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 ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
In this study, we present a technical and economic assessment of high-current HTS bus bars for primary use in fusion reactors. Our objective is to verify the technical feasibility of such conductors and, for this purpose, we carry out a conceptual design o ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solu ...
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 present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is eas ...
We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...
Emerging sensing technologies such as probe vehicles equipped with Global Positioning System (GPS) devices on board provide us real-time vehicle trajectories. They are helpful for the understanding of the cases that are significant but difficult to observe ...
Various countries and communities are defining or rethinking their energy strategy driven by concerns for climate change and security of energy supply. Energy models, often based on optimization, can support this decision-making process. In the current ene ...
isual paradigms are versatile tools to investigate the pathophysiology of schizophrenia. Contextual modulation refers to a class of paradigms where a target is flanked by neighbouring elements, which either deteriorate or facilitate target perception. It i ...
This thesis has two objectives. The first objective is to better understand the value of energy efficiency in buildings and its relationship to secondary market real estate prices. The second objective is to understand the cost of the implied insurance inc ...
This thesis discusses the difficulties of pricing real estate by using the existing financial economic theory and investigates an alternative approach in order to take into account the 'unique' nature of real estate risk. It consists of three essays placin ...
Composite materials are increasingly used in high volume automotive applications, usually as a replacement for assemblies of multiple metallic parts such as stamped and spot-welded steel sheets. One of the motivations is to reduce tooling and assembly cost ...
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 ...
The restructuring of the electricity supply industry (ESI) has introduced new actors and market mechanisms. Electricity prices are more market oriented and fluctuate greatly. These changes bring about more uncertainties and risks to the market participants ...
