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We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...
This thesis describes the utilization of nitrous oxide N2O as an oxidant in oxidative cou-pling reactions and as a nitrogen atom donor in the synthesis of 1-alkynyltriazene and further reactivity of the latter. An overview of N2O and its reactivity is give ...
We model oil price dynamics in a general equilibrium production economy with two goods: a consumption good and oil. Production of the consumption good requires drawing from oil reserves at a fixed rate. Investment necessary to replenish oil reserves is cos ...
The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...
The surface energy balance algorithm for land (SEBAL) has been successfully applied to estimate evapotranspiration (ET) and yield at different spatial scales. However, ET and yield patterns have never been investigated under highly heterogeneous conditions ...
We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can pro ...
The study consists of two interrelated parts. In the first part, we aim to identify the best predictive model of day-ahead electricity prices. In particular, we verify the existence of a dependence of the spot price on power generation and variable costs o ...
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
