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Concept

Bond option

Publications associées (26)

Review of fundamental assumptions of the Two-Phase model for aggregate interlocking in cracked concrete using numerical methods and experimental evidence

Aurelio Muttoni, Miguel Fernández Ruiz, Guillaume Anciaux, Max Tirassa, Mohit Pundir

Aggregate interlocking allows transferring shear and normal stresses through open cracks, and is considered to significantly contribute to the force transfer in cracked concrete. The complex phenomenon depends on the roughness of cracked surfaces, where ma ...

Pergamon-Elsevier Science Ltd2019

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

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

Renovation of hydraulic power plant: how to select the best technical options?

François Avellan, Christophe Nicolet, Christian Landry, Loïc Andolfatto, Joao Gomes Pereira Junior

With the Energy Strategy 2050, Switzerland wishes to focus on balanced utilization of hydropower potentials and new renewable energy sources to cope with nuclear energy phasing out. Integration of large amounts of new renewable energies such as wind and so ...

2018

Methodologies for simultaneous optimization of heat, mass, and power in industrial processes

Maziar Kermani

Efficient consumption of energy and material resources, including water, is the primary focus for process industries to reduce their environmental impact. The Conference of Parties in Paris (COP21) highlighted the prominent role of industrial energy effici ...

EPFL2018

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017