Concept
Lattice model (finance)
Related publications (45)
Machine Learning for Modeling Stock Returns
Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
EPFL2024Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023Inference and Computation for Sparsely Sampled Random Surfaces
Victor Panaretos, Tomas Rubin, Tomas Masák
Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...
TAYLOR & FRANCIS INC2022Skew-Brownian motion and pricing European exchange options br
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 INC2022Generalized parallel tempering on Bayesian inverse problems
Fabio Nobile, Juan Pablo Madrigal Cianci
In the current work we present two generalizations of the Parallel Tempering algorithm in the context of discrete-timeMarkov chainMonteCarlo methods for Bayesian inverse problems. These generalizations use state-dependent swapping rates, inspired by the so ...
SPRINGER2021Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
2020A term structure model for dividends and interest rates
Damir Filipovic, Sander Félix M Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
WILEY2020