Equilibrium Models for Derivatives Markets with Frictions
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Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
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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 introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...
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Paul Scherrer Institute, World Resources Forum2019
Oligopolistic competition occurs often in transportation as well as in other markets due to reasons such as barriers to entry, limited capacity of the infrastructure and external regulations. In transport oligopolies, suppliers are profit maximizers and ta ...
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...
We present a general framework to find epsilon-equilibrium solutions of oligopolistic markets in which demand is modeled at the disaggregate level using discrete choice models. Consumer choices are modeled according to random utility theory, and the choice ...
Oligopolistic competition occurs when a small number of operators compete for the same pool of customers. This is often the case in transportation, due to reasons such as external regulations, economies of scale and limited capacity of the infrastructure. ...
