An optimal prediction problem in financial modelling

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The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

Functional data are typically modeled as sample paths of smooth stochastic processes in order to mitigate the fact that they are often observed discretely and noisily, occasionally irregularly and sparsely. The smoothness assumption is imposed to allow for ...

Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

We consider fluid flows, governed by the Navier-Stokes equations, subject to a steady symmetry-breaking bifurcation and forced by a weak noise acting on a slow timescale. By generalizing the multiple-scale weakly nonlinear expansion technique employed in t ...

Two -particle Bose-Einstein momentum correlation functions are studied for charged-hadron pairs in lead -lead collisions at a center -of -mass energy per nucleon pair of .'/sNN = 5.02 TeV. The data sample, containing 4.27 x 109 minimum bias events correspo ...

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

In light of the challenges posed by climate change and the goals of the Paris Agreement, electricity generation is shifting to a more renewable and decentralized pattern, while the operation of systems like buildings is increasingly electrified. This calls ...

We consider the problem of defining and fitting models of autoregressive time series of probability distributions on a compact interval of Double-struck capital R. An order-1 autoregressive model in this context is to be understood as a Markov chain, where ...

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

We present a numerical model for the approximation of multiphase flows with free surfaces and strong interfacial effects. The model relies on the multiphase incompressible Navier-Stokes equations, and includes surface tension effects on the interfaces betw ...

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

Despite the widespread empirical success of ResNet, the generalization properties of deep ResNet are rarely explored beyond the lazy training regime. In this work, we investigate scaled ResNet in the limit of infinitely deep and wide neural networks, of wh ...

We propose a novel approach to evaluating the ionic Seebeck coefficient in electrolytes from relatively short equilibrium molecular dynamics simulations, based on the Green-Kubo theory of linear response and Bayesian regression analysis. By exploiting the ...

A kernel method for estimating a probability density function from an independent and identically distributed sample drawn from such density is presented. Our estimator is a linear combination of kernel functions, the coefficients of which are determined b ...

Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results by Deike et al. (J. Fluid Mech., vol. 829, 2017, ...

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

Electric vehicle charging facilities offer their capacity constrained electric charge and parking to users for a fee. As electric vehicle adoption grows, so too does the potential for excessive resource utilization. In this paper, we study how prices set b ...

Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affec ...

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

An optimal prediction problem in financial modelling

Chattez avec Graph Search

Monopoly Pricing with Unknown Demand

Functional data analysis with rough sample paths?

Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Asset life, leverage, and debt maturity matching

Noise-induced transitions past the onset of a steady symmetry-breaking bifurcation: The case of the sudden expansion

Two-particle Bose-Einstein correlations and their Lévy parameters in PbPb collisions at √sNN=5.02 TeV

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Quantifying the Unknown: Data-Driven Approaches and Applications in Energy Systems

On distributional autoregression and iterated transportation

Takeover Protections and Asset Prices

A cut-cell method for the numerical simulation of 3D multiphase flows with strong interfacial effects

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Generalization of Scaled Deep ResNets in the Mean-Field Regime

Seebeck Coefficient of Ionic Conductors from Bayesian Regression Analysis

Density estimation in RKHS with application to Korobov spaces in high dimensions

Stochastic particle transport by deep-water irregular breaking waves

Closed form approximation methods for portfolio valuation and risk management

Resource aware pricing for electric vehicle charging

On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development