed. The result of the research shows a country with a developed evolution potential, the development indicators up to 2011 being favorable for the country, but the conflict from 2011 affecting all economic and social sectors, the damage and the possibilities of economic recovery is still very hard to estimate

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions. The main finding is that the t-copula and the Gumbel-Clayton mixture copula are the most appropriate copula functions to capture the dependency structure of two financial return series. With the dependency structure given by the estimated copula functions we quantify the efficient portfolio frontier using as a risk measure CVaR (Conditional VaR) computed by Monte Carlo simulation. We find that in the case of using normal distributions for modeling individual returns the market risk is underestimated no mater what copula function is employed to capture the dependency structure.copula functions, copula mixtures, the efficient portfolio frontier, Conditional VAR, Monte Carlo simulation