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 ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
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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 ...
Mountain regions are considered to be the natural "water towers" of the world due to their importance as sources of many rivers. Reliable tools to estimate the availability and variability of streamflows in such regions are still rare. In this context, the ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
We investigate the problem of online detection of complex activities (such as cooking, lunch, work at desk), i.e., recognizing them while the activities are being performed using parts of the sensor data. In contrast to prior work, where complex activity r ...
Herein, the ligand-based concept of shortening quintuple bonds and some of its limitations are reported. In dichromium-diguanidinato complexes, the length of the quintuple bond can be influenced by the substituent at the central carbon atom of the used lig ...
We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...
We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate polic ...
This paper proposes a pricing scheme for the day-ahead market in power systems with a large percentage of renewable stochastic production. To clear the day-ahead market, instead of a simplistic deterministic model, we use a two-stage stochastic programming ...