# University of Bonn, Germany

# Discussion Paper Serie B

Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany

Fax: +49 228 73 6884

Web page: http://www.bgse.uni-bonn.de

Fax: +49 228 73 6884

Web page: http://www.bgse.uni-bonn.de

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### 1999

**465 Multi-Fractal Processes as Models for Financial Returns: Multi-Fractal Processes as Models for Financial Returns: A First Assessment***by*Lux, Thomas**463 Zuschlag erhalten, aber Verlust gebucht - Gefdhrdet der Fluch des Gewinners auch Kapitalmarktprofis?***by*Hehn, Elisabeth & Abdolkarim Sadrieh**462 The Decision to Seek or to Be Sought***by*Herreiner, Dorothea K**461 Experimental Evidence for Attractions to Chance***by*Wulf Albers & Robin Pope & Reinhard Selten & Bodo Vogt**460 Staff Rotation: A Powerful Weapon Against Corruption?***by*Abbink, Klaus**459 An Experimental Bribery Game***by*Abbink, Klaus & Bernd Irlenbusch & Elke Renner**458 On Rational Bubbles and Fat Tails***by*Thomas Lux & Didier Sornette**456 Multi-Fractal Processes as Models for Financial Returns: A First Assessment***by*Lux, Thomas**454 What is Bounded Rationality? Paper prepared for the Dahlem Conferen***by*Selten, Reinhard**452 Teams Take the Better Risks***by*Bettina Kuon & Abdolkarim Sadrieh & Barbara Mathauschek**451 The Pricing of Derivatives on Assets with Quadratic Volatility***by*Christian Zuehlsdorff**450 Local Manufacturing Hurt by Depreciations in a Theoretical Model Reflecting the Australian Experience***by*Pope, Robin**449 Reconciliation with the Utility of Chance by Elaborated Outcomes Destroys the Axiomatic Basis of Expected Utility Theory***by*Pope, Robin**448 European Business Cycles: New Indices and Analysis of their Synchronicity***by*M. Dueker & K. Wesche**447 Testing for Non-Linear Structure in an Artificial Financial Market***by*Shu-Heng Chen & Thomas Lux & Michele Marchesi**446 Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk***by*Dietmar P.J. Leisen**422 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives***by*Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl

### 1998

**445 Risk Aversion in International Relations Theory***by*O'Neill,Barry**444 A Note on the Stochastic Properties of German Stock Returns***by*Thomas Lux**443 Building a Consistent Pricing Model from Observed Option Prices***by*Laurent, Jean-Paul & Dietmar P.J. Leisen**442 Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets***by*Daniel Sommer**432 Updating Strategies Through Observed Play - Optimization Under Bounded Rationality***by*R. Cressman & K.H. Schlag**431 Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options***by*Nielsen, J.A. & Sandmann, K.

### 1997

**419 Sources of Purchasing Power Disparities Between the G3-Economies***by*Weber, Axel A.**418 Sources of Currency Crisis: An Empirical Analysis***by*Weber, Axel A.**417 RatImage 3.30***by*Abbink, Klaus & Abdolkarim Sadrieh**415 The Moonlighting Game - An Experimental Study on Reciprocity and Retribution***by*Abbink, Klaus & Bernd Irlenbusch & Elke Renner**414 How to deal with unobservable variables in economics***by*Krelle, Wilhelm**410 Loss of Commitment? An Evolutionary Analysis of Bagwell's Example***by*Schlag, Karl H. & Jörg Oechsler**409 Perfect Recall***by*Ritzberger, Klaus**408 An Experimental Study of Adaptive Behavior in an Oligopolistic Market Game***by*Nagel, Rosemarie & Nicolaas J. Vriend**406 A Simple Regime-Switching Model for Stochastic Volatilities***by*Christopeit, Norbert & Axel Cron**405 Bounds on European Option Prices under Stochastic Volatility***by*Frey, Rüdiger & Carlos A. Sin**404 Die Wirkung direkter Auslandsinvestitionen auf Einkommen und Beschäftigung im In- und Ausland***by*Krelle, Wilhelm**402 Break-offs in Bargaining, Evidence from a Video Experiment***by*Hennig-Schmidt, Heike**401 Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility***by*Frey, Rüdiger**400 A Non-normative Theory of Inflation and Central Bank Independence***by*Herrendorf, Berthold & Manfred J. M. Neumann**399 The Random-Time Binomial Model***by*Leisen, Dietmar**398 Log-Normal Interest Rate Models: Stability and Methodology***by*Sandmann, Klaus & Dieter Sondermann**397 Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds***by*Sommer, Daniel**396 A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates***by*Schloegl, Erik & Lutz Schloegl**395 Factor Models and the Shape of the Term Structure***by*Schloegl, Erik & Daniel Sommer**368 Germany Before and After Unification: A Strucutral VAR Analysis***by*Weber, Axel A

