We consider a very general diffusion model for asset prices which allows the description of stochastic and past-dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent martingale measure associated to the underlying stock price process. Then we present stochastic numerical methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our approach by specific examples.

Option pricing under incompleteness and stochastic volatility.

We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant. The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique solution of a discrete HJB equation. Moreover, we obtain some properties of the optimal payment strategy, and offer a simple algorithm for obtaining the optimal strategy. The key of our method is to transform the value function. Numerical examples are presented to illustrate the transformation method.

Optimal dividend strategy in compound binomial model with bounded dividend rates

The chapter proposes an interdisciplinary perspective and explores from the theoretical and practical point of view approaches of management accounting and their impact on different companies in Romania. Also, the chapter examines the role of management accounting related to accounting and auditing and offers a number of new insights into management accounting. Romanian companies in the accounting, auditing, and tax consultancy fields use computer-assisted auditing techniques (CAAT) to find better solutions for generating profits, avoiding risks and improving the companies’ business strategies. The chapter will help the academia, business environment, specialty organizations, and business analysts in identifying new trends in management accounting, building on existing research and new expert assertions.

Financial Audit in Romanian Enterprises: Coming Across Tendencies, Profits, Further Tasks, and Improvement of Business Strategies

VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective

The optimal strategy for insurance company under the influence of terminal value

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The optimal strategy for insurance company under the influence of terminal value