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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 ...
Background: Quantitative analysis of nanoparticle uptake at the cellular level is critical to nanomedicine procedures. In particular, it is required for a realistic evaluation of their effects. Unfortunately, quantitative measurements of nanoparticle uptak ...
This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...
Despite the availability of very detailed data on financial markets, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempt ...
Institute of Physics (IoP) and Deutsche Physikalische Gesellschaft2010
This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...
Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables lik ...
This research studies the reduction and the estimation of the noise level within a redundant configuration of low-cost (MEMS-type) inertial measurement units (IMUs). Firstly, independent observations between units and sensors are assumed and the theoretica ...
Measurements from load tests may lead to numerical models that better reflect structural behavior. This kind of system identification is not straightforward due to important uncertainties in measurement and models. Moreover, since system identification is ...
Financial flows are often treated in a fragmented and disconnected way from the physical product flow. Managers take decisions from an operational point of view concerning inventory, service level or capacity needs. The implementation of such decisions inf ...
The classical Markowitz approach to portfolio selection is compromised by two major shortcomings. First, there is considerable model risk with respect to the distribution of asset returns. Particularly, mean returns are notoriously difficult to estimate. M ...
