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Publications associées (12)

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

Mobile futures through present behaviours and discourses

Emmanuel Pierre Jean Ravalet

In mobility studies, the purposes of scientific methods are generally the description and better understanding of the present and the past. There is a gap between such approaches and the need planners have to orientate action toward the future in the short ...

Routledge2020

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Exchange Rate Analysis by Nonlinear Time Series Method

Maria-Alexandra Paun

A financial data analysis using the time series method has been performed. At the same time a correct interpretation of daily exchange rates fluctuations, for Eur foreign currencies is presented. The fractal dimension evaluation has been performed using th ...

AMER INST PHYSICS2020

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Damir Filipovic, Léo Hamed Amini

We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...

Informs2016

Uniqueness of equilibrium in a payment system with liquidation costs

Damir Filipovic, Léo Hamed Amini

We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds ...

Elsevier Science Bv2016

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Quantitative fluorescence loss in photobleaching for analysis of protein transport and aggregation

Daniel Sage

Background: Fluorescence loss in photobleaching (FLIP) is a widely used imaging technique, which provides information about protein dynamics in various cellular regions. In FLIP, a small cellular region is repeatedly illuminated by an intense laser pulse, ...

Biomed Central Ltd2012

Discrete choice and microsimulation methods for agent-based land use modeling

Ricardo Daniel Hurtubia González

This thesis describes methods to model the land use component of an urban system. Specifi- cally, it proposes methods to model and simulate the location choice of agents (households or firms) and the formation of prices for real estate goods in a city. The ...

EPFL2012

Promoting collaboration between livestock and wildlife conservation genetics communities

Stéphane Joost

The collaboration between livestock and wildlife conservation genetics communities has the potential to help promote shared priorities, with respect to emerging technologies and new analytical approaches such as next generation sequencing incorporating ada ...

Springer Netherlands2011

Alignment of defect levels and band edges through hybrid functionals: Effect of screening in the exchange term

Alfredo Pasquarello, Peter Broqvist, Hannu-Pekka Komsa

We investigate how various treatments of exact exchange affect defect charge transition levels and band edges in hybrid functional schemes for a variety of systems. We distinguish the effects of long-range vs short-range exchange and of local vs nonlocal e ...

2010

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders Trolle

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...

Oxford University Press2009