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We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...
Valuation is a key topic in the financing and development of high growth companies. The goal of this study is to bridge the existing gap between the assessment of a company and the financial valuation. Many models exist to capture soft factors, and many mo ...
Risks related to the supply security of natural gas within the European Union gained in particular in importance in the context of the recent market liberalization. Prior to market opening the issue of security of supply has been principally covered by the ...
To be able to take effective and efficient decisions leading to transparent and comparable results between different risk situations, a consistent and systematic risk management process has to be followed (in this context called “integral risk management”) ...
We relate the value of growth options in the firm's investment opportunity set to the level of debt in the firm's capital structure. Underinestment costs of debt increase and free cash flow benefits fall with additional growth options. Thus, if debt capaci ...
The internet presents people with an increasingly bewildering variety of choices. Online consumers have to rely on computerized search tools to find the most preferred option in a reasonable amount of time. Recommender systems address this problem by searc ...
Association for Computing Machinery, New York, NY 10036-5701, United States2006
Our paper draws upon concrete research cases to show: firstly, how the approach, the perspective and the representational framework of eGovernment initiatives influence the nature of the changes taking place and, as too many problems remain unaddressed, wh ...
The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...
We derive analytically the first four conditional moments of the integrated variance implied by the GARCH diffusion process. From these moments we obtain an analytical closed-form approximation formula to price European options under the GARCH diffusion mo ...