### 1996

**394 Lognormality of Rates and Term Structure Models***by*Goldys, B. & M. Musiela & D. Sondermann**393 Aggregation Bias in Estimating European Money Demand Functions***by*Wesche, Katrin**392 Aggregating Money Demand in Europe with a Divisia Index***by*Wesche, Katrin**391 Market Organization***by*Weisbuch, Gerard & Alan Kirman & Dorothea K. Herreiner**390 Axiomatic Characterization of the Quadratic Scoring Rule***by*Selten, Reinhard**389 Aspiration Adaptation Theory***by*Selten, Reinhard**388 A Learning Approach to Auctions***by*Monderer, Dov & Shlomit Hon-Snir & Aner Sela**387 The Diffusion of New Crop Varieties***by*Fischer, Alistair J. & Anne J. Arnold**386 Experimental Proof for the Motivational Importance of Reciprocity***by*Jacobsen, Eva & Abdolkarim Sadrieh**384 The Term Structure of Defaultable Bond Prices***by*Schönbucher, Philipp J.**383 Portfolio Dominance and Optimality in Infinite Security Markets***by*Aliprantis, C. D. & D. J. Brown & I. A. Polyrakis & J. Werner**382 The Likelihood of European Monetary Union***by*Weidmann, Jens**381 Adaptive Learning versus Punishment in Ultimatum Bargaining***by*Abbink, Klaus & Gary Bolton & Abdolkarim Sadrieh & Fang-Fang Tang**380 One against All in the Fictitious Play Process***by*Sela, Aner**379 Simultaneous Evolution of Learning Rules and Strategies***by*Kirchkamp, Oliver**378 On the Evolution of Imitative Behavior***by*Björnerstedt, Jonas & Karl H. Schlag**377 Continuous-Time Term Structure Models***by*Musiela, Marek & Marek Rutkowski**376 An Experimental Investigation of the Option Pricing Approach***by*Abbink, Klaus & Bettina Kuon**375 The Impact of Trading Restrictions on the Profitability of Arbitrage Exploitation***by*Kuon, Bettina**373 Spontaneous Behavior and Experienced Players' Strategies in Two-Person Bargaining with Incomplete Information***by*Kuon, Bettina**372 The Pricing and Hedging of Options in Finitely Elastic Markets***by*Frey, Rüdiger**371 Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?***by*Cron, Axel & Jens Weidmann**369 The Costs/Benefits of a Common Monetary Policy in France and Germany and Possible Lessons for Monetary Union***by*Mélitz Jacques & Axel A. Weber**367 The Information Content of German Discount Rate Changes***by*Manfred J. M Neumann & Jens Weidmann**366 Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models***by*Leisen, Dietmar**365 Which one should I imitate?***by*Schlag, Karl H.**364 Anticipatory Learning in Two-Person Games: An Experimental Study, Part III. Individual Analysis***by*Tang, Fang-Fang**363 Anticipatory Learning in Two-Person Games: An Experimental Study, Part II. Learning***by*Tang, Fang-Fang**362 Anticipatory Learning in Two-Person Games: An Experimental Study, Part I: Equilibrium and Stability***by*Tang, Fang-Fang**358 Optimal Control of Linear Systems with Time Varying Drift Parameters: the Gaussian Case***by*Christopeit, Norbert**357 Dominant Strategy Adoption, Efficiency, and Bidders' Experience with Pricing Rules***by*Harstad, Ronald M.**356e Equity, Fairness and Prominence, Determinants for the Behavior of Player Groups in a Bargaining Video Experiment***by*Hennig-Schmidt, Heike**355 Behavior of Groups as Players in a Bargaining Experiment. Some Results on Negotiation Processes from a Video Experiment***by*Hennig-Schmidt, Heike**354 RatDemo - A Ready-to-Run Experiment in 99 Program Lines***by*Abbink, Klaus & Abdolkarim Sadrieh**353 German Unification and the EMS: A Non-Parametric Approach to the Asymmetry Question***by*Axel Cron, Jens Weidmann**352 Problems in Measuring Central-Bank Independence***by*Neumann, Manfred J. M.**350 Evolutionar Dnamics of Populations wirth a Local Interaction Structure***by*Illan Eshel & Emilia Sansone & Avner Shaked**313 On the Interpretation of Evolutionary Stable Sets***by*Balkenborg, Dieter & Karl H. Schlag**312 The most important Problems of Transition from a Planned to a Market Economy: Suggestions for Solutions***by*Krelle, Wilhelm**311 Transition from a Planned to a Market Economy: The Interrelation of Subsidization of Firms, Budget Deficit, Unemployment and Inflation***by*Ackermann, Michael & Wilhelm Krelle

