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A yield curve is a line plotting bond yields (i.e. interest rates) as a function of their maturity date (their "expiration date''). When on a national scale, the yield curve represents the underlying interest rate structure of a country's economy. It is fu ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...
The integration of renewable energy sources within the built environment is a compelling challenge to tackle. With the recent climate targets aiming at a carbon neutral energy supply by the mid-century, a modern building energy system (BES) should maximize ...
Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...
In nature, climbing trees and pipes of varying diameters or even navigating inside of hollow pipes and tree holes is easy for some climbing animals and insects. However, today's pipe-climbing robots, which are important for automatically conducting periodi ...
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
Some climate engineering technologies are being developed to remove CO2 from the atmosphere (carbon dioxide removal, CDR), which is expected to contribute to reducing and preventing climate change. Some other technologies (solar radiation modification, SRM ...
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 ...
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 ...