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Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Publications associées (57)

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Spatiotemporal Brain Signatures of Risk and Reward

Anjali Devi Vanapilli Nursimulu

Rational economics and finance surmise that choices decree from a conscious arbitration between alternatives based on decision-theoretically computed values. Implicit in the computation of these option values are the perception and integration of different ...

Ecole Polytechnique Fédérale de Lausanne2012

CEO Contract Design: How Do Strong Principals Do It?

Rüdiger Fahlenbrach

We study changes in chief executive officer (CEO) contracts when firms transition from public ownership with dispersed owners to private ownership with strong principals in the form of private equity sponsors. The most significant changes are that a signif ...

Swiss Finance Institute Research Paper Series2012

Final-Focus Optics for the LHeC Electron Beam Line

José Luis Abelleira Fernández, Hector Garcia, Frank Zimmermann

One of the options considered for the ECFA-CERNNuPECC design study for a Large Hadron electron Collider (LHeC) based on the LHC is adding a recirculating energy-recovery linac tangential to the LHC. First designs of the electron Final Focus System have sho ...

2012

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...

Elsevier2011

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

Option Contracting in the California Water Market

Thomas Alois Weber

Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...

Springer Verlag2010

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

Measuring and assessing urban sprawl : What are the remaining options for future settlement development in Switzerland for 2030 ?

Martin Schuler, Alain Nicolas Jarne

Face à l’accélération du processus d’étalement urbain et aux changements significatifs du paysage qui en découlent en Europe, cet article s’interroge sur la possibilité de trouver des indicateurs permettant de mettre en évidence les régions sujettes à l’ét ...

Springer Verlag2010