Linear Stochastic Dividend Model

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary lea ...

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Persistent fiscal and political mismanagement, together with the financial pressures of the COVID-19 pandemic, have driven Sri Lanka into a social and economic crisis triggering a decrease in national foreign exchange reserves, an inability to purchase vit ...

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 ...

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 ...

This thesis consists of two chapters that study separate subjects in the area of corporate finance. The first chapter, titled â Economic Gains in Bank Mergers and Acquisitions â Evidence from Targetsâ , investigates economic gains in bank mergers and ...

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

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 ...

This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

The calculations performed for the design and operation of a Nuclear Power Plant (NPP) are a key factor for their safety analyses. The standard for the computational analysis of NPPs is the so called conventional approach, which relies on coarse mesh diffu ...

The ipRGCs in the human eye mediate several effects on people, such as alertness and circadian rhythms. The spectral, temporal and spatial characteristics of light influence the magnitude of these effects. To facilitate the anticipation of the ipRGC-influe ...

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

Designing structures from reused elements is becoming an increasingly important design task for structural engineers as it has potential to significantly reduce adverse environmental impacts of building structures. To allow for a broad application of this ...

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...

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 ...

Linear Stochastic Dividend Model

Chattez avec Graph Search

Crypto market betas: the limits of predictability and hedging

Machine Learning for Modeling Stock Returns

How Integrated are Credit and Equity Markets? Evidence from Index Options

Takeover Protections and Asset Prices

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Circularity by stock in Sri Lanka: Economic necessity meets urban fabric renovation

Closed form approximation methods for portfolio valuation and risk management

Exchange options with stochastic liquidity risk

Essays in Financial Economics

Covariance Estimation for Random Surfaces beyond Separability

Illiquidity and Higher Cumulants

Skew-Brownian motion and pricing European exchange options br

Financial Risk Management with Machine Learning

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

Multi-physics modeling of VVERs with high fidelity high-resolution codes

A simulation tool for building and lighting design considering ipRGC-influenced light responses

Informational frictions in financial markets

Computational tool for stock-constrained design of structures

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Informed Trading in the Stock Market and Option Price Discovery