### 1995

**303 Discussion Paper No. B-351. This appears in SIAM J. Extensions of $\Gscr$-based Matrix Partial Orders***by*S. K. Jain (U.S.A.) & S. K. Mitra (India)**303, Discussion Paper B-332 Kernel Estimation in Regime-Varying Regression Models***by*Axel Cron**303 Discussion Paper No. B-326. This appears in LINEAR A BLUE Decomposition in the General Linear Regression Model***by*Hans Joachim WERNER & Cemil YAPAR**303, Discussion Paper B-316 Uniform Consistency of Modified Kernel Estimators in Parametric ARCH- Models***by*Axel Cron**303, Discussion Paper B-315 OLS--Learning in Non-Stationary Models with Forecast Feedback***by*Markus Zenner**361 Why Imitate, and if so, How? A Bounded Rational Approach to Multi-Armed Bandits***by*Karl H. Schlag**360 Should Firms which would go bankrupt during the Transition Process from a Planned to a Market Economy be Subsidized?***by*Krelle, Wilhelm**359 Minimax Estimator for linear models with nonrandom disturbances***by*Christopeit, N. & V. L. Girko**349 Experimental Methods and Elicitation of Values***by*Harrison, Glen W. & Ronald M. Harstad & E. Elisabet Rutström**348 An "Alternating Recognition" Model of English Auctions***by*Harstad, Ronald M. & Michael H. Rothkopf**347 The Dynamic (In)Stability of Backwards Induction***by*R. Cressman, K.H. Schlag**346 Lot Sizing in General Assembly Systems with Setup Costs, Setup Times and Multiple Constrained Resources***by*Katok, Elena & Holly S. Lewis & Terry P. Harrison**345 Arbitration And Chilling: Challenging the Convention***by*Bolton, Gary E.**344 Entwicklung und Aufrechterhaltung moralischer Standards***by*Krelle, Wilhelm**343 Money does Not Induce Risk Neutral Behavior, but Binary Lotteries Do even Worse***by*Selten, Reinhard & Abdolkarim Sadrieh & Klaus Abbink**341 Altruists, Egoists and Hooligans in a Local Interaction Model***by*Illan Eshel & Larry Samuelson & Avner Shaked**340 Caution in Generic Decisions Situations***by*Ewerhart, Christian**338 Society, Government, and Central-Bank Independence***by*Neumann, Manfred J. M.**337 The Stability of European Money Demand: An Investigation of M3H***by*Wesche, Katrin**336 Approximation Pricing and the Variance-Optimal Martingale Measure***by*Schweizer, Martin**334 Cyclic Games: An Introduction and Examples***by*Selten, Reinhard & Myrna Holtz Wooders**333 Convergence of Option Values under Incompleteness***by*Runggaldier, Wolfgang J. & Martin Schweizer**331 A Necessary and Sufficient Epistemic Condition for Playing Backward Induction***by*Balkenborg, Dieter & Eyal Winter**330 Spatial Evolution of Automata in the Prisoners' Dilemma***by*Kirchkamp, Oliver**329 Asynchronous Evolution of Pairs How spatial evolution leads to enequality***by*Kirchkamp, Oliver**328 Consistent Theories of Cautious Utility Maximization***by*Everhart, Christian**327 Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts***by*Nielsen, J. Aase & Klaus Sandmann**325 RatImage - research Assistance Toolbox for Computer-Aided Human Behavior Experiments***by*Abbink, Klaus & Abdolkarim Sadrieh**324 The Strategy of Monetary Targeting: Can the German Experience Provide a Model for the ECB?***by*Neumann, M. J. M. & Hagen, Jürgen von**323 The Pricing of Asian Options under Stochastic Interest Rates***by*Nielsen, J. A. & K. Sandmann**321 Dynamic Stability in Perturbed Games***by*R. Cressman & K. H. Schlag**320 Divergent Trends in the Velocity of Money***by*Neumann, Manfred J. M., and Katrin Wesche**319 Hard Bargaining and Lost Opportunities***by*Binmore, Ken & Chris Proulx & Larry Samuelson & Joe Swierzbinski**318 Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models***by*Axel Cron**317 Prominenz der Preise in einem Warenhauskatalog***by*Dahlhüuser, Heike**314 Evolutionary Stability in Asymmetric Population Games***by*Balkenborg, Dieter & Karl H. Schlag**310 Market Volatility and Feedback Effects from Dynamic Hedging***by*Frey, Rüdiger & Alexander Stremme**309 Binomial Models for Option Valuation - Examining and Improving Convergence***by*Leisen, D. P. J. & M. Reimer**307 Central Bank Independence and Seigniorage: The Banque de France***by*Wesche, Katrin & Jens Weidmann**306 A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk***by*Frey, Rüdiger & Daniel Sommer**291 Equity-linked life insurance - a model with stochastic interest rates***by*Nielsen, J. Aase & Klaus Sandmann**274 An Experiment on the Pure Theory of Consumer's Behaviour***by*Reinhard Sippel**272 A Discrete Time Approach for European and American Barrier Options***by*K. Sandmann & Reimer, M.**212 The Direct Approach to Debt Option Pricing***by*K. Sandmann & Sandmann, K.

