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This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...
EPFL2017
We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...
Quantifying behavior is crucial for many applications in neuroscience. Videography provides easy methods for the observation and recording of animal behavior in diverse settings, yet extracting particular aspects of a behavior for further analysis can be h ...
The aim of this paper is twofold: first, I aim at understanding how producer cooperatives compete in the factor markets; and second, I analyse how producer cooperatives influence the competitive dynamics of the markets where they compete. With this paper w ...
2016
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In this paper, we investigate an area-based pricing scheme for congested multimodal urban networks with the consideration of user heterogeneity. We propose a time-dependent pricing scheme where the tolls are iteratively adjusted through a Proportional-Inte ...
Elsevier2016
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This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...
Springer Verlag2016
An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...
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 article introduces an analytical model to compute the monotonic force–displacement response of in-plane loaded unreinforced brick masonry walls accounting for walls failing in shear or flexure. The masonry wall is modelled as elastic in compression wit ...
In this work, we present a motion planning framework for automated vehicles to drive safely through intersections despite occlusions and the uncertain behavior of the surrounding vehicles. A context representation based on probably-free gaps is proposed as ...
