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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 ...
This thesis describes methods to model the land use component of an urban system. Specifi- cally, it proposes methods to model and simulate the location choice of agents (households or firms) and the formation of prices for real estate goods in a city. The ...
Diffusion LMS is an efficient strategy for solving distributed optimization problems with cooperating agents. In some applications, the optimum parameter vectors may not be the same for all agents. Moreover, agents usually exchange information through nois ...
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 ...
This deliverable specifies the utility metrics that are considered and used in the scope of the OpenIoT project. These utility metrics are recorded as part of the implementation of the Utility Manager component of the OpenIoT platform, while they have also ...
The Deep City project at the Swiss Federal Institute of Technology in Lausanne has, since 2005, been working on an alternative vision for urban planning in which underground resources (water, space, geothermal energy and geomaterials) enter early on in the ...
We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds ...
Energy piles efficiency is strongly affected by soil saturation conditions: low water contents considerably decrease their performance thus limiting the possibility to extend their application in arid environments. This paper investigates the MICP (Microbi ...
Background: Fluorescence loss in photobleaching (FLIP) is a widely used imaging technique, which provides information about protein dynamics in various cellular regions. In FLIP, a small cellular region is repeatedly illuminated by an intense laser pulse, ...
The reserve is a service traded in the market to counteract unpredictable changes in system conditions. The efficient market-clearing procedure relies on economic criteria while maintaining the system security by means of a proper reserve management progra ...