### 1994

**297, to appear: Stochastic Processes and their Applications 61 (1996) 109- 128 On the existence of equivalent tau-measures in finite discrete time***by*Klaus Schuerger**308 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates***by*Miltersen, K. & K. Sandmann & D. Sondermann**303 Prediction Error Learning and Rational Expectations in Autoregressive Models with Forecast Feedback***by*Zenner, M.**302 On Smile and Skewness***by*Platen, Eckhard & Martin Schweizer**301 More on partitioned possibly restricted linear regression***by*Werner, Hans Joachim & Cemil Yapar**300 On Inequality Constrained Generalized Least Squares Selections in the General Possibly Singular***by*Werner, Hans Joachim & Cemil Yapar**299 When Does Evolution Lead to Efficiency in Communication Games?***by*Karl H. Schlag**298 Evolution in Partnership Games,an Equivalence Result***by*Karl H. Schlag**296 Why Imitate, and if so, How? Exploring a Model of Social Evolution***by*Schlag, Karl H.**295 The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis***by*Henry, Jerome & Jens Weidmann**294 Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets***by*Kramkov, D.O.**293 On Short Rate Processes and Their Implications for Term Structure Movements***by*Schlögl, Erik & Daniel Sommer**292 Descriptive Approaches to Cooperation***by*Selten, Reinhard**290 Ethics in a Market Economy***by*Krelle, Wilhelm**288 How (not) to sell nuclear weapons***by*ehiel, Philippe & Benny Moldovanu & Ennio Stacchetti**287 Strategic Non-Participation***by*Jehiel, Philippe & Benny Moldovanu**286 Cyclical Delay in Infinite Horizon Bargaining with Externalities***by*Jehiel, Philippe & Benny Moldovanu**285 Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates***by*D. Sondermann & K. Miltersen**284 On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition***by*Martin Schweizer**283 Intervention, Policy Coordination and the Future of EMU: A German Perspective***by*Weber, Axel A.**282 The Impact of Exchange Rate Fluctuations on European Community Trade***by*Sapir, André & Khalid Sekkat & Axel A. Weber**281 Testing Long-run Neutrality: Empirical Evidence for G7-Countries with Special Emphasis on Germany***by*Weber, Axel**280 Asymmetry in the EMS revisited: Evidence from the causality analysis of daily Eurorates***by*Henry, Jerome & Jens Weidmann**279 Closed form representations for the minimal hedging portfolios of American type contingent claims***by*A. N. Vishnyakov & Kramkov, D.O.**278 Racing for the Water: Laboratory Evidence on Subgame Perfection***by*Gardner, Roy & Michael R. Moore & James M. Walker**277 On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales***by*Christopeit, Norbert**276 Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure***by*Sommer, Daniel**275 Muddling Through: Noisy Equilibrium Selection***by*Binmore, Ken & Larry Samuelson**271 Learning to signal in markets***by*Nöldeke, Georg & Larry Samuelson**270 Experimental Sealed Bid First Price Auctions with Directly Observed Bid Functions***by*Selten, Reinhard & Joachim Buchta**269 Aggregierte Geldnachfrage in Europa. Eine empirische Untersuchung der Geldmenge M1***by*Wesche, Katrin**268 An Experiment on Forward- versus Backward Induction***by*Balkenborg, Dieter**265 A Projection Result for Semimartingales***by*Schweizer, Martin**263 On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures***by*D. Sondermann & Sandmann, K.

