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Concept

Modèle d'évaluation par arbitrage

Publications associées (21)

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

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Principal Portfolios

Semyon Malamud

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...

WILEY2022

Asset Pricing and Monetary Policy

Nicolas Gauderon

Classical theory asserts that the formation of prices is the result of aggregated decisions of economics agent such as households or corporation. However central banks are very important agents that have often been neglected in asset pricing models. Centra ...

EPFL2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Damir Filipovic

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

WILEY2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

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

Non-myopic betas

Semyon Malamud

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

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

Asset Pricing When 'This Time Is Different'

Pierre Collin-Dufresne

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenou ...

Oxford Univ Press Inc2017

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

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Pierre Collin-Dufresne

Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumpti ...

American Economic Association2016

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

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

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

An integrated airline scheduling, fleeting and pricing model for a monopolized market

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore, schedule and capacity decisions are taken separately from pricing decisions. In this article, we present an integrated scheduling, fl ...

Wiley-Blackwell2014

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

Essays in Information-Based Asset Pricing

Michael Nicolas Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Integrated supply-demand models for the optimization of flexible transportation systems

Bilge Atasoy

This thesis investigates methodologies for improving the demand responsiveness of transportation systems through flexibility. The methodologies propose advances both in demand and supply models having a focus on supply-demand interactions. The demand side ...

EPFL2013

Publications associées (21)