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This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an afflne Gaussian process. Using the underlying affine property ...
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 ...
Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...
This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and nece ...
We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a ...
We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...
Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...
The endowment effect is among the best known findings in behavioral economics and has been used as evidence for theories of reference-dependent preferences and loss aversion. However, a recent literature has questioned the robustness of the effect in the l ...
Many factors influence success and failure of large-scale faecal sludge and wastewater treatment projects in low-income countries. Benchmarking indicators and multicriteria analysis were adapted to define key institutional, technical and financial factors, ...
This paper aims to provide an insight into the urban governance of four medium-sized Haitian cities hit by the earthquake of 2010, bearing in mind two affirmations of J. Pierre on urban governance; namely, that it is the better analytical model for the con ...
