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Related publications (30)

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Monotone Approximation of Decision Problems

Thomas Alois Weber

Many decision problems exhibit structural properties in the sense that the objective function is a composition of different component functions that can be identified using empirical data. We consider the approximation of such objective functions, subject ...

2010

Corporate Finance, Asset Returns, and Credit Risk

Philip Valta

This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...

EPFL2010

Term-Structure Models: A Graduate Course

Damir Filipovic

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...

Springer Finance2009

Interrelating operational and financial performance measurements in inventory theory

Margarita Protopappa

Financial flows are often treated in a fragmented and disconnected way from the physical product flow. Managers take decisions from an operational point of view concerning inventory, service level or capacity needs. The implementation of such decisions inf ...

EPFL2009

The link between innovation and finance

Cristiano Zazzara

This thesis comprises three essays on the relationship between innovation and finance. Although previous research has acknowledged the multi-faceted nature of innovation, this thesis unpacks its constituent elements, compares alternative drivers of innovat ...

EPFL2008

Credit Derivatives in an Affine Framework

Damir Filipovic, Li Chen

An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application ...

2007

Swiss-aire-land

Thomas Bregman

En Suisse, ces dix dernières années, le trafic autoroutier a augmenté de 50 %. Volontairement ou non, nous bénéficions tous des transports. Nous exigeons des systèmes de locomotion de plus en plus performants, capables de répondre à des attentes plus spéci ...

2007

Capital structure, credit risk, and macroeconomic conditions

Erwan Morellec

This paper develops a framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to ...

2006

Column flow in stratified soils and fingers in Hele-Shaw cells: A review

David Andrew Barry

We examine the development of instability studies in the oil industry and in soil physics, the former being far more advanced has tended to mold the latter. This had some unfortunate consequences as oil studies tended to rely heavily on Hele-Shaw cells, wh ...

American Geophysical Union2002

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin Dufresne

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relati ...

Wiley-Blackwell2001