Publication

The sources of sovereign risk: a calibration based on Levy stochastic processes

Publications associées (29)

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

Quartiers rhodaniens en transition

Sara Sonia Formery Regazzoni

Over the course of history, the relationship between cities and their waters has shown different gradients of interweaving, marked by cycles of bonding and distancing. Following a period of complete neglect of urban watercourses, the versatile, multifacete ...

EPFL2024

Transportation-based functional ANOVA and PCA for covariance operators

Victor Panaretos, Yoav Zemel, Valentina Masarotto

We consider the problem of comparing several samples of stochastic processes with respect to their second-order structure, and describing the main modes of variation in this second order structure, if present. These tasks can be seen as an Analysis of Vari ...

Inst Mathematical Statistics-Ims2024

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Victor Panaretos, Neda Mohammadi Jouzdani

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Elsevier2024

Bayes Security: A Not So Average Metric

Carmela González Troncoso, Giovanni Cherubin

Security system designers favor worst-case security metrics, such as those derived from differential privacy (DP), due to the strong guarantees they provide. On the downside, these guarantees result in a high penalty on the system's performance. In this pa ...

IEEE2023

Functional data analysis with rough sample paths?

Victor Panaretos, Neda Mohammadi Jouzdani

Functional data are typically modeled as sample paths of smooth stochastic processes in order to mitigate the fact that they are often observed discretely and noisily, occasionally irregularly and sparsely. The smoothness assumption is imposed to allow for ...

TAYLOR & FRANCIS LTD2024

Duality and bicrystals on infinite binary matrices

Thomas Gerber

The set of finite binary matrices of a given size is known to carry a finite type AA bicrystal structure. We first review this classical construction, explain how it yields a short proof of the equality between Kostka polynomials and one-dimensional sums t ...

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

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023

Stochastic particle transport by deep-water irregular breaking waves

Debbie Eeltink

Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results by Deike et al. (J. Fluid Mech., vol. 829, 2017, ...

Cambridge University Press2023

espm: A Python library for the simulation of STEM-EDXS datasets

Cécile Hébert, Nathanaël Perraudin, Duncan Thomas Lindsay Alexander, Hui Chen, Guillaume Romain Obozinski

We present two open-source Python packages: "electron spectro-microscopy"(espm) and "electron microscopy tables"(emtables). The espm software enables the simulation of scanning transmission electron microscopy energy-dispersive X-ray spectroscopy datacubes ...

ELSEVIER2023

Numerical simulation of the fate, transport and public health risks of enteric viruses in Lake Geneva

Chaojie Li

Lakes are a fundamental feature of nature with brilliance, profoundness and complexity. Various of physical, chemical and biological changes take place three dimensionally in deep lakes, regulated by complicated boundary conditions. To understand and predi ...

EPFL2023

A Survey of Industrial N-nitrosamine Discharges in Switzerland

Florian Frédéric Vincent Breider, Caroline Gachet Aquillon, Urs von Gunten

N-nitrosamines are formed during different industrial processes and are of significant concern due to their carcinogenic and mutagenic properties. This study reports concentrations of N-nitrosamines in eight different industrial wastewater treatment plants ...

2023

Combining European and US risk prediction models with polygenic risk scores to refine cardiovascular prevention: the CoLaus|PsyCoLaus Study

Stéphane Fournier, Roxane De La Harpe, Jacques Fellay, Christian Axel Wandall Thorball

Lay Summary The aim of this study is to determine whether using polygenic risk scores improves the prediction of atherosclerotic cardiovascular disease risk when combined with clinical scores currently recommended by European and US guidelines on cardiovas ...

OXFORD UNIV PRESS2023

Evaluation of the role of superoxide radical as chain carrier for the formation of hydroxyl radical during ozonation

Gang Yu, Urs von Gunten, Yan Wang

Superoxide radicals (O-2(center dot-)) have been suggested as an important chain carrier in the radical chain reaction that promotes ozone (O-3) decomposition to hydroxyl radicals ((OH)-O-center dot) during ozonation. However, due to the difficulty in meas ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Relating health benefits of water, sanitation, and hygiene services with the context of urban informal settlements: lessons from Côte d'Ivoire and Kenya

Vitor Pessoa Colombo

This thesis is inscribed in the recent efforts to reconnect urban planning and public health. It focused on the context of sub-Saharan African cities, for they offer invaluable lessons regarding environmental health determinants and potential solutions to ...

EPFL2023

Predicting type 2 diabetes risk before and after solid organ transplantation using polygenic scores in a Danish cohort

Jacques Fellay, Christian Axel Wandall Thorball

Type 2 diabetes mellitus (T2DM) can be multifactorial where both genetics and environmental factors play a role. We aimed to investigate the use of polygenic risk scores (PRS) in the prediction of pre-transplant T2DM and post-transplant diabetes mellitus ( ...

Frontiers Media Sa2023

Dynamic pulse scheduling in ASDEX Upgrade: Disruption avoidance and investigation of the H-Mode density limit

Federico Alberto Alfredo Felici, Alessandro Pau, Bernhard Sieglin

Operation of a tokamak device requires the coordinated operation of a multitude of systems. The sequence of operations during a discharge is both too complex and fast for human interaction. A common way of operation is a predefined sequence of operations w ...

2023

Spatial Distributions of Diarrheal Cases in Relation to Housing Conditions in Informal Settlements: A Cross-Sectional Study in Abidjan, Côte d’Ivoire

Jérôme Chenal, Vitor Pessoa Colombo, Jürg Utzinger

In addition to individual practices and access to water, sanitation, and hygiene (WASH) facilities, housing conditions may also be associated with the risk of diarrhea. Our study embraced a broad approach to health determinants by looking at housing depriv ...

2023