Publications associées à External Venturing and Discontinuous Strategic Renewal: An Options Perspective

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

Pierre Collin Dufresne, Jan Benjamin Junge

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 ...

Wiley2024

Takeover Protections and Asset Prices

Erwan Morellec

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 ...

Informs2024

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

Maxime Jean Julien Peyrard, Robert West, Marija Sakota

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 ...

Assoc Computing Machinery2024

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

Maneuvering the odds: The dynamics of venture capital decision-making

Marc Gruber

Research Summary: This article investigates venture capital (VC) decision-making, a process that occurs under changing conditions and limited, ambiguous information. We shed new light on the inherent dynamics of this strategic process. One of the key disti ...

WILEY2023

Adapting Haptic Feedback for Guided Meditation

Nicolas Henchoz, Cédric Duchene, Andreas Sonderegger, Romain Simon Collaud, Emily Clare Groves, Yoann Pierre Douillet

Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

Extension, validation, and optimization of Serpent/DYN3D/ATHLET code system for SFR applications

Vincenzo Anthony Di Nora

The sequence of codes Serpent/DYN3D has been developed by the Helmholtz-Zentrum Dresden-Rossendorf and successfully applied to core static and transient analyses of sodium-cooled fast reactors (SFRs). The successful application of the sequence to SFRs was ...

EPFL2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

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 ...

OXFORD UNIV PRESS INC2022

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

Matthias David van den Heuvel

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. ...

EPFL2022

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

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

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 ...

EPFL2022

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

Marianna Papadionysiou

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 ...

EPFL2022

Oxidation of organic micropollutant surrogate functional groups with peracetic acid activated by aqueous Co(II), Cu(II), or Ag(I) and geopolymer-supported Co(II)

Urs von Gunten

Peracetic acid (PAA) in combination with transition metals has recently gained increasing attention for organic micropollutant abatement. In this study, aqueous Co(II), Cu(II), and Ag(I) were compared for their capacity to activate PAA. Co(II) outperformed ...

PERGAMON-ELSEVIER SCIENCE LTD2022

Dynamic Personalized Ranking

Jérémie Rappaz

Personalized ranking methods are at the core of many systems that learn to produce recommendations from user feedbacks. Their primary objective is to identify relevant items from very large vocabularies and to assist users in discovering new content. These ...

EPFL2022

Comparison of Remote Subjective Assessment Strategies in the Context of the JPEG Pleno Point Cloud Activity

Evangelos Alexiou

In this work we compare two different options to perform on-line subjective quality assessment experiments in the context of the Call for Evidence on JPEG Pleno Point Cloud Coding. A deep-learning based point cloud codec submitted to the Call was tested ag ...

IEEE2021

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

Numerical Weather Prediction and Artificial Neural Network Coupling for Wind Energy Forecast

Jiannong Fang, Fernando Porté Agel, Lorenzo Donadio

In the past two decades, wind energy has been under fast development worldwide. The dramatic increase of wind power penetration in electricity production has posed a big challenge to grid integration due to the high uncertainty of wind power. Accurate real ...

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