Concept

United States Treasury security

Related publications (12)

Essays 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 ...

EPFL2022

Are green bonds priced lower than their conventional peers?

Yue Wu

The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...

ELSEVIER2022

Sparsely Observed Functional Time Series: Theory and Applications

Tomas Rubin

Functional time series is a temporally ordered sequence of not necessarily independent random curves. While the statistical analysis of such data has been traditionally carried out under the assumption of completely observed functional data, it may well ha ...

EPFL2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Pricing and hedging of inflation-indexed bonds in an affine framework

Damir Filipovic

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an afflne Gaussian process. Using the underlying affine property ...

Elsevier2014

Statistical Study of the Unfolding of Multimodular Proteins and their Energy Landscape by Atomic Force Microscopy

Fabrizio Benedetti

The aim of the present thesis is to investigate several aspects of: the proteins mechanics, interprotein interactions and to study also new techniques, theoretical and technical, to obtain and analyze the force spectroscopy experiments. The first section i ...

EPFL2012

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

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