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Inference and Computation for Sparsely Sampled Random Surfaces

Related publications (39)

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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

A Functional Framework For Ultrasound Imaging

Paul Hurley, Matthieu Martin Jean-André Simeoni

Delay-And-Sum (DAS), the state-of-art in ultrasound imaging, is known to be sub-optimal, resulting in low resolution and contrast. Most proposed improvements involve ad-hoc re-weighting, or hit computational bottlenecks given real-time requirements. This p ...

IEEE2018

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

Dimensional Crossover in a Charge Density Wave Material Probed by Angle-Resolved Photoemission Spectroscopy

Matthias Wolf, Helmuth Berger, Christophe Berthod

High-resolution angle-resolved photoemission spectroscopy data reveal evidence of a crossover from one-dimensional (1D) to three-dimensional (3D) behavior in the prototypical charge density wave (CDW) material NbSe3. In the low-temperature 3D regime, gaps ...

Amer Physical Soc2017

A FUNCTIONAL FRAMEWORK FOR ULTRASOUND IMAGING

Paul Hurley, Matthieu Martin Jean-André Simeoni

2017

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Optimal Multiattribute Screening

Thomas Alois Weber

We provide a technique for constructing optimal multiattribute screening contracts in a general setting with one-dimensional types based on necessary optimality conditions. Our approach allows for type-dependent participation constraints and arbitrary risk ...

2016

Optimal Multiattribute Sreening

Thomas Alois Weber

2016

Arbitraging Intraday Wholesale Energy Market Prices With Aggregations of Thermostatic Loads

Maryam Kamgarpour, John Lygeros

We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...

2015