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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 ...
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 ...
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 ...
Under appropriate cooperation protocols and parameter choices, fully decentralized solutions for stochastic optimization have been shown to match the performance of centralized solutions and result in linear speedup (in the number of agents) relative to no ...
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 ...
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 ...
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 derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...
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 ...
Despite the relevance of wear in many engineering applications, our understanding of the connection between mechanisms at the nanoscale and the observed wear rates of contacting parts at the macroscale remains limited. Recent work in our group has therefor ...
