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This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large r ...
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
We investigate the willingness of individuals to persist at exploration in the face of failure. Prior research suggests that the organization's "tolerance for failure" may motivate greater exploration by the individual. Little is known, however, about how ...
Car-sharing systems are an attractive alternative to private vehicles due to their benefits in terms of mobility and sustainability. However, the distribution of vehicles throughout the network in one-way systems is disturbed due to asymmetry and stochasti ...
Orifices are largely used in pipeline systems. The most common application is to measure the discharge of the water flowing through. However, orifices may be used to adapt hydroelectric power plants submitted to moderate increase of installed generation ca ...
An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...
When faced with a decision, most people like to know the odds and prefer to avoid ambiguity. It has been suggested that this aversion to ambiguity is linked to people's assumption of worst possible outcomes. We used two closely linked behavioural tasks in ...
Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
