We study the exponential utility indifference valuation of a contingentclaim H when asset prices are given by a general semimartingale S. Under mildassumptions on H and S, we prove that a no-arbitrage type condition is fulfilled ifand only if H has a certain representation. In this case, the...

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...

Nominal and real U.S. interest rates (1997–2007) are combined with inflationexpectations from the Survey of Professional Forecasters to calculate time series ofrisk premia. It is shown that survey data on inflation and output growth uncertainty,as well as a proxy for liquidity premia can...

In this paper, we consider the coherent theory of (epistemic) uncertainty ofWalley, in whichbeliefs are represented through sets of probability distributions, and we focus on the problemof modeling prior ignorance about a categorical random variable. In this setting, it isa known result that a...

We develop a convenient structural framework for the joint model-ing of credit spreads, stock prices, stock options and basket creditderivatives, using a multivariate structural ¯rm value model withskewed asset returns. We show that our setting successfully addressesseveral empirical facts,...

We develop a new completely affine model of the term structure of interest rates, in which the statevariables evolve as a matrix-valued process of stochastically correlated factors. This setting grants a newelement of flexibility in the simultaneous modeling of stochastic volatilities and...

We develop infinitesimally robust statistical procedures for general diffusion pro-cesses. We first prove existence and uniqueness of the times series influence functionof conditionally unbiased M{estimators for ergodic and stationary diffusions, underweak conditions on the (martingale)...

The increasing use of small wind energy has made it necessary to develop new methods to improve the efficiency of this technology. This improvement is best achieved considering the interaction between the various components, such as the wind rotors, the electrical generators, the rectifiers and...

This paper we present an energy review of the waste generated by shrub species in soils of low fertility for use as fuel in a power plant. The residues analysed belong to the species: Rhamus alaternus, Ulex europaeus, Prunus spinosa, Smilax aspera, Erica sp., Rubus ulmifolius, and Pteridium...

Purpose – The goal of this research has been to design and field test a multi‐use planetary rover vehicle. SCOUT has been developed to test advanced rover hardware and software technologies and to enable the development and demonstration of mission operations concepts applicable to future...