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Related publications (26)

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The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Could electrical conductivity replace water level in rating curves for alpine streams?

Marc Parlange, Steven Vincent Weijs, Raphaël Mutzner

Streamflow time series are important for inference and understanding of the hydrological processes in alpine watersheds. Because streamflow is expensive to continuously measure directly, it is usually derived from measured water levels, using a rating curv ...

American Geophysical Union2013

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

Geomorphic signatures on brutsaert base flow recession analysis

Andrea Rinaldo, Marc Parlange, Enrico Bertuzzo, Steven Vincent Weijs, Raphaël Mutzner, Ludovico Nicotina, Serena Ceola

This paper addresses the signatures of catchment geomorphology on base flow recession curves. Its relevance relates to the implied predictability of base flow features, which are central to catchment-scale transport processes and to ecohydrological functio ...

American Geophysical Union2013

Essays in Information-Based Asset Pricing

Michael Nicolas Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Financial Supply Chain Management: Working Capital Requirements with Short-term Debt

Ralf Seifert, Cristopher Ariel Zeballos Avila

In this paper, we build on a single product, finite horizon, periodic review inventory management setting and include key financial aspects such as working capital constraints, payment delays and multiple sources of financing. We numerically solve for the ...

2013