infonet-economy

We set up a two-sided market framework to model competition between a Prefered Provider Organization (PPO) and a Health Maintenance Organization (HMO). Both health plans compete to attract policyholders on one side and providers on the other. The PPO, which is characterized by a higher diversity of providers, attracts riskier policyholders. Our two-sided framework allows us to...

Alternative methods of dispute resolution are an important resource in matters of cultural heritage in addressing the return, restitution, and repatriation of cultural property. The purpose of this article is to analyze the situations in which such methods might be preferred to the classical judicial means and to examine the problems that might arise. The article is in two parts. The...

This article is concerned with gradient flows in asymmetric metric spaces, that is, spaces with a topology induced by an asymmetric metric. Such an asymmetry appears naturally in many applications, e.g., in mathematical models for materials with hysteresis. A framework of asymmetric gradient flows is established under the assumption that the metric is weakly lower-semicontinuous in...

What is the nature of imperfections in the market for liquidity? Studying bidder level data from European Central Bank (ECB) repo auctions, we find that this market appears to be informationally efficient in the sense that participants do not have private information about future short-term rates. However, auction allocations affect banks' subsequent behavior in a way that is...

Stochastic processes of common use in mathematical finance are presented throughout this book, which consists of eleven chapters, interlacing on the one hand financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, and on the other hand, Brownian motion, diffusion processes, Lévy processes,...

This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi et al., we transform the constrained into an unconstrained optimal stopping problem. The transformation replaces the original payoff by the value of a generalized barrier option. We also provide a Monte...