Concept
Brownian model of financial markets
Related publications (15)
Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Numerical methods for option pricing: polynomial approximation and high dimensionality
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
EPFL2019Hedging Electricity Swing Options in Incomplete Markets
Daniel Kuhn, Wolfram Wiesemann
The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...
2011Prices and portfolio choices in financial markets: Theory, econometrics, experiments
Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobse ...
2007