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 ...
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 introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
This paper proposes a pricing scheme for the day-ahead market in power systems with a large percentage of renewable stochastic production. To clear the day-ahead market, instead of a simplistic deterministic model, we use a two-stage stochastic programming ...
IEEE Institute of Electrical and Electronics Engineers2017
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 ...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
We study the relation between various notions of exterior convexity introduced in [S. Bandyopadhyay, B. Dacorogna and S. Sil, J. Eur. Math. Soc. 17 (2015) 1009-1039.] with the classical notions of rank one convexity, quasiconvexity and polyconvexity. To th ...
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
