Modelling price pressure in financial markets

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This thesis consists of two chapters that study separate subjects in the area of corporate finance. The first chapter, titled â Economic Gains in Bank Mergers and Acquisitions â Evidence from Targetsâ , investigates economic gains in bank mergers and ...

Oligopolistic competition occurs in various transportation markets. In this paper, we introduce a framework to find approximate equilibrium solutions of oligopolistic markets in which demand is modeled at the disaggregate level using discrete choice models ...

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 ...

As an important policy instrument for guiding innovation, the patent system involves a long-standing tension between creating economic rewards for the original innovators and stifling subsequent R&D activities. The availability of new data allows us to pro ...

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

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. ...

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 ...

Ever since the links between the development of new technologies and economic growth became evident, researchers have attempted to study how the creation of knowledge fosters progress. If pushing the frontier of knowledge has an impact on progress and well ...

Electricity markets are currently experiencing a period of rapid change. The intermittent nature of renewable energy is disrupting the conventional methods used in operational planning of the electrical grid, causing a shift from a day-ahead forecast polic ...

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 ...

Modelling price pressure in financial markets

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Essays in Financial Economics

A Simulation-Based Heuristic to Find Approximate Equilibria with Disaggregate Demand Models

Informational frictions in financial markets

Essays on the Economics of Innovation: Incentives, Diffusion, and Disparity

Market Structure and Transaction Costs of Index CDSs

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

Polynomial Jump-Diffusion Models

The organisation of science: topics, incentives and funding

Industrial flexibility as demand-side response for electrical grid stability

Informed Trading in the Stock Market and Option Price Discovery