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Publications associées (29)

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

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Development of the methodology for the evaluation of a hydro-pumped storage power plant: Swiss case study

Edgard Gnansounou, Nikolaos Iliadis

During the last two decades, an evolving market structure is recognised starting from the spot market and its derivatives, resulting to several other markets such as the Intraday Market (IM), the Balancing Market (BM) and the Reserve Capacity Market (RCM). ...

Elsevier Science Bv2016

Bond behaviour of straight, hooked, U-shaped and headed bars in cracked concrete

Aurelio Muttoni, Miguel Fernández Ruiz, Duarte Miguel Viúla Faria, Fabio Brantschen

Most classic investigations on bonding properties in reinforced concrete have been performed on the basis of pull-out tests, where a reinforcement bar is pulled out from an uncracked concrete cylinder, prism or cube. In these tests, the bond is governed by ...

Thomas Telford2016

Synthesis and reactivity of a terminal uranium(IV) sulfide supported by siloxide ligands

Rosario Scopelliti, Marinella Mazzanti, Julie Renée Michelle Andrez

The reactions of the tetrasiloxide U(III) complexes [U(OSi(OtBu)3)4K] and [U(OSi(OtBu)3)4][K18c6] with 0.5 equiv. of triphenylphosphine sulfide led to reductive S-transfer reactions, affording the U(IV) sulfide complexes [SU(OSi(OtBu)3)4K2]2, 1, and [{SU(O ...

2016

Timescales of N-H bond dissociation in pyrrole: a nonadiabatic dynamics study

Antonio Prlj

The excitation wavelength dependent photodynamics of pyrrole are investigated by nonadiabatic trajectory-surface-hopping dynamics simulations based on time dependent density functional theory (TDDFT) and the algebraic diagrammatic construction method to th ...

Royal Soc Chemistry2015

Investment timing, debt structure, and financing constraints

We introduce debt issuance limit constraints along with market debt and bank debt to consider how financial frictions affect investment, financing, and debt structure strategies. Our model provides four important results. First, a firm is more likely to is ...

Elsevier Science Bv2015

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

The effects of business cycle and debt maturity on a firm's investment and default decisions

We propose a model that jointly determines the capital structure and investment decisions taking business cycle and debt maturity into account. It endogenously determines the triggers of investment/disinvestment and default, which depend on the state of th ...

Elsevier Science Bv2015