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Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...
This paper addresses the techno-economic evaluation and optimisation of processes converting lignocellulosic biomass into liquid fuels, through the development of a suitable framework and the modelling and design of Biomass to Liquids (BTL) processes. In p ...
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...
This project was initialized by Professor Prandoni from EPFL in the context of a bachelor project entitled "Maintainable Online Coursese". The motivations for this project was the lack of intuitive slideshow annotation software considering the current boom ...
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 ...
In this thesis, we explore possible stabilisation methods for the reduce basis approximation of advection-diffusion problems, for which the advection term is dominating. The options we consider are mainly inspired by the Variational Multiscale method (VMS) ...
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...
We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...
The calculation of the inverse scalelengths R/LT, R/Ln may depend on the choice of the radial variable, depending on the definition of the scalelength. The value of λT and λn, as defined in [O. Sauter {\it et al}, Phys. Plasmas {\bf ...
Elementary Motion Detectors (EMD) are well-established models of visual motion estimation in insects. The response of EMDs are tuned to specific temporal and spatial frequencies of the input stimuli, which matches the behavioural response of insects to wid ...
