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We consider a durable-goods monopolist who is able to control the collaborative consumption of its goods on an aftermarket by a sharing tariff. Consumers are heterogeneous with respect to their respective need propensities in each period. We show that the ...
Pulmonary hypertension is a hemodynamic disorder defined by an abnormal elevation of pulmonary artery pressure (PAP). Current options for measuring PAP are limited in clinical practice. The aim of this study was to evaluate if electrical impedance tomograp ...
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
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 ...
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 ...
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 ...
During the last decades, adhesives have become more preponderant as serious options to traditional mechanical ways of bonding things together. From airplane engineering to construction the advantages of such technique have pushed the innovation and conduct ...
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 ...
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 ...
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...