From e-government to e-governance: implications for technology management
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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 ...
We define quittable consensus, a natural variation of the consensus problem, where processes have the option to agree on "quit" if failures occur, and we relate this problem to the well-known problem of nonblocking atomic commit. We then determine the weak ...
Society for Industrial and Applied Mathematics2012
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 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 ...
