Concept
Fundamental theorem of asset pricing
Related publications (32)
Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024A Spatial Branch and Bound Algorithm for Continuous Pricing with Advanced Discrete Choice Demand Modeling
In this paper, we present a spatial branch and bound algorithm to tackle the continuous pricing problem, where demand is captured by an advanced discrete choice model (DCM). Advanced DCMs, like mixed logit or latent class models, are capable of modeling de ...
2023Asset Pricing and Monetary Policy
Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...
EPFL2022A machine learning approach to portfolio pricing and risk management for high-dimensional problems
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...
WILEY2022Essays in Monetary Policy and Asset Pricing
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
EPFL2022Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Numerical methods for option pricing: polynomial approximation and high dimensionality
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
EPFL2019Asian option pricing with orthogonal polynomials
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2019Investment Dynamics with Natural Expectations
We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are ...
2018On the American swaption in the linear-rational framework
We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...
2018