In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
Research Summary: This article investigates venture capital (VC) decision-making, a process that occurs under changing conditions and limited, ambiguous information. We shed new light on the inherent dynamics of this strategic process. One of the key disti ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...
The calculations performed for the design and operation of a Nuclear Power Plant (NPP) are a key factor for their safety analyses. The standard for the computational analysis of NPPs is the so called conventional approach, which relies on coarse mesh diffu ...
In this study, we move beyond the predominant focus entrepreneurship researchers have put on the acquisition of financial capital from professional investors by exploring how, and with what effects, entrepreneurs can mobilize all required resources?financi ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...
The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...
Angel funding is an important source of capital for startup ventures (J. Sohl 2019), providing a similar level of capital as institutional venture capital (OECD 2011). But angel funding is challenging to study due to the informal nature of the activity. A ...
Theidentity of entrepreneurs(IoE) has become a popular concept in entrepreneurship research, for example, to explain entrepreneurial behavior. Yet, despite growing interest in this topic, theoretical and terminological inconsistencies have hampered the dev ...
Creating new ventures is one of the most central topics to entrepreneurship and is a critical step from which many theories of management, organizational behavior, and strategic management build. Therefore, this review and proposed research agenda are rele ...
This thesis consists of three chapters that study separate subjects in the area of corporate governance and financial intermediation.In the first chapter, I study a protectionist anti-takeover law introduced in 2014 in France that covers a subset of all ...
This thesis consists of three parts that study separate subjects in corporate finance and corporate governance. The overarching theme is ownership by CEOs and other insiders.In the first part, which is co-authored work with Rüdiger Fahlenbrach, René M. ...
The integration of renewable energy sources within the built environment is a compelling challenge to tackle. With the recent climate targets aiming at a carbon neutral energy supply by the mid-century, a modern building energy system (BES) should maximize ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
