Concept

Quantitative analysis (finance)

Related publications (77)

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Discount models

Damir Filipovic

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Heidelberg2023

Quantitative Methods for Omnichannel Decision-Making

Andrey Vasilyev

Omnichannel retail has emerged as the new standard in today's commerce landscape, with retailers integrating their physical and online channels to enhance the customer shopping experience. However, such integration presents significant challenges for retai ...

EPFL2023

Simulating supercontinua from mixed and cascaded nonlinearities

Luis Guillermo Villanueva Torrijo, Victor Brasch, Furkan Ayhan, Tobias Herr, Thibault Voumard

Nonlinear optical frequency conversion is of fundamental importance in photonics and underpins countless of its applications: Sum- and difference-frequency generation in media with quadratic nonlinearity permits reaching otherwise inaccessible wavelength r ...

AIP Publishing2023

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...

EPFL2022

Few-femtosecond resolved imaging of laser-driven nanoplasma expansion

Christoph Bostedt

The free expansion of a planar plasma surface is a fundamental non-equilibrium process relevant for various fields but as-yet experimentally still difficult to capture. The significance of the associated spatiotemporal plasma motion ranges from astrophysic ...

IOP Publishing Ltd2022

Quantitative modeling of human metabolism: A call for a community effort

Vassily Hatzimanikatis, Maria Masid Barcon

Metabolism is the process by which cells and organisms obtain nutrients and energy to perform their functions. In the last years, many human diseases, including cancer, diabetes, and cardiac diseases, have been associated with altered metabolism. Understan ...

2021

Dynamical properties of a driven dissipative dimerized S=1/2 chain

Bruce Normand

We consider the dynamical properties of a gapped quantum spin system coupled to the electric field of a laser, which drives the resonant excitation of specific phonon modes that modulate the magnetic interactions. We deduce the quantum master equations gov ...

2021

Conveying the Perception of Humor Arising from Ambiguous Grammatical Constructs in Human-Chatbot Interaction

Denis Gillet, Juan Carlos Farah, Sandy Ingram, Vandit Sharma

Chatbots have long been advocated for computer-assisted language learning systems to support learners with conversational practice. A particular challenge in such systems is explaining mistakes stemming from ambiguous grammatical constructs. Misplaced modi ...

2021

State selective cooling of SU(N) Fermi gases

Frédéric Mila, Miklos Lajko

We investigate a species selective cooling process of a trapped SU(N) Fermi gas using entropy redistribution during adiabatic loading of an optical lattice. Using high-temperature expansion of the Hubbard model, we show that when a subset N-A < N of the si ...

AMER PHYSICAL SOC2021