Publications associées à The Advent of the Sharing Culture and its Effect on Product Pricing

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

Monopoly Pricing with Unknown Demand

Thomas Alois Weber

The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

2025

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

Equity ownership and identification with the founding team

Eva Maria Weissenböck

Founders benefit from identifying with their founding teams because identification facilitates cooperation in the team, aligns founders' actions with the norms and interests of the team, and, ultimately, enhances team performance. High identification with ...

Wiley2024

Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Adam Robert Swietek

Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

EPFL2024

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming

Xue Zhang, Tianshu Yang

In this paper, we propose an analytical stochastic dynamic programming (SDP) algorithm to address the optimal management problem of price-maker community energy storage. As a price-maker, energy storage smooths price differences, thus decreasing energy arb ...

China Electric Power Research Inst2024

Promoting synergies for sustainability through peer-to-peer sharing: an analysis of drivers and barriers

Claudia Rebeca Binder Signer, Ralph Hansmann

Peer-to-peer (P2P) sharing may foster sustainability synergistically by saving resources, reducing costs and promoting satisfaction of consumer needs and social connectivity. A survey of Swiss and Swedish consumers (N = 1522) was conducted to analyze drive ...

TAYLOR & FRANCIS INC2023

Dataset for the article "Frequency regulation with storage: On losses and profits"

François Richard Vuille, Dirk Lauinger, Daniel Kuhn

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

Zenodo2023

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

Counterculture as a Financial Asset: The Commodification of LX Factory in Lisbon

Luca Giovanni Pattaroni, Mischa-Sébastien Piraud, Letícia Cabeçadas Do Carmo

In recent decades, European cultural policies have become inseparable from urban policies, with culture becoming both the new promotional tool for cities aiming to be ‘creative’ (Vanolo, 2008; Vivant, 2009) and the source of unprecedented real estate profi ...

2023

AI-driven Prices for Externalities and Sustainability in Production Markets

Boi Faltings, Panayiotis Danassis, Aris Filos Ratsikas

Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus harvest, for everyone) ...

Cornell University2023

Optimizing Sales Forecasting, Inventory, Pricing and Sourcing Decisions

Yara Kayyali El Alem

In this thesis we address various factors that contribute both theoretically and practically to mitigating supply demand mismatches. The thesis is composed of three chapters, where each chapter is an independent scientific paper. In the first paper, we dev ...

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

Optimization and equilibrium problems with discrete choice models

Stefano Bortolomiol

Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...

EPFL2022

Utilizing additive manufacturing and mass customization under capacity constraints

Ralf Seifert, Anna Timonina-Farkas, Rachel Agnès Laetitia Rosemonde Marie Lacroix

Additive manufacturing (AM), originally used for prototyping, is increasingly adopted for custom final part production across different industries. However, printing speed and production volume are two barriers for the adoption of AM for product customizat ...

2023

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

How different charging prices can contribute to the balancing of ride-hailing services with electric vehicles

Nikolaos Geroliminis, Marko Maljkovic, Nils Gustav Nilsson

Motivated by the growing popularity of both the services offered by the ride-hailing companies and the electric vehicles (EVs), we study a scenario in which a central body e.g., the government, wants to influence how the EVs of different ride-hailing compa ...

2022

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