In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate polic ...
We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...
Herein, the ligand-based concept of shortening quintuple bonds and some of its limitations are reported. In dichromium-diguanidinato complexes, the length of the quintuple bond can be influenced by the substituent at the central carbon atom of the used lig ...
Nonlinear storage-discharge relations may explain important hydrologic features frequently observed under a variety of environmental conditions. In this paper the catchment dynamic storage problem is addressed by incorporating nonlinear storage-discharge r ...
In this study continuous simulation flood frequency predictions on the Skalka catchment in the Czech Republic (672 km 2, range of altitudes from 460 to 1041 m above sea level), are compared against summary information of rainfall characteristics, the flow ...
We investigate the problem of online detection of complex activities (such as cooking, lunch, work at desk), i.e., recognizing them while the activities are being performed using parts of the sensor data. In contrast to prior work, where complex activity r ...
