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 ...
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 ...
