In: The Journal of the Acoustical Society of America, 2018, vol. 143, no. 2, p. 1049–1063
A combination of two models previously developed by Faran, and Atkinson and Kytömaa (Faran-AK model) was used to calculate the ultrasonic attenuation and the backscattering signal of a suspension of particles. The model of Atkinson and Kytömaa yielded the viscoelastic contributions while the model of Faran yielded the scattering contribution. A comparison with the more fundamental model by...
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Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.
My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...
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