Mediaspace scheduled maintenance: Aug 25, 2026 07:00 - 12:00 AM. During this time, videos will be temporarily unavailable. Check status updates.

Concept

Convexité (finance)

Publications associées (8)

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

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

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

Pricing Electricity Through a Stochastic Non-Convex Market-Clearing Model

Sidi-Rachid Cherkaoui, Farzaneh Abbaspourtorbati

This paper proposes a pricing scheme for the day-ahead market in power systems with a large percentage of renewable stochastic production. To clear the day-ahead market, instead of a simplistic deterministic model, we use a two-stage stochastic programming ...

IEEE Institute of Electrical and Electronics Engineers2017

Exterior Convexity And Classical Calculus Of Variations

Saugata Bandyopadhyay, Swarnendu Sil

We study the relation between various notions of exterior convexity introduced in [S. Bandyopadhyay, B. Dacorogna and S. Sil, J. Eur. Math. Soc. 17 (2015) 1009-1039.] with the classical notions of rank one convexity, quasiconvexity and polyconvexity. To th ...

Edp Sciences S A2016

The Ligand-Based Quintuple Bond-Shortening Concept and Some of Its Limitations

Herein, the ligand-based concept of shortening quintuple bonds and some of its limitations are reported. In dichromium-diguanidinato complexes, the length of the quintuple bond can be influenced by the substituent at the central carbon atom of the used lig ...

Wiley-V C H Verlag Gmbh2013

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Dynamic CDO Term Structure Modeling

Damir Filipovic

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...

Wiley-Blackwell2011

Publications associées (8)