Simone Scotti

TL;DR: A market model for power prices is investigated, including most basic features exhibited by previous models and taking into account self-exciting properties, and a Random Field approach is proposed, extending Hawkes-type models by introducing a twofold integral representation property.

TL;DR: The α-CIR model as mentioned in this paper is an extension of the standard CIR model by adopting the α-stable Levy process and preserving the branching property, which allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market together with the presence of large jumps at local extent.

TL;DR: In this paper, the problem of determining an optimal control on the dividend and investment policy of a firm under debt constraints was formulated as a combined singular and multiswitching control problem and used a viscosity solution approach to get qualitative descriptions of the solution.

TL;DR: In this paper, an affine extension of the Heston model is introduced where the instantaneous variance process contains a jump part driven by α-stable processes with α ∆ in(1,2]$ in(α ∆)-stable processes.

TL;DR: In this paper, the authors investigated social preferences over employment protection regulation in a general equilibrium model of dynamic labor demand and shed some light on the comparative dynamics of Eurosclerosis, finding that when firing costs are low, a transition to a rigid labor market is favored by all the employed workers with idiosyncratic productivity below some threshold; when their status quo level is high, preserving a rigid labour market is preferred only by the employed with intermediate productivity.