Publications related to Quadratic variance swap models

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Robert West, Maxime Jean Julien Peyrard, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

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, ...

EPFL2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

2024

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

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 ...

EPFL2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

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 LTD2023

Simulating supercontinua from mixed and cascaded nonlinearities

Luis Guillermo Villanueva Torrijo, Victor Brasch, Furkan Ayhan, Tobias Herr, Thibault Voumard

Nonlinear optical frequency conversion is of fundamental importance in photonics and underpins countless of its applications: Sum- and difference-frequency generation in media with quadratic nonlinearity permits reaching otherwise inaccessible wavelength r ...

AIP Publishing2023

Byzantine consensus is Θ(n^2): the Dolev-Reischuk bound is tight even in partial synchrony!

Rachid Guerraoui, Jovan Komatovic, Manuel José Ribeiro Vidigueira, Pierre Philippe Civit, Vincent Gramoli, Seth Gilbert

The Dolev-Reischuk bound says that any deterministic Byzantine consensus protocol has (at least) quadratic (in the number of processes) communication complexity in the worst case: given a system with n processes and at most f < n/3 failures, any solution t ...

2023

Adapting Haptic Feedback for Guided Meditation

Cédric Duchene, Nicolas Henchoz, Emily Clare Groves, Romain Simon Collaud, Andreas Sonderegger, Yoann Pierre Douillet

Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

Hierarchy of quasisymmetries and degeneracies in the CoSi family of chiral crystal materials

Philip Johannes Walter Moll, Chunyu Guo, Yi-Chiang Sun

In materials, certain approximated symmetry operations can exist in a lower-order approximation of the effective model but are good enough to influence the physical responses of the system, and these approximated symmetries were recently dubbed "quasisymme ...

AMER PHYSICAL SOC2023