Publications associées à Unspanned stochastic volatility in the multifactor CIR model

Publications associées (24)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Elsevier Science Sa2024

When do Minimax-fair Learning and Empirical Risk Minimization Coincide?

Volkan Cevher

Minimax-fair machine learning minimizes the error for the worst-off group. However, empirical evidence suggests that when sophisticated models are trained with standard empirical risk minimization (ERM), they often have the same performance on the worst-of ...

2023

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

Discussion of ‘Experimental Evaluation of Algorithm-Assisted Human Decision-Making: Application to Pretrial Public Safety Assessment’, part 2

Mats Julius Stensrud, Aaron Leor Sarvet

Imai et al.(IJGHS) have conducted a timely experiment on evaluating a decision support algorithm. However, we are concerned by their choice of estimands which, even if they appear plausible at first, rely on notions and assumptions for which we cannot ever ...

2023

Thermal Conditions in Indoor Environments: Exploring the Reasoning behind Standard-Based Recommendations

Dolaana Khovalyg, Sarah Wael Ahmed Crosby

Professionals in the building design and operation fields typically look at standards and guidelines as a reliable source of information and guidance with regard to procedural, contractual, and legal scope and requirements that are relevant to accountabili ...

2023

Interventions for Softening Can Lead to Hardening of Opinions: Evidence from a Randomized Controlled Trial

Robert West, Andreas Oliver Spitz, Ahmad Abu-Akel

Motivated by the goal of designing interventions for softening polarized opinions on the Web, and building on results from psychology, we hypothesized that people would be moved more easily towards opposing opinions when the latter were voiced by a celebri ...

ASSOC COMPUTING MACHINERY2021

The formation of Coasean institutions to provide university knowledge for innovation: a case study and econometric evidence for Switzerland

Dominique Foray

"Coasean" institutions are an alternative institutional form that provides a solution to some market and coordination failures. As such they can weaken considerably the case for public subsidies in a vast range of context. They are "market-based" and an in ...

SPRINGER2021

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

Clothing-Mediated Exposures to Chemicals and Particles

Dusan Licina

A growing body of evidence identifies clothing as an important mediator of human exposure to chemicals and particles, which may have public health significance. This paper reviews and critically assesses the state of knowledge regarding how clothing, durin ...

2019

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

From experimental evidence to mechanical modeling and design expressions: The Critical Shear Crack Theory for shear design

Aurelio Muttoni, Miguel Fernández Ruiz

Many research efforts have so far been devoted to the topic of shear design of members without transverse reinforcement since the first development in structural concrete. This has allowed a number of significant advances in the understanding of the phenom ...

2019

Governance of Trust in Precision Medicine

Marie-Valentine Renée Agnès Florin

Following up a two-day invitation-only expert workshop in Geneva on the subject of Trust and Precision Medicine, IRGC published a workshop report in April 2018. This report addresses the concept of trust and conditions of trustworthiness in each of the thr ...

EPFL International Risk Governance Center2018

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

Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation

Damir Filipovic

Limited liability creates an incentive for insurers to increase the risk of the assets and liabilities at the expense of policyholders. We show that solvency capital requirements restrict the set of feasible investment and premium policies and can thereby ...

Wiley-Blackwell2015

How Do In-video Interactions Reflect Perceived Video Difficulty?

Pierre Dillenbourg, Patrick Jermann, Lukasz Kidzinski, Nan Li

Lecture videos are the major components in MOOCs. It is common for MOOC analytics researchers to model video behaviors in order to identify at-risk students. Much of the work emphasized prediction. However, we have little empirical understanding about thes ...

P.A.U. Education2015

Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin-Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015

Invisibility and interpretation

Michael Herzog

Invisibility is often thought to occur because of the low-level limitations of the visual system. For example, it is often assumed that backward masking renders a target invisible because the visual system is simply too slow to resolve the target and the m ...

Frontiers Media2014

Corporate Science and Voluntary Disclosure : Analyzing Determinants and Firm Performance

Markus Simeth

The dissertation investigates the phenomenon of firms that make voluntary contributions to the stock of scientific knowledge. Such a firm behaviour appears counterintuitive from a traditional viewpoint, since no direct financial returns can be expected whi ...

EPFL2013

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

Emergence of one-dimensional physics from the distorted Shastry-Sutherland lattice

Frédéric Mila

Motivated by the ongoing investigation of SrCu2(BO3)(2) under pressure, we study a variant of the two-dimensional Shastry-Sutherland (SS) spin-1/2 model with two types of dimers. Combined with the frustration of the SS model, this modification induces, in ...

2011