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

Fatigue Characterization of a structural adhesive

During the last decades, adhesives have become more preponderant as serious options to traditional mechanical ways of bonding things together. From airplane engineering to construction the advantages of such technique have pushed the innovation and conduct ...

2020

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Kathrin Beatrice Glau

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

WILEY2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Thermo-economic analysis and multi-objective optimisation of lignocellulosic biomass conversion to Fischer-Tropsch fuels

François Maréchal, Guillaume Boissonnet, Emanuela Peduzzi

This paper addresses the techno-economic evaluation and optimisation of processes converting lignocellulosic biomass into liquid fuels, through the development of a suitable framework and the modelling and design of Biomass to Liquids (BTL) processes. In p ...

2018

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

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

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

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

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Fatigue Characterization of a structural adhesive

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Numerical methods for option pricing: polynomial approximation and high dimensionality

Option pricing with orthogonal polynomial expansions

Equilibrium Models for Derivatives Markets with Frictions

The Jacobi stochastic volatility model

Thermo-economic analysis and multi-objective optimisation of lignocellulosic biomass conversion to Fischer-Tropsch fuels

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

Note on the relation between profile scalelengths and lambda's

Maintainable Online Classes

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

Equilibrium Models for Derivatives Markets with Frictions

Numerical methods for option pricing: polynomial approximation and high dimensionality

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Thermo-economic analysis and multi-objective optimisation of lignocellulosic biomass conversion to Fischer-Tropsch fuels

Fatigue Characterization of a structural adhesive

Maintainable Online Classes

Note on the relation between profile scalelengths and lambda's

Option pricing with orthogonal polynomial expansions

The Jacobi stochastic volatility model