Publications related to On the debt capacity of growth options

Related publications (30)

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin-Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Robert West, Maxime Jean Julien Peyrard, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

Asset life, leverage, and debt maturity matching

Erwan Morellec

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Elsevier Science Sa2024

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

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

A study of the K^(+) → π^(0)e^(+)νγ decay

Alessandro Mapelli, Alina Kleimenova, Radoslav Marchevski

A sample of 1.3 x 10^(5) K^(+) → π^(0)e^(+)νγ candidates with less than 1% background was collected by the NA62 experiment at the CERN SPS in 2017-2018. Branching fraction measurements are obtained at percent relative precision in three restricted kinemati ...

Springer Nature2023

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

Matthias David van den Heuvel

This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

EPFL2022

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches

Sebastian Maier

The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

2021

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

2020

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin-Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2021

Sublinear Bounds on the Distinguishing Advantage for Multiple Samples

Serge Vaudenay

The maximal achievable advantage of a (computationally unbounded) distinguisher to determine whether a source

Z

is distributed according to distribution

P_0

or

P_1

, when given access to one sample of

Z

, is characterized by the statistical distance ...

Springer, Cham2020

Measurement of the charm-mixing parameter y(CP) in D-0 -> K-S(0)omega decays at Belle

Mingkui Wang, Olivier Schneider, Chao Wang, Yiming Li, Sun Hee Kim

We report the first measurement of the charm-mixing parameter y(CP) in D-0 decays to the CP-odd final state K-S(0 omega). The study uses the full Belle e(+)e(-) annihilation data sample of 976 fb(-1) taken at or near the gamma (4S) centre-of-mass energy. W ...

American Physical Society2020

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

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

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Observation of Xi(1620)(0) and Evidence for Xi(1690)(0) in Xi(+)(c) -> Xi(-) pi(+) pi(+) Decays

Mingkui Wang, Olivier Schneider, Chao Wang, Yiming Li, Sun Hee Kim, Tara Nanut, Jun Yong Kim

We report the first observation of the double strange baryon Xi(1620)(0) in its decay to Xi(-) pi(+) via Xi(+)(c) -> Xi(-)pi(+)pi(+) decays based on a 980 fb(-1) data sample collected with the Belle detector at the KEKB asymmetricenergy e(+)e(-) collider. ...

2019