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We study the pricing and hedging of contingent claims that are subject to Event Risk which we define as rare and unpredictable events whose occurrence may be correlated to, but cannot be hedged perfectly with standard marketed instruments. The super-replic ...
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...
Motivating workers to provide significant effort has been recognized as an important issue in crowdsourcing. It is important not only to compensate worker effort, but also to discourage low-quality workers from participating. Several proper incentive schem ...
A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...
Recent experiments have shown that spike-timing-dependent plasticity is influenced by neuromodulation. We derive theoretical conditions for successful learning of reward-related behavior for a large class of learning rules where Hebbian synaptic plasticity ...
Despite numerous discussions, workshops, reviews and reports about responsible development of nanotechnology, information describing health and environmental risk of engineered nanoparticles or nanomaterials is severely lacking and thus insufficient for co ...
Daily activity reflects the health status of an individual. Ageing and disease drastically affect all dimensions of mobility, from the number of active bouts to their duration and intensity. Performing less activity leads to muscle deterioration and furthe ...