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Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...
In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate nonnegative. In its simplest form, the model ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
Pulmonary hypertension is a hemodynamic disorder defined by an abnormal elevation of pulmonary artery pressure (PAP). Current options for measuring PAP are limited in clinical practice. The aim of this study was to evaluate if electrical impedance tomograp ...
Distributed plasticity Euler-Bernoulli fiber beams are regularly used by researchers and practitioners to simulate the nonlinear seismic response of reinforced concrete framed structures. This study presents a sensitivity analysis, combining newly proposed ...
With the help of thermodynamics and system engineering techniques, we will discuss options to make a country like Switzerland 100% renewable and even negative in carbon dioxide emissions. ...
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...
When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...
