Concept

Put option

Related publications (72)

Indian skilled migration and development: an introduction

By offering new empirical evidence on Indian skilled migration, this volume attempts to fill two gaps in the literature. Firstly, it contributes to a better understanding of the activities of Indian skilled professionals and students in continental Europe. ...

Springer2014

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Thin Film Metal Nanocluster Light-Emitting Devices

Björn Niesen

Light-emitting devices that utilize thin films of metal nanoclusters as quantum emitters are presented. Implementing Ag as well as Au nanoclusters, the versatility of the approach is demonstrated, and it is shown that the electroluminescence measured from ...

Wiley-V C H Verlag Gmbh2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Density approximations for multivariate affine jump-diffusion processes

Damir Filipovic

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial mom ...

Elsevier2013

CEO contract design: How do strong principals do it?

Rüdiger Fahlenbrach

We study changes in chief executive officer (CEO) contracts when firms transition from public ownership with dispersed owners to private ownership with strong principals in the form of private equity sponsors. The most significant changes are that a signif ...

Elsevier2013

Worst-Case Value at Risk of Nonlinear Portfolios

Daniel Kuhn

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are ...

2013

Energy integration optimisation of chilled ammonia process for CO2 capture

François Maréchal, Laurence Tock

Within the global challenge of climate change mitigation, CO2 capture and storage is regarded as a potential option to reduce the CO2 emissions in power plants. The most common technology to capture CO2 is chemical absorption with amines, requiring however ...

2013

External Venturing and Discontinuous Strategic Renewal: An Options Perspective

Anu Wadhwa

This study examines the relationship between a firm's venturing activities and its undertaking of strategic renewal. The study was motivated by some important gaps in the corporate entrepreneurship literature on venturing and renewal. The extant literature ...

Wiley-Blackwell2013

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