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Unspanned stochastic volatility in the multifactor CIR model

Related publications (28)

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Workshop Report: Governance of Trust in Precision Medicine

Marie-Valentine Renée Agnès Florin, Kujtesë Bejtullahu Michalopoulos

Following up a two-day invitation-only expert workshop in Geneva on the subject of Trust and Precision Medicine, IRGC published a workshop report in April 2018. This report addresses the concept of trust and conditions of trustworthiness in each of the thr ...

EPFL International Risk Governance Center2018

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

Evidence that low socioeconomic position accentuates genetic susceptibility to obesity

Stéphane Joost, Idris Guessous

Susceptibility to obesity in today′s environment has a strong genetic component. Lower socioeconomic position (SEP) is associated with a higher risk of obesity but it is not known if it accentuates genetic susceptibility to obesity. We aimed to use up to 1 ...

2016

The impact of the European Emission Trading Scheme on multiple measures of economic performance*

Marianna Marino, Claudia Pellegrin

The European emission trading scheme (EU ETS) has introduced a price for carbon and has thus led to an additional cost for companies that are regulated by the scheme. There is a growing body of empirical literature that investigates the effects of the EU E ...

EPFL2016

Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation

Damir Filipovic

Limited liability creates an incentive for insurers to increase the risk of the assets and liabilities at the expense of policyholders. We show that solvency capital requirements restrict the set of feasible investment and premium policies and can thereby ...

Wiley-Blackwell2015

How Do In-video Interactions Reflect Perceived Video Difficulty?

Pierre Dillenbourg, Patrick Jermann, Lukasz Kidzinski, Nan Li

Lecture videos are the major components in MOOCs. It is common for MOOC analytics researchers to model video behaviors in order to identify at-risk students. Much of the work emphasized prediction. However, we have little empirical understanding about thes ...

P.A.U. Education2015

Invisibility and interpretation

Michael Herzog

Invisibility is often thought to occur because of the low-level limitations of the visual system. For example, it is often assumed that backward masking renders a target invisible because the visual system is simply too slow to resolve the target and the m ...

Frontiers Research Foundation2014

Corporate Science and Voluntary Disclosure

Markus Simeth

The dissertation investigates the phenomenon of firms that make voluntary contributions to the stock of scientific knowledge. Such a firm behaviour appears counterintuitive from a traditional viewpoint, since no direct financial returns can be expected whi ...

EPFL2013

Trade Liberalization, Firm Heterogeneity, and Labor Layoffs: An Empirical Investigation

Pinar Uysal

This is the first empirical attempt to provide evidence for the interaction between firm-level total factor productivity and trade liberalization as key determinants of firm-level job destruction caused by trade. Employing an original US firm-level data, w ...

Center for Fiscal Policy Working Paper Series2011

Dynamic CDO Term Structure Modeling

Damir Filipovic

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...

Wiley-Blackwell2011