Publications related to How Integrated are Credit and Equity Markets? Evidence from Index Options

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

3 steps to reuse published content in your thesis

Raphaël Grolimund

3 steps to know if you can reuse published content in your thesis, who to contact to do so and how credit that in your thesis ...

2017

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

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Daniel Kressner, Robert Gerhard Jérôme Luce

The computation of the matrix exponential is a ubiquitous operation in numerical mathematics, and for a general, unstructured n×n matrix it can be computed in O(n3) operations. An interesting problem arises if the input matrix is a Toeplitz matrix, for exa ...

MATHICSE2016

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

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

How Integrated are Credit and Equity Markets? Evidence from Index Options

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

3 steps to reuse published content in your thesis

Maintainable Online Classes

Quadratic variance swap models

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

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Train Timetable Design Under Elastic Passenger Demand

Note on the relation between profile scalelengths and lambda's

Detecting abnormal trading activities in option markets

Three Essays on Asset Pricing

Detecting abnormal trading activities in option markets

Quadratic variance swap models

Train Timetable Design Under Elastic Passenger Demand

Maintainable Online Classes

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Note on the relation between profile scalelengths and lambda's

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

Three Essays on Asset Pricing

3 steps to reuse published content in your thesis

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