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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 ...
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is eas ...
The successful management of capital-intensive development and engineering projects requires a careful timing of the involved cash in- and outflows. To this end, the project management literature proposes to schedule the project activities so as to maximiz ...
This thesis has two objectives. The first objective is to better understand the value of energy efficiency in buildings and its relationship to secondary market real estate prices. The second objective is to understand the cost of the implied insurance inc ...
We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...
Various countries and communities are defining or rethinking their energy strategy driven by concerns for climate change and security of energy supply. Energy models, often based on optimization, can support this decision-making process. In the current ene ...
isual paradigms are versatile tools to investigate the pathophysiology of schizophrenia. Contextual modulation refers to a class of paradigms where a target is flanked by neighbouring elements, which either deteriorate or facilitate target perception. It i ...
Emerging sensing technologies such as probe vehicles equipped with Global Positioning System (GPS) devices on board provide us real-time vehicle trajectories. They are helpful for the understanding of the cases that are significant but difficult to observe ...
Areas/Paper type – 08. Integration of renewable energy in the built environment, Methodology Background – Today’s simulation technology in engineering and architecture are very impressive. As a result technology developers have a good idea of the resulting ...
