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A large body of empirical evidence suggests that beliefs systematically deviate from perfect rationality. Much of the evidence implies that economic agents tend to form forecasts that are excessively influenced by recent changes. We present a parsimonious ...
In this article we develop a systematic approach to enforce strong feasibility of probabilistically constrained stochastic model predictive control problems for linear discrete-time systems under affine disturbance feedback policies. Two approaches are pre ...
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffu- sion. We introduce a new, intrinsic characte ...
We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...
This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...
Ionic liquids have been identified as a new class of solvent that offers opportunities to move away from the traditional solvents. The physical-chemical properties of ionic liquids can be tuned and controlled by tailoring their structures. The typical prop ...
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...
Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...
We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...
In this paper, we propose a new Distributed Video Coding (DVC) architecture where motion estimation is performed both at the encoder and decoder, effectively combining global and local motion models. We show that the proposed approach improves significantl ...
