Concept

Mathematical finance

Related publications (22)

Closed form approximation methods for portfolio valuation and risk management

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

A Spatial Branch and Bound Algorithm for Continuous Pricing with Advanced Discrete Choice Demand Modeling

Michel Bierlaire

In this paper, we present a spatial branch and bound algorithm to tackle the continuous pricing problem, where demand is captured by an advanced discrete choice model (DCM). Advanced DCMs, like mixed logit or latent class models, are capable of modeling de ...

2023

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Stochastic derivative estimation for max-stable random fields

Erwan Fabrice Koch

We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...

ELSEVIER2022

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Learning Finance with Games: An Empirical Study

Sandy Ingram, Rania Islambouli

This paper presents an empirical case study on applying game-based learning in an undergraduate finance course. The paper describes the experimental study context, protocol, and results. Using multivariate regression analysis, a significant game effect on ...

IEEE2021

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

2020

Biophysically detailed mathematical models of multiscale cardiac active mechanics

Alfio Quarteroni, Francesco Regazzoni

Author summary Computer-based numerical simulations of the heart are increasingly assuming a recognized role in the context of computational medicine and cardiology. They are based on mathematical models describing the different physical phenomena occurrin ...

2020

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

Visual Analytics of Single Cell Microscopy Data Using a Collaborative Immersive Environment

Sarah Irene Brutton Kenderdine

Understanding complex physiological processes demands the integration of diverse insights derived from visual and quantitative analysis of bio-image data, such as microscopy images. This process is currently constrained by disconnects between methods for i ...

ASSOC COMPUTING MACHINERY2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

The cardiovascular system: Mathematical modelling, numerical algorithms and clinical applications

Alfio Quarteroni, Andrea Manzoni, Christian Vergara

Mathematical and numerical modelling of the cardiovascular system is a research topic that has attracted remarkable interest from the mathematical community because of its intrinsic mathematical difficulty and the increasing impact of cardiovascular diseas ...

Cambridge Univ Press2017

Verification of Gyrokinetic codes: Theoretical background and applications

Laurent Villard, Alberto Bottino

In fusion plasmas, the strong magnetic field allows the fast gyro-motion to be systematically removed from the description of the dynamics, resulting in a considerable model simplification and gain of computational time. Nowadays, the gyrokinetic (GK) code ...

Amer Inst Physics2017

Robust Growth-Optimal Portfolios

Daniel Kuhn, Wolfram Wiesemann, Napat Rujeerapaiboon

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

Informs2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

An overview of quantitative approaches in Gestalt perception

Michael Herzog

Gestalt psychology is often criticized as lacking quantitative measurements and precise mathematical models. While this is true of the early Gestalt school, today there are many quantitative approaches in Gestalt perception and the special issue of Vision ...

Elsevier2016

Dynamic Product Portfolio Management with Life Cycle Considerations

Ralf Seifert, Isik Bicer

We consider a portfolio of products in which each product probabilistically transitions through various life cycle stages. The evolution through these life cycle stages is impacted by both marketing support and product launch decisions, which are bound by ...

2016

Related publications (22)