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Concept

Option sur taux

Publications associées (23)

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Andreas Fuster

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024

Discount models

Damir Filipovic

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Springer Heidelberg2023

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

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

Rate-dependent model for simulating the hysteretic behavior of low-yield stress buckling-restrained braces under dynamic excitations

Dimitrios Lignos

Buckling-restrained braces (BRBs) are often idealized with rate-independent simulation models. However, under dynamic loading, BRBs featuring low-yield point steel exhibit rate-dependency that may lead to appreciable amplifications of the BRB forces. This ...

2021

A first-order primal-dual method with adaptivity to local smoothness

Volkan Cevher, Maria-Luiza Vladarean

We consider the problem of finding a saddle point for the convex-concave objective

\min_x \max_y f(x) + \langle Ax, y\rangle - g^*(y)

, where

f

is a convex function with locally Lipschitz gradient and

g

is convex and possibly non-smooth. We propose an ...

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

Walkman: A Communication-Efficient Random-Walk Algorithm for Decentralized Optimization

Ali H. Sayed, Kun Yuan

This paper introduces a new algorithm for consensus optimization in a multi-agent network, where all agents collaboratively find a minimizer for the sum of their private functions. All decentralized algorithms rely on communications between adjacent nodes. ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2020

Global Convergence and Variance Reduction for a Class of Nonconvex-Nonconcave Minimax Problems

Negar Kiyavash

Nonconvex minimax problems appear frequently in emerging machine learning applications, such as generative adversarial networks and adversarial learning. Simple algorithms such as the gradient descent ascent (GDA) are the common practice for solving these ...

2020

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

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

2020

The CDS-bond basis

Pierre Collin-Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

An Inertial Parallel and Asynchronous Forward-Backward Iteration for Distributed Convex Optimization

Colin Neil Jones, Georgios Stathopoulos

Two characteristics that make convex decomposition algorithms attractive are simplicity of operations and generation of parallelizable structures. In principle, these schemes require that all coordinates update at the same time, i.e., they are synchronous ...

SPRINGER/PLENUM PUBLISHERS2019

Supervised Learning Under Distributed Features

Ali H. Sayed, Kun Yuan, Bicheng Ying

This paper studies the problem of learning under both large datasets and large-dimensional feature space scenarios. The feature information is assumed to be spread across agents in a network, where each agent observes some of the features. Through local co ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

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

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Economical Analysis of a Pressurized Fluid-Based Process Applied for Phytochemicals Recovery in a Sustainable Biorefinery Concept for Brazilian Ginseng Roots

François Maréchal

A growing number of technologies are being developed in order to produce different high added value products, such as phytochemicals, ethanol and other chemicals from biomass, representing an important trend that needs to be evaluated. The use of pressuriz ...

Aidic Servizi Srl2016

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

Leaning Against Boom-Bust Cycles in Credit and Housing Prices

Luisa Lambertini

This paper studies the potential gains of monetary and macro-prudential policies that lean against house-price and credit cycles. We rely on a model that features Borrowers and Savers and allows for over-borrowing induced by news-shock-driven cycles. We fi ...

Elsevier2013