Concept

Financial modeling

Related publications (92)

Concerns related to Safety Management of Engineered Nanomaterials in research environment

Since the rise of occupational safety and health research on nanomaterials a lot of progress has been made in generating health effects and exposure data. However, when detailed quantitative risk analysis is in question, more research is needed, especially ...

2013

Modelling Time Series Extremes

Anthony Christopher Davison, Valérie Chavez

The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges. ...

2012

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Spatiotemporal Brain Signatures of Risk and Reward

Anjali Devi Vanapilli Nursimulu

Rational economics and finance surmise that choices decree from a conscious arbitration between alternatives based on decision-theoretically computed values. Implicit in the computation of these option values are the perception and integration of different ...

Ecole Polytechnique Fédérale de Lausanne2012

Predictive Hydrology: A Frequency Analysis Approach

Anne-Catherine Favre

The unusual frequency of hydro-meteorological events in recent decades, often with catastrophic consequences for society and the environment, require new methods for designing water management projects and the structures meant to protect us from natural ha ...

Science Publishers, CRC Press2012

Incomplete information, idiosyncratic volatility and stock returns

Julien Hugonnier, Tony Berrada

When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...

2012

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2012

Demystifying Rational Financial Decision-Making

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

Hedging 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 ...

2011

Doubly Stochastic CDO Term Structures

Damir Filipovic

This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...

Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011

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