We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...
Modern datacenters need to tackle efficiently the increasing demand for computing resources while minimizing energy usage and monetary costs. Power market operators have recently introduced emerging demand-response programs, in which electricity consumers ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...
In the proposed work, the dynamic performances of a miniature soft Magneto-Rheological (MR) shock absorber are analyzed. The final application for which the damper has been designed and in which it will be embedded is a variable stiffness insole for patien ...
Institute of Electrical and Electronics Engineers Inc.2016
This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns.In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...
This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
This introductory, along with the eight articles contained within this Special Issue, highlights and brings greater clarity to entrant-incumbent interactions and to firm movement - when entrants traverse market territories for the creation and/or delivery ...
Decision making in electricity markets under uncertainty has worldwide gained attention due to an increasing number of uncertain parameters associated to technology developments and market evolution. Hence, the market operator faces new challenges pertaini ...
