Central Economics and Mathematics Institute

About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

Hedging of American Options Under Transaction Costs

Abstract: We consider a continuous-time model of financial market with proportional transaction costs. Our result is a dual description of the set of initial endowments of self-financing portfolios super replicating American - type contingent claim. The latter is a right-continuous adapted vector process describing the number of assets to be delivered at the exercise date. We introduce a specific class of price systems, called coherent, and show that the hedging endowments are those whose 'values' are larger than the expected weighted 'values' of the pay-off process for every coherent price system used for the 'evaluation' of the assets.

Rapid Growth Paths in Multivalued Dynamical Systems Generated by Homogeneous Convex Stochastic Operators

Abstract: The paper examines dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors. The primary goal is to investigate the growth rates of random trajectories of these dynamical systems. Existence and characterization theorems for ‘rapid’ trajectories, growing faster in a certain sense than others, are obtained.

Optimal constrained investment in the Cramer-Lundberg model

Abstract: We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk-free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited leveraging level; more precisely, when purchasing, the ratio of the investment amount in the risky asset to the surplus level is no more than a; and when short-selling, the proportion of the proceeds from the short-selling to the surplus level is no more than b. The objective is to find an optimal investment policy that minimizes the probability of ruin. The minimal ruin probability as a function of the initial surplus is characterized by a classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation. We study the optimal control policy and its properties. The interrelation between the parameters of the model plays a crucial role in the qualitative behavior of the optimal po...

Groups of homeomorphisms of the line and the circle. Topological characteristics and metric invariants

Abstract: This survey is devoted to investigations concerning topological, algebraic, and combinatorial characteristics as well as metric invariants for arbitrary groups of homeomorphisms of the line and the circle. Relationships between these characteristics are established, the most important metric invariants are studied (in the form of invariant, projectively invariant, and ω-projectively invariant measures), and the main 'obstructions' to the existence of metric invariants of this kind are described.