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Spatiotemporal Brain Signatures of Risk and Reward

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Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...

2012

Price Theory in Economics

Thomas Alois Weber

This paper reviews topics in price theory such as rational choice, Walrasian equilibria, complete and incomplete markets, externalities and nonmarket goods, strategic pricing with complete and incomplete information, and some behavioral anomalies. Contains ...

EPFL2012

Demystifying Rational Financial Decision-Making

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

Hedging Electricity Swing Options in Incomplete Markets

Daniel Kuhn, Wolfram Wiesemann

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

MAOA-L carriers are better at making optimal financial decisions under risk

Genes can affect behaviour towards risks through at least two distinct neurocomputational mechanisms: they may affect the value assigned to different risky options, or they may affect the way in which the brain adjudicates between options based on their va ...

2011

Noise in brain activity engenders perception and influences discrimination sensitivity

Fosco Bernasconi, Athina Tzovara

Behavioral and brain responses to identical stimuli can vary with experimental and task parameters, including the context of stimulus presentation or attention. More surprisingly, computational models suggest that noise-related random fluctuations in brain ...

Society for Neuroscience2011

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010