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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 ...
The volatility distribution of the organic aerosol (OA) and its sources during the Southern Oxidant and Aerosol Study (SOAS; Centreville, Alabama) was constrained using measurements from an Aerodyne high-resolution time-of-flight aerosol mass spectrometer ...
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at high temporal frequency, we use limit theorems for multipower variations and related functionals to ...
I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
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 ...
A symmetrical trimethine indocyanine dye chromophore was modified with the bistriflylimide anion to study the changes in Coulomb interactions, thermal stability and the volatility of the organic salt. The bulky bistriflylimide anion minimizes electrostatic ...
As fossil fuel reserves are limited in stock and there is an urgent call to reduce the carbon footprint, distribution grids urgently need to move towards heavy use of local and distributed generation of electricity using renewable energy sources. Another p ...