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We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
Buckling-restrained braces (BRBs) are often idealized with rate-independent simulation models. However, under dynamic loading, BRBs featuring low-yield point steel exhibit rate-dependency that may lead to appreciable amplifications of the BRB forces. This ...
ELSEVIER SCI LTD2021
We consider the asymmetric exclusion process with a driven tagged particle on Z which has different jump rates from other particles. When the non-tagged particles have non-nearest-neighbor jump rates , we show that the tagged particle can have a speed whic ...
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
2020
A yield curve is a line plotting bond yields (i.e. interest rates) as a function of their maturity date (their "expiration date''). When on a national scale, the yield curve represents the underlying interest rate structure of a country's economy. It is fu ...
2020
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We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...
When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
