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The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...
In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...
It is a well-known fact that nowadays reliable traffic data are an indispensable prerequisite for efficient traffic control and planning. Nevertheless, traffic monitoring in urban areas is still difficult and expensive due to complex traffic dynamics and r ...
Mammalian cells in bioreactors as production host are the focus of this review. We wish to briefly describe today's technical status and to highlight emerging trends in the manufacture of recombinant therapeutic proteins, focusing on Chinese hamster ovary ...
Here we describe a simplified method for transient gene expression (TGE) in suspension-adapted Chinese hamster ovary (CHO) cells using polyethylenimine (PEI) for DNA delivery. Both the transfection and production phases of the bioprocess were performed at ...
The implementation of a new type of labyrinth spillway, called PKW (Piano Key Weir) reveals as a performing alternative for increasing the overflow capacity of existing dams. The optimal hydraulic design of such structure is however not obvious due to the ...
Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a “contagion-risk” channel, where the aggregate corporate bond index reacts adv ...
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...
We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...
Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...
