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We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...
The increase in penetration of wind in the current energy mix is hindered by its high volatility and poor predictability. These shortcomings lead to energy loss and increased deployment of fast ramping generation. The use of energy storage compensates to s ...
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
