Publication

Inference and Computation for Sparsely Sampled Random Surfaces

Related publications (39)

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.

Essays in Information-Based Asset Pricing

Michael Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

A self-learning algorithm for biased molecular dynamics

Michele Ceriotti, Gareth Aneurin Tribello, Michele Parrinello

A new self-learning algorithm for accelerated dynamics, reconnaissance metadynamics, is proposed that is able to work with a very large number of collective coordinates. Acceleration of the dynamics is achieved by constructing a bias potential in terms of ...

National Academy of Sciences2010

Equilibrium Driven by Discounted Dividend Volatility

Semyon Malamud

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diﬀu- sion. We introduce a new, intrinsic characte ...

2009

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Can interest rate volatility be extracted from the cross section of bond yields?☆

Pierre Collin Dufresne

Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...

Elsevier2009

Dynamics and Control of 2D SpiderCrane: A Lie-Bäcklund Approach

Dominique Bonvin, Philippe Müllhaupt

In this paper we present modeling and control of a multicable suspended mechanism called the ‘2D SpiderCrane’. The use of cables, and thus avoiding conventional heavy components, makes such a mechanism suitable for working at high transfer speeds. The init ...

2009

A GARCH Option Pricing Model with Filtered Historical Simulation

Loriano Mancini, Giovanni Barone-Adesi

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...

2008

Out of Sample Forecasts of Quadratic Variation

Loriano Mancini

We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the v ...

2008

On the stability of the coupling of 3d and 1d fluid-structure interaction models for blood flow simulations

Fabio Nobile, Luca Formaggia

We consider the coupling between three-dimensional (3D) and one-dimensional (1D)fluidstructure interaction (FSI) models describing blood flow inside compliant vessels. The 1D model is a hyperbolic system of partial differential equations. The 3D model cons ...

2007

GenOVa: A computer program to generate orientational variants

Cyril Cayron

A computer program called GenOVa, written in Python, calculates the orientational variants, the operators (special types of misorientations between variants) and the composition table associated with a groupoid structure. The variants can be represented by ...

2007