Unspanned stochastic volatility in the multifactor CIR model
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Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...
Minimax-fair machine learning minimizes the error for the worst-off group. However, empirical evidence suggests that when sophisticated models are trained with standard empirical risk minimization (ERM), they often have the same performance on the worst-of ...
Professionals in the building design and operation fields typically look at standards and guidelines as a reliable source of information and guidance with regard to procedural, contractual, and legal scope and requirements that are relevant to accountabili ...
Motivated by the goal of designing interventions for softening polarized opinions on the Web, and building on results from psychology, we hypothesized that people would be moved more easily towards opposing opinions when the latter were voiced by a celebri ...
"Coasean" institutions are an alternative institutional form that provides a solution to some market and coordination failures. As such they can weaken considerably the case for public subsidies in a vast range of context. They are "market-based" and an in ...
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
Following up a two-day invitation-only expert workshop in Geneva on the subject of Trust and Precision Medicine, IRGC published a workshop report in April 2018. This report addresses the concept of trust and conditions of trustworthiness in each of the thr ...
A growing body of evidence identifies clothing as an important mediator of human exposure to chemicals and particles, which may have public health significance. This paper reviews and critically assesses the state of knowledge regarding how clothing, durin ...
We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...
Many research efforts have so far been devoted to the topic of shear design of members without transverse reinforcement since the first development in structural concrete. This has allowed a number of significant advances in the understanding of the phenom ...