Searched for: subject%3A%22Pricing%22
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Rutten, Jurriaan (author)
This thesis presents a novel approach to the pricing of green bonds, a growing segment in financial markets with an emphasis on environmental sustainability. Unlike traditional financial instruments, green bonds uniquely incorporate environmental considerations, particularly carbon price (c_t), along with traditional factors like the short rate ...
master thesis 2024
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Blom, T. (author), Jenkins, Andrew (author), van den Dobbelsteen, A.A.J.F. (author)
The urban energy transition requires innovative heating and cooling systems, as well as enhanced flexibility in electricity usage. This paper explores the theoretical potential for vertical farms to contribute to the energy transition by supplying residual heat to local district heat networks and flexible electricity usage. A stepped approach...
journal article 2024
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He, P. (author), Jin, Jian Gang (author), Trépanier, Martin (author), Schulte, F. (author)
The burden of first-mile connection to public transit stations is a key barrier that discourages riders from taking public transportation. Public transit agencies typically operate a modest fleet of vehicles to provide first-mile services due to the high operating costs, thus failing to adequately meet the first-mile travel demands,...
journal article 2024
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Schuttenbeld, Maarten (author)
This thesis investigates the estimation of option-implied probability density functions for inflation using inflation options, focusing not only on the expected value but the whole distribution. The aim is to identify the most effective method for measuring the market expectation of future inflation. The research explores both parametric and non...
master thesis 2023
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van As, Vincent (author)
The research conducts an analysis of the Dutch day-ahead electricity market prices spanning from 2015 to 2022, examining the relationship between increasing RE penetration and day-ahead electricity price fluctuations. The electricity price fluctuations over this time period are reviewed for patterns and recalculated for inflation corrections...
master thesis 2023
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Bangerter, Felix (author)
This thesis presents a comprehensive exploration of the rough Heston model as a means to enhance financial derivative pricing and calibration in the context of the complex behavior of market volatility. Recognizing the limitations of classical models, such as the Black-Scholes and the standard Heston model, which assume constant or mean...
master thesis 2023
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Marques da Rocha Feliciano Pereira, Sofia (author)
Barrier options, although highly liquid financial derivatives, present notable pricing challenges. In this thesis, we present a novel pricing approach for valuing continuously-monitored knock-out barrier options within the framework of stochastic volatility models.<br/><br/>The underlying process is firstly modelled under geometric Brownian...
master thesis 2023
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Vemuru, Dhruv (author)
Routine maintenance is an essential requirement for the optimal functioning and longevity of any technical system that has been constructed. The issue occurs when the maintenance planning for such a structure becomes necessary. The adverse weather conditions prevalent in the Netherlands contribute to the heightened danger associated with the...
master thesis 2023
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Baricchio, Matteo (author)
Solar photovoltaic (PV) has seen the most rapid growth among the renewable energy sources in the last decade. The market share of bifacial PV modules is expected to rise up to 70% in 2033. Such technology enables different farm configurations; however, it introduces complexities during the modelling phase, particularly concerning the estimation...
master thesis 2023
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Vertregt, Tom (author)
Although energy commodity price forecasting has been around for quite some time, up until recently, especially in Europe, it mostly concerned other energy commodities than gas. That is why in this work, a forecasting model is presented for the single day forecast of the daily VWAP price of the TTF month-ahead gas contract from 2020/01/02 until...
master thesis 2023
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Alhamad, Alaa (author)
This project aims to transform an old vacant office former tax building in Leeuwarden into a healthy living community, enhancing the health and well-being of its residents. By creating a welcoming environment with green spaces and amenities, the project promotes physical and mental well-being, community engagement, and high quality of life. The...
master thesis 2023
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van Arkel, Suzan (author)
Rising food commodity prices pose a severe threat to vulnerable populations globally. While market fundamentals contribute to this increase, excessive speculation by financial investors is believed to play a significant role. This study aims to examine the relationship between financial speculation and agricultural commodity prices between 2000...
master thesis 2023
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Brands, Marnix (author)
The computation of multivariate expectations is a common task in various fields related to probability theory. This thesis aims to develop a generic and efficient solver for multivariate expectation problems, with a focus on its application in the field of quantitative finance, specifically for the quantification of Counterparty Credit Risk (CCR...
master thesis 2023
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de Vries, David (author)
Ethiopia’s energy demand is expected to increase sevenfold in the coming 30 years, resulting in increased variable renewable electricity (VRE) production by solar PV and wind. Energy storage acts as a buffer that mitigates the effects of over- or under-capacity in production by VRE. With 97% of global bulk energy storage, pumped hydro storage is...
master thesis 2023
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van Overbeek, Rens (author)
A considerable share of the global greenhouse gases is caused by the construction and real estate sector, but the increasing awareness on global climate change within the industry caused the emergence of multiple voluntary environmental certifications. The effects of environmental certification on office rents have received considerable...
master thesis 2023
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Chen, Qianqian (author)
American option pricing has been an active research area in financial engineering over the past few decades. Since no analytic closed-form solution exists, various numerical approaches have been developed. Among all proposed methods, the least square Monte Carlo(LSMC) approach is the most successful and popular. The LSMC utilizes linear...
master thesis 2023
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Ovaere, Marten (author), Kenis, Michiel (author), Van den Bergh, Kenneth (author), Bruninx, K. (author), Delarue, Erik (author)
Since 2015 available cross-border transmission capacity is determined using flow-based market coupling (FBMC) in the day-ahead electricity markets of Central Western Europe. This paper empirically estimates the effect of introducing FBMC on day-ahead electricity price convergence and cross-border exchange volumes. In the month following the...
journal article 2023
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Mutlu, A. (author), Roy, Debraj (author), Filatova, T. (author)
Nature-based solutions (NbS) are a cornerstone of climate change adaptation worldwide. Yet, evidence on their economic benefits is scarce, especially since the provided environmental amenities usually spatially correlate with climate-induced hazards, effects of which NbS aim to curb. This lack of empirical evidence creates obscurity regarding...
journal article 2023
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van der Drift, R. (author), de Haan, J.G. (author), Boelhouwer, P.J. (author)
Over the last decade, house prices have increased substantially in nearly all OECD countries. These house price increases frequently coincided with changes in mortgage credit conditions; i.e., decreases in the interest rate and increases in income. This is in line with existing literature, which finds an equilibrium relationship between...
journal article 2023
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Geursen, Isaak L. (author), Santos, Bruno F. (author), Yorke-Smith, N. (author)
Current state-of-the-art airline planning models face computational limitations, restricting the operational applicability to problems of representative sizes. This is particularly the case when considering the uncertainty necessarily associated with the long-term plan of an aircraft fleet. Considering the growing interest in the application of...
journal article 2023
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