Concept
Derivative (finance)
Related publications (72)
Closed 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 ...
EPFL2023Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Mortgage-backed securities
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...
Edward Elgar2023Stochastic derivative estimation for max-stable random fields
We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...
ELSEVIER2022A contagion process with self-exciting jumps in credit risk applications
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
TAYLOR & FRANCIS LTD2022Skew-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 INC2022Chitosan Functionalization: Covalent and Non-Covalent Interactions and Their Characterization
Sandrine Gerber, Céline Marie Anne Journot, Laura Camille Louise Nicolle
Chitosan (CS) is a natural biopolymer that has gained great interest in many research fields due to its promising biocompatibility, biodegradability, and favorable mechanical properties. The versatility of this low-cost polymer allows for a variety of chem ...
2021Essays in Financial Economics
This thesis consists of three chapters that study separate subjects in the area of corporate governance and financial intermediation.
In the first chapter, I study a protectionist anti-takeover law introduced in 2014 in France that covers a subset of all ...
EPFL2020Signaling in OTC Markets: Benefits and Costs of Transparency
We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when s ...
CAMBRIDGE UNIV PRESS2020