Publication

Energy Business and Finance Policy - Parallels in Methodology and Duties

Related publications (75)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

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 ...

Hoboken2024

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 EP ...

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

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...

EPFL2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

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 INC2022

Assessing the energy potential of modernizing the European hydropower fleet

Anton Schleiss, Elena Vagnoni

About 50% of all hydropower plants (HPPs) worldwide were originally commissioned more than 40 years ago, so that the advanced age of the fleet is a major concern across all continents, and especially in Europe. The modernization of HPPs can generate severa ...

2021

COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2020

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

WILEY2020