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We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...
Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...
In situ observations of snowfall over the Antarctic Ice Sheet are scarce. Currently, continent-wide assessments of snowfall are limited to information from the Cloud Profiling Radar on board the CloudSat satellite, which has not been evaluated up to now. I ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...
We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...
As fossil fuel reserves are limited in stock and there is an urgent call to reduce the carbon footprint, distribution grids urgently need to move towards heavy use of local and distributed generation of electricity using renewable energy sources. Another p ...
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...
The aims of this study were to (i) investigate the ability of Icelandic brown algae Fucus vesiculosus extracts to inhibit lipid oxidation in granola bars fortified with fish oil-in-water emulsion; (ii) investigate whether addition of the seaweed extracts a ...