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Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
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 EP ...
We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...
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 ...
Plant natural products (PNPs) and their derivatives are important but underexplored sources of pharmaceutical molecules. To access this untapped potential, the reconstitution of heterologous PNP biosynthesis pathways in engineered microbes provides a valua ...
We propose a new formulation to non-rigid structure-from-motion that only requires the deforming surface to preserve its differential structure. This is a much weaker assumption than the traditional ones of isometry or conformality. We show that it is neve ...
We propose a new formulation to the non-rigid structure-from-motion problem that only requires the deforming surface to meaning that its differential structure is preserved. This is a much weaker assumption than the traditional ones of isometry or conforma ...
Binary dielectric metasurfaces are arrays of sub-wavelength structures that act as a thin layer of artificial material. They are generally lossless and relatively simple to fabricate since only a single structuring step is required. By carefully designing ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...