Concept

Forward contract

Related publications (24)

Closed form approximation methods for portfolio valuation and risk management

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 EP ...

EPFL2023

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

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

Sylvain Jean Pascal Carré, Daniel Cohen

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

Equilibrium commodity prices with irreversible investment and non-linear technologies

Pierre Collin Dufresne

We model oil price dynamics in a general equilibrium production economy with two goods: a consumption good and oil. Production of the consumption good requires drawing from oil reserves at a fixed rate. Investment necessary to replenish oil reserves is cos ...

2018

Tracking residence times in hydrological systems: forward and backward formulations

Andrea Rinaldo, Paolo Benettin, Gianluca Botter

In recent years, several papers contributed to the development and clarification of key theoretical issues underlying the formulation of transport by travel time distributions in catchments. Such a formulation provides a robust description of the temporal ...

Wiley-Blackwell2015

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

A Network- and Performance-based Zonal Configuration Algorithm for Electricity Systems

Christof Lorenz Duthaler

An efficient and non-discriminatory capacity allocation and congestion management is a core task of transmission system operators in any restructured electricity sector. For historic reasons, the allocation of transmission capacity in the European electric ...

EPFL2012

The chemical dynamics of nanosensors capable of single-molecule detection

Ardemis Anoush Boghossian

Recent advances in nanotechnol. produced the 1st sensor transducers capable of resolving the adsorption and desorption of single mols. Examples include near IR fluorescent single-walled carbon nanotubes that report single-mol. binding via stochastic quench ...

2011

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