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BIOGEME is a free software package for estimating by maximum likelihood a broad range of random utility models. It can estimate particularly Multivariate Extreme Value (MEV) models including the logit model, the nested logit model, the cross-nested logit m ...
In the European electricity market, transmission rights currently evolve from a physical to a financial nature. This requires a fundamental change in the underlying market design and the institutional setup. This paper applies the framework of congestion r ...
Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...
We present experimental evidence that, unlike traditional assumptions in economic theory, security prices do not respond to pressure from their own excess demand. Instead, prices respond to excess demand of all securities, despite the absence of a direct l ...
Discrete choice models are constantly in evolution in the literature. Since they enable to capture wide range of situations, they have been widely used by researchers and also practitioners in several fields of applications including econometrics and trans ...
Finance does not represent the desirability of a gamble in terms of a score on a unidimensional scale, but rather in terms of the trade-off or conflict between various statistical features of the payoff. The approach facilitates computations and dramatical ...
This thesis comprises three essays on the relationship between innovation and finance. Although previous research has acknowledged the multi-faceted nature of innovation, this thesis unpacks its constituent elements, compares alternative drivers of innovat ...
Discrete choice models are constantly in evolution in the literature. Since they enable to capture wide range of situations, they have been widely used by researchers and also practitioners in several fields of applications including econometrics and trans ...
Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of the new Solvency II framework for the regulation of European insurance undertakings. In this paper, we propose a conceptual fr ...
In all the existing literature on survival in heterogeneous economies, the rate at which an agent vanishes in the long run relative to another agent can be characterized by the difference of the so-called survival indices, where each survival index only dep ...
