We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...
This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises.The first chapter shows that financial recessions are typically characterised by a large ...
Predictive models based on machine learning (ML) offer a compelling promise: bringing clarity and structure to complex natural and social environments. However, the use of ML poses substantial risks related to the privacy of their training data as well as ...
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
Security system designers favor worst-case security metrics, such as those derived from differential privacy (DP), due to the strong guarantees they provide. On the downside, these guarantees result in a high penalty on the system's performance. In this pa ...
In addition to individual practices and access to water, sanitation, and hygiene (WASH) facilities, housing conditions may also be associated with the risk of diarrhea. Our study embraced a broad approach to health determinants by looking at housing depriv ...
Risk management has become an essential element in the functioning of modern society. Correct risk identification and assessment are undoubtedly crucial to improving overall safety; nevertheless, often, it is accompanied by the wrong selection of correctiv ...
