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We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...
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 ...
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. ...
How does the presence of financial constraints influence which firms become acquirers, and average ownership structures and divestiture rates of acquisitions? To address these questions, we develop a tractable model of M&As in financially underdeveloped ma ...
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 ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
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 ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
The volatility distribution of the organic aerosol (OA) and its sources during the Southern Oxidant and Aerosol Study (SOAS; Centreville, Alabama) was constrained using measurements from an Aerodyne high-resolution time-of-flight aerosol mass spectrometer ...
Let d be a fixed positive integer and let epsilon > 0. It is shown that for every sufficiently large n >= n(0)( d, e), the d-dimensional unit cube can be decomposed into exactly n smaller cubes such that the ratio of the side length of the largest cube to ...
