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Concept

Produit dérivé financier

Publications associées (28)

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

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

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

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Stochastic derivative estimation for max-stable random fields

Erwan Fabrice Koch

We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...

ELSEVIER2022

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022

Bootstrapping for Approximate Homomorphic Encryption with Negligible Failure-Probability by Using Sparse-Secret Encapsulation

Jean-Pierre Hubaux, Juan Ramón Troncoso-Pastoriza, Jean-Philippe Léonard Bossuat

Bootstrapping parameters for the approximate homomorphic-encryption scheme of Cheon et al., CKKS (Asiacrypt 17), are usually instantiated using sparse secrets to be efficient. However, using sparse secrets constrains the range of practical parameters withi ...

SPRINGER INTERNATIONAL PUBLISHING AG2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Essays in Financial Economics

Marc André Frattaroli

This thesis consists of three chapters that study separate subjects in the area of corporate governance and financial intermediation. In the first chapter, I study a protectionist anti-takeover law introduced in 2014 in France that covers a subset of all ...

EPFL2020

Signaling in OTC Markets: Benefits and Costs of Transparency

Alberto Mokak Teguia

We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when s ...

CAMBRIDGE UNIV PRESS2020

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

Essays in Financial Economics

Kornelia Fabisik

This thesis consists of three parts that study separate subjects in corporate finance and corporate governance. The overarching theme is ownership by CEOs and other insiders. In the first part, which is co-authored work with Rüdiger Fahlenbrach, René M. ...

EPFL2020

Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...

ELSEVIER SCIENCE SA2020

A functional approach to the numerical conformal bootstrap

Bernardo Zan

We apply recently constructed functional bases to the numerical conformal bootstrap for 1D CFTs. We argue and show that numerical results in this basis converge much faster than the traditional derivative basis. In particular, truncations of the crossing e ...

Springer Nature2020

ICO investors

Rüdiger Fahlenbrach, Marc André Frattaroli

We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed ...

2021

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

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

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

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Publications associées (28)

Bootstrapping for Approximate Homomorphic Encryption with Negligible Failure-Probability by Using Sparse-Secret Encapsulation

Jean-Pierre Hubaux, Juan Ramón Troncoso-Pastoriza, Jean-Philippe Léonard Bossuat

SPRINGER INTERNATIONAL PUBLISHING AG2022