We present a version of the Multiplicative Ergodic (Oseledec) Theorem for the flow of a nonlinear
stochastic system definedon a smooth compact manifold. This theorem establishes the …

We solve for a firm's optimal cash holding policy within a continuous time, contingent claims
framework using dividends, short-term borrowing, and equity issues as controls assuming …

We answer this question in the very general context of the n‐factor Heath, Jarrow, and Morton
model for the evolution of the term structure of interest rates, with nonrandom volatility. the …

This paper is concerned with the behaviour of the risk premium on the market portfolio of
risky assets. It provides a characterisation for the evolution of the market risk premium in a …

1.1. Aims Many results about the flows of stochastic dynamical systems on compact manifolds
M may be proved easily by considering the infinite dimensional manifold NS (M) of H s …

Dying, death, and bereavement do not occur in a social vacuum. How individuals and groups
experience these phenomena will be largely influenced by the social context in which they …

We extend Furstenberg's theorem to the case of an iid random composition of incompressible
diffeomorphisms of a compact manifold M. The original theorem applies to linear maps {X i …

For many complex option valuation problems analytical solutions are not possible. In these
cases Monte Carlo simulation is an important numerical solution tool. Furthermore, …

Since its introduction in 1973, the Black-Scholes model has found increasingly more resistance
in application. In order to use Black-Scholes to price any option, one needs to know the …

The banking sector traditionally dominated Indonesia's financial system, and until the 1990s
the stock market remained of little significance. Re-opened in 1977 after two decades of …