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Driven by the need to solve increasingly complex optimization problems in signal processing and machine learning, there has been increasing interest in understanding the behavior of gradient-descent algorithms in non-convex environments. Most available wor ...
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
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 ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
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 ...
Chitosan (CS) is a natural biopolymer that has gained great interest in many research fields due to its promising biocompatibility, biodegradability, and favorable mechanical properties. The versatility of this low-cost polymer allows for a variety of chem ...
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 ...
During the last decades, adhesives have become more preponderant as serious options to traditional mechanical ways of bonding things together. From airplane engineering to construction the advantages of such technique have pushed the innovation and conduct ...
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
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 ...
