Concept

Bond option

Related publications (83)

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We integrate a probabilistic demand model in the train timetabling problem. We use a logit model that we calibrate to reflect the known demand elasticities. We further include a competing operator as an opt-out option for the passengers. Subsequently, we i ...

2016

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Dealing with congested railway area becomes an important topic in railway operation management. Significant efforts are made to develop Driver Advisory System (DAS) in connection with the trackside Train Management System (TMS). Many advantages are expecte ...

WIT Press2016

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To meet the CO2 reduction targets and ensure sustainable energy supply, the development and deploy- ment of cost-competitive innovative low-carbon energy technologies is essential. To design and evaluate the competitiveness of such complex integrated energ ...

2015

Modeling and assessing scenarios of common property pastures management in Switzerland

Claudia Rebeca Binder Signer, Ivo Philippe Baur

Common property pastures (CPPs) in the Alps served as examples for successful self-governed resource use. During the past fewdecades, the situation has changed, and abandonment of marginal pastureswith subsequent forest regrowth has been widely observed. T ...

Elsevier2015

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Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitiz ...

2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

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Light-emitting devices that utilize thin films of metal nanoclusters as quantum emitters are presented. Implementing Ag as well as Au nanoclusters, the versatility of the approach is demonstrated, and it is shown that the electroluminescence measured from ...

Wiley-V C H Verlag Gmbh2014

Blind prediction tests as a benchmark to improve the seismic response of fibre models

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The seismic behaviour of reinforced concrete framed structures involves a number of nonlinear material and geometrical phenomena that are impossible to model exhaustively in a single model. Furthermore, past studies showed that the most correct modelling o ...

2014

Efficient Pricing of Energy Derivatives

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I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

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