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Pricing Autocallables under Local-Stochastic Volatility
(2023)Peter Carr Gedenkschrift: Research Advances in Mathematical FinanceThis chapter investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic derivatives. The autocallable payoff embeds an early redemption feature generating strong path and model dependency. Consequently, the commonly used local volatility (LV) model is overly simplified ...Book Chapter -
Approximation with Independent Variables
(2023)Peter Carr Gedenkschrift: Research Advances in Mathematical FinanceGiven a square integrable m-dimensional random variable X on a probability space (Ω,F, P) and a sub sigma-algebra A, we show that there exists another m-dimensional random variable Y, independent of A and minimizing the L2 distance to X. Such results have an importance to fairness and bias reduction in artificial intelligence, machine learning and network theory.Book Chapter -
Dietary Change and Global Sustainable Development Goals
(2024)Frontiers Research Topics ~ How to Achieve a Planetary Health Diet Through System and Paradigm Change?Book Chapter -
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Conceptual Design of Structures in the Digital Age
(2024)Conceptual Design of StructuresBook Chapter -
GERMAN FAMILIES: East-west differences in diversity
(2023)The Changing Faces of Families: Diverse Family Forms in Various Policy ContextsIn 1990, German reunification combined two societies which had developed significant differences relating to families and gender over 40 years of separation. Despite the new political and economic framework, some differences still persist. Thus, for the analysis of family diversity in Germany, it is essential to consider the differences between East and West Germany. In both regions, the diversity of family forms has increased significantly ...Book Chapter -
Explaining the socio-economic output of urban regions with a model combining urban scaling and polycentricity
(2024)Urban Scaling: Allometry in Urban Studies and Spatial ScienceUrban scaling theory and polycentric urban development are two well-known concepts that draw parallels between configurations and socio-economic conditions of urban regions. Both concepts, however, have some drawbacks, which could potentially be alleviated by combining them in a new model. In this study, income in urban regions in Switzerland is explained by combining the hierarchy of a region’s commuter network (i.e. indicator for ...Book Chapter -
Extension of Quasicocycles from Hyperbolically Embedded Subgroups
(2022)London Mathematical Society Lecture Note Series ~ Bounded Cohomology and Simplicial VolumeBook Chapter -
Toward the “Perfect” Shunt: Historical Vignette, Current Efforts, and Future Directions
(2024)Advances and Technical Standards in Neurosurgery ~ Advances and Technical Standards in NeurosurgeryAs a concept, drainage of excess fluid volume in the cranium has been around for more than 1000 years. Starting with the original decompression-trepanation of Abulcasis to modern programmable shunt systems, to other nonshunt-based treatments such as endoscopic third ventriculostomy and choroid plexus cauterization, we have come far as a field. However, there are still fundamental limitations that shunts have yet to overcome: namely ...Book Chapter -
Soil water concepts
(2024)Microirrigation for Crop Production: Design, Operation and ManagementMicroirrigation with partial soil wetting from point or line water sources often applied at high frequency gives rise to unique soil water regimes where soil transport properties are more important than soil water storage capacity. We review key soil variables and functions that are required for irrigation design and management and emphasize multidimensional flow patterns and their mathematical representation. Knowledge of wetting patterns ...Book Chapter