### 1993

**289 Core Implementation and Increasing Returns to Scale for Cooperation***by*Moldovanu, Benny & Eyal Winter**267 What is (AB)inverse?***by*Werner, Hans Joachim**266 When is B-A- a generalized inverse of AB ?***by*Werner, Hans Joachim**264 Stock Price Fluctuation as a Diffusion in a Random Environment***by*Föllmer, Hans**262 Approximating Random Variables by Stochastic Integrals***by*Schweizer, Martin**260 Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications***by*Musiela, Marek & Dieter Sondermann**259 Risk-Minimizing Hedging Strategies under Restricted Information***by*Schweizer, Martin**251 Auctions With Endogenous Bidder Participation***by*Harstad, Ronald M.**245 Signalling and Equilibrium Selection Part II: Nongeneric Games and Overview of Results***by*Mitzkewitz, Michael**239 Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie***by*Reimer, Matthias & Klaus Sandmann**238 Zustandspreise und die Modellierung des Zinsänderungsrisikos***by*Sandmann, K. & E. Schlögl**236 Experimental Results on Interactive Competitive Guessing***by*Nagel, Rosemarie**235 On the Art of Saying "No"***by*Jehiel, Philippe & Benny Moldovanu**234 Cyclical Delay in Bargaining with "Externalities"***by*Jehiel, Philippe & Benny Moldovanu**180 A Term Structure Model and the Pricing of Interest Rate Derivative***by*K. Sandmann & Sondermann, D.

### 1992

**226 Nonlinearities and Risk Premia in Daily Dollar-Mark Exchange Rate Movements***by*Roland Schmidt**223 An Empirical Evaluation of the Portfolio Model for the Dollar-Mark Exchange Rate***by*Roland Schmidt**218 On the Stationarity of the Real Exchange Rate and the Role of Transaction Costs***by*Roland Schmidt**216 The Evolutionary Foundations of Backward and Forward Induction***by*Georg Nöldeke & Larry Samuelson**215 Large Games and Economies With Effective Small Groups***by*Myrna Holtz Wooders**209 Option Pricing under Incompleteness and Stochastic Volatility***by*N. Hofmann & E. Platen & M. Schweizer

### 1991

**205 On Minimax Estimation in Linear Regression Models with Ellipsoidal Constraints***by*Norbert Christopeit & Kurt Helmes**203 On the Informational Efficiency of a Monopolistic Financial Market***by*Georg Nöldeke**201 Converting EMS to EMU: Why not at Par with Sterling?***by*Martin Klein & Manfred J. M. Neumann**200 The Equivalence of Core and Lindahl Equilibria in an Economy with Semi-Public Goods***by*Valery Vasil'ev & Shlomo Weber & Hans Wiesmeth

### 1990

**147 Consistent demands for coalition formation in NTU games***by*Benny Moldovanu & Eyal Winter

### 1989

**121 Option hedging for seminartingales***by*Schweizer,Martin

### 1985

**4 A survey of multidimensional scaling methods in econometrics***by*Schoenfeld,Peter**3 Hedging of non-redundant contingent claims***by*Foellmer,Hans Sondermann,Dieter

### Undated

**303 B385 New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration***by*Jens Weidmann**453 A Market Model for Stochastic Implied Volatility***by*Schönbucher, Philpp J.**441 Economics and Ethics Part I. The General Conception***by*Krelle, Wilhelm**438 Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market***by*Lux, T. & M. Marchesi**437 Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents***by*Lux, T. & M. Marchesi**436 The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange***by*Lux, T.**429 The Stochastic Finite Element Method and Application in Option Pricing***by*Look, Stefan**428 Oekonomische Grundlagen der Ethik***by*Krelle, Wilhelm**427 Sophisticated Imitation in Cyclic Games***by*Hofbauer, Josef & Karl H. Schlag**426 An Options Pricing Experiment with Professional Traders***by*Abbink, Klaus & Bettina Kuon