The Swaption Cube

À propos
Confidentialité
Mentions légales

Graph Chatbot

Publications associées (29)

Assessing the energy potential of modernizing the European hydropower fleet

Anton Schleiss, Elena Vagnoni

About 50% of all hydropower plants (HPPs) worldwide were originally commissioned more than 40 years ago, so that the advanced age of the fleet is a major concern across all continents, and especially in Europe. The modernization of HPPs can generate severa ...

Elsevier2021

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

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

Markov cubature rules for polynomial processes

Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

ELSEVIER2020

Non-invasive pulmonary artery pressure estimation by electrical impedance tomography in a controlled hypoxemia study in healthy subjects

Jean-Philippe Thiran, Mathieu Lemay, Martin Proença, Fabian Braun

Pulmonary hypertension is a hemodynamic disorder defined by an abnormal elevation of pulmonary artery pressure (PAP). Current options for measuring PAP are limited in clinical practice. The aim of this study was to evaluate if electrical impedance tomograp ...

NATURE RESEARCH2020

Nonlinear Pricing of Shareable Products

Thomas Alois Weber

We consider a durable-goods monopolist who is able to control the collaborative consumption of its goods on an aftermarket by a sharing tariff. Consumers are heterogeneous with respect to their respective need propensities in each period. We show that the ...

2020

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

2020

Using agricultural residues for sustainable transportation biofuels in 2050: Case of West Africa

Edgard Gnansounou, Elia Mercedes Ruiz Pachon

This article focuses on the use of biomass to produce transportation fuels such as synthetic natural gas, bioethanol and electricity under a sustainable scenario in West Africa in 2050. The aim of this work was to evaluate the feasibility of producing such ...

Elsevier2020

Magnetic Design of a Superconducting Toroidal Gantry for Hadron Therapy

Bertrand Dutoit, Bertrand Dutoit, Luca Bottura, Enrico Felcini

Hadron and proton therapy are cutting edge techniques for cancer treatment and a great development of specialized medical centers and research facilities is foreseen in the next decades. One of the main obstacles to the penetration of the use of charged pa ...

IEEE Institute of Electrical and Electronics Engineers2020

Page 2 sur 2