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We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. The framework accommodates general discrete choice ...
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 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 ...
In order to be able to bear the risk they are taking, insurance companies have to set aside a certain amount of cushion that can guarantee the payment of liabilities, up to a dened probability, and thus to remain solvent in case of bad events. This amount ...
In stochastic optimization models, the optimal solution heavily depends on the selected probability model for the scenarios. However, the scenario models are typically chosen on the basis of statistical estimates and are therefore subject to model error. W ...
Recombinant proteins have been produced for over 30 years. Applications range from enzymes used in laundry detergents to antigen-detecting antibodies in cancer therapy. Despite similarities in manufacturing, drastic differences in retail pricing between re ...
Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...
Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...
We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. With this framework, we can include general discret ...
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 ...
