Exchange options with stochastic liquidity risk

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In this work we compare two different options to perform on-line subjective quality assessment experiments in the context of the Call for Evidence on JPEG Pleno Point Cloud Coding. A deep-learning based point cloud codec submitted to the Call was tested ag ...

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. ...

About 50% of all hydropower plants (HPPs) worldwide were originally commissioned more than 40 years ago, so that the advanced age of the fleet is a major concern across all continents, and especially in Europe. The modernization of HPPs can generate severa ...

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 ...

Understanding the origins of militarized conflict is a complex, yet important undertaking. Existing research seeks to build this understanding by considering bi-lateral relationships between entity pairs (dyadic causes) and multi-lateral relationships amon ...

We consider a durable-goods monopolist who is able to control the collaborative consumption of its goods on an aftermarket by a sharing tariff. Consumers are heterogeneous with respect to their respective need propensities in each period. We show that the ...

In the past two decades, wind energy has been under fast development worldwide. The dramatic increase of wind power penetration in electricity production has posed a big challenge to grid integration due to the high uncertainty of wind power. Accurate real ...

This article focuses on the use of biomass to produce transportation fuels such as synthetic natural gas, bioethanol and electricity under a sustainable scenario in West Africa in 2050. The aim of this work was to evaluate the feasibility of producing such ...

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

This paper considers an additive Gaussian noise channel with arbitrarily distributed finite variance input signals. It studies the differential entropy of the minimum mean-square error (MMSE) estimator and provides a new lower bound which connects the diff ...

Hadron and proton therapy are cutting edge techniques for cancer treatment and a great development of specialized medical centers and research facilities is foreseen in the next decades. One of the main obstacles to the penetration of the use of charged pa ...

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...

Exchange options with stochastic liquidity risk

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Comparison of Remote Subjective Assessment Strategies in the Context of the JPEG Pleno Point Cloud Activity

A term structure model for dividends and interest rates

Assessing the energy potential of modernizing the European hydropower fleet

Markov cubature rules for polynomial processes

Classifying Dyads for Militarized Conflict Analysis

Nonlinear Pricing of Shareable Products

Numerical Weather Prediction and Artificial Neural Network Coupling for Wind Energy Forecast

Using agricultural residues for sustainable transportation biofuels in 2050: Case of West Africa

Informational frictions in financial markets

Differential Entropy of the Conditional Expectation under Gaussian Noise

Magnetic Design of a Superconducting Toroidal Gantry for Hadron Therapy

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Essays in Banking and Financial Regulation

Informed Trading in the Stock Market and Option Price Discovery

Polynomial Jump-Diffusion Models