Publications related to Illiquidity and Higher Cumulants

The Advent of the Sharing Culture and its Effect on Product Pricing

Thomas Alois Weber, Maryam Razeghian Jahromi

Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...

2019

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

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

The Economics of Sharing Markets

Maryam Razeghian Jahromi

Sharing and redistributing assets between individuals has become a noticeable part of the economy. Ownership is no longer the sole mode of consumption and consumers have the option of choosing between ownership and access-based consumption. This change in ...

EPFL2017

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

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

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

Christèle Marie Zbinden

In this thesis, we explore possible stabilisation methods for the reduce basis approximation of advection-diffusion problems, for which the advection term is dominating. The options we consider are mainly inspired by the Variational Multiscale method (VMS) ...

2016

Train Timetable Design Under Elastic Passenger Demand

Michel Bierlaire, Matthieu Marie Cochon de Lapparent, Shadi Sharif Azadeh, Mohammad Yousef Maknoon, Tomas Robenek

We integrate a probabilistic demand model in the train timetabling problem. We use a logit model that we calibrate to reflect the known demand elasticities. We further include a competing operator as an opt-out option for the passengers. Subsequently, we i ...

2016

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

Illiquidity and Higher Cumulants

Graph Chatbot

Chat with Graph Search

The Advent of the Sharing Culture and its Effect on Product Pricing

Equilibrium Models for Derivatives Markets with Frictions

The Jacobi stochastic volatility model

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

The Economics of Sharing Markets

Maintainable Online Classes

Quadratic variance swap models

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

Train Timetable Design Under Elastic Passenger Demand

Note on the relation between profile scalelengths and lambda's

Quadratic variance swap models

Maintainable Online Classes

Equilibrium Models for Derivatives Markets with Frictions

The Economics of Sharing Markets

The Jacobi stochastic volatility model

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

The Advent of the Sharing Culture and its Effect on Product Pricing

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

Train Timetable Design Under Elastic Passenger Demand

Note on the relation between profile scalelengths and lambda's