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We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
The application of systematic methodologies for the optimal design of integrated processes has seen increased interest in literature, namely for bioprocesses. The development and application of such a methodology to ethanol and power production from sugarc ...
A growing number of technologies are being developed in order to produce different high added value products, such as phytochemicals, ethanol and other chemicals from biomass, representing an important trend that needs to be evaluated. The use of pressuriz ...
The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...
Chemical process optimization problems often have multiple and conflicting objectives, such as capital cost, operating cost, production cost, profit, energy consumption and environmental impact. There are several conversion technologies that can convert Sy ...
We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...
The application of methodologies for the optimal design of integrated processes has seen increased interest in literature. This article builds on previous works and applies a systematic methodology to an integrated first and second generation ethanol produ ...
This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...
We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...
