Publications related to Variance Risk Premia in Energy Commodities

On 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

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Alexandre Terrier, Adeliya Latypova, Valérie Parvex, Maïka Réane Guillemin

Purpose Constrained devices, standard implants with large heads, and dual mobility systems have become popular options to manage instability after total hip arthroplasty (THA). Clinical results with these options have shown variable success rates and signi ...

Springer Verlag2017

Train Timetable Design Under Elastic Passenger Demand

Michel Bierlaire, Matthieu Marie Cochon de Lapparent, Shadi Sharif Azadeh, Mohammad Yousef Maknoon, Tomas Robenek

We integrate a probabilistic demand model in the train timetabling problem. We use a logit model that we calibrate to reflect the known demand elasticities. We further include a competing operator as an opt-out option for the passengers. Subsequently, we i ...

2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

Maintainable Online Classes

Alexandre David Koo

This project was initialized by Professor Prandoni from EPFL in the context of a bachelor project entitled "Maintainable Online Coursese". The motivations for this project was the lack of intuitive slideshow annotation software considering the current boom ...

2016

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Daniel Kressner, Robert Gerhard Jérôme Luce

The computation of the matrix exponential is a ubiquitous operation in numerical mathematics, and for a general, unstructured n×n matrix it can be computed in O(n3) operations. An interesting problem arises if the input matrix is a Toeplitz matrix, for exa ...

MATHICSE2016

Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

Christèle Marie Zbinden

In this thesis, we explore possible stabilisation methods for the reduce basis approximation of advection-diffusion problems, for which the advection term is dominating. The options we consider are mainly inspired by the Variational Multiscale method (VMS) ...

2016

Note on the relation between profile scalelengths and lambda's

Olivier Sauter

The calculation of the inverse scalelengths

R/L_T

,

R/L_n

may depend on the choice of the radial variable, depending on the definition of the scalelength. The value of

\lambda_T

and

\lambda_n

, as defined in [O. Sauter {\it et al}, Phys. Plasmas {\bf ...

SPC-EPFL2016

Variance Risk Premia in Energy Commodities

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On the American swaption in the linear-rational framework

Polynomial models in finance

Linear-Rational Term Structure Models

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Train Timetable Design Under Elastic Passenger Demand

Quadratic variance swap models

Maintainable Online Classes

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

Note on the relation between profile scalelengths and lambda's

On the American swaption in the linear-rational framework

Linear-Rational Term Structure Models

Quadratic variance swap models

Maintainable Online Classes

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

Polynomial models in finance

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Train Timetable Design Under Elastic Passenger Demand

Note on the relation between profile scalelengths and lambda's