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We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...
This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...
Motivated by alternating game-play in two-player games, we study an altenating variant of the Online Linear Optimization (OLO). In alternating OLO, a learner at each round t ∈[n] selects a vector xt and then an adversary selects a cost-vector ct ∈[−1,1]n. ...
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...
Due to restricted weight and space budget on floating production, storage and offloading units (FPSO), the offshore utility systems have been limited to low-efficiency energy technologies. Moreover, owing to time-varying energy demands of the FPSOs, the ex ...
Due to restricted weight and space budget on floating production, storage and offloading units (FPSO), the offshore utility systems have been limited to low-efficiency energy technologies. Moreover, owing to time-varying energy demands of the FPSOs, the ex ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
