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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 ...
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 ...
This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...
Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011
Existing methods for demand response either assume direct control of appliances by supplier, or assume that consumers adapt their load by reacting to pricing signals. The former are intrusive and might not scale well; the latter expose consumers to price v ...
We examine whether equity volatility can explain the difference in syndicated corporate loan spreads paid by U.S. and European borrowers first documented by Carey and Nini (2007). We argue that OLS estimates of the association between equity volatility and ...
In this paper, we present a quantitative, trajectory-based method for calibrating stochastic motion models of water-floating robots. Our calibration method is based on the Correlated Random Walk (CRW) model, and consists in minimizing the Kolmogorov-Smirno ...
Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
Within the global challenge of climate change and energy security, hydrogen is considered as a promising decarbonized energy vector to be used in electricity production and transportation. In this paper, the thermo-chemical production of hydrogen by natura ...
We evaluate financial assets with payoffs linked to individual labor income, as conceived by Shiller (2003) and others. Using a realistically calibrated life-cycle model, we find that such assets can generate nontrivial welfare benefits, depending on the p ...
This paper employs a small open economy DSGE model, estimated over 1986-2009, to decompose the dynamic influence of domestic and international prices on the Canada-US real exchange rate. While the real exchange rate mimics the dynamic behavior of the relat ...
Ghent University Faculty of Economics and Business Administration Working Paper 2010/6552011
