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Concept

Computational finance

Publications associées (7)

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

Essays on adaptation to rare disasters

Takafumi Usui

This thesis aims to further investigate rare natural disasters and studies adaptation decisions under uncertainty by solving several computational economic models. The modeling of rare natural disasters depends on the treatment of catastrophic outcomes wit ...

EPFL2019

Blacklisting variants common in private cohorts but not in public databases optimizes human exome analysis

Jacques Fellay, Alessandro Borghesi

Computational analyses of human patient exomes aim to filter out as many nonpathogenic genetic variants (NPVs) as possible, without removing the true disease-causing mutations. This involves comparing the patient's exome with public databases to remove rep ...

National Academy of Sciences2019

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Portfolio construction under information asymmetry

Lionel Coulot

We introduce in this thesis the idea of a variable lookback model, i.e., a model whose predictions are based on a variable portion of the information set. We verify the intuition of this model in the context of experimental finance. We also propose a novel ...

EPFL2013

Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

David Sébastien Morton de Lachapelle, Damien Challet

Despite the availability of very detailed data on financial markets, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempt ...

Institute of Physics (IoP) and Deutsche Physikalische Gesellschaft2010

An optimal prediction problem in financial modelling

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

Publications associées (7)