Unit
MTEI - Administration
InstituteRelated publications (336)
Discount models
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Heidelberg2023Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Optimization and equilibrium problems with discrete choice models
Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...
EPFL2022Optimal Matching of Random Parts
This paper examines the minimization of the cost for an expected random production output, given an assembly of finished goods from two random inputs, matched in two categories. We describe the optimal input portfolio, first using the standard normal appro ...
2022Memory of Motion for Initializing Optimization in Robotics
Many robotics problems are formulated as optimization problems. However, most optimization solvers in robotics are locally optimal and the performance depends a lot on the initial guess. For challenging problems, the solver will often get stuck at poor loc ...
EPFL2022Utilizing additive manufacturing and mass customization under capacity constraints
Ralf Seifert, Anna Timonina-Farkas, Rachel Agnès Laetitia Rosemonde Marie Lacroix
Additive manufacturing (AM), originally used for prototyping, is increasingly adopted for custom final part production across different industries. However, printing speed and production volume are two barriers for the adoption of AM for product customizat ...
SPRINGER2022Modeling and mitigating supply chain disruptions as a bilevel network flow problem
Anna Timonina-Farkas, René Yves Glogg
Years of globalization, outsourcing and cost cutting have increased supply chain vulnerability calling for more effective risk mitigation strategies. In our research, we analyze supply chain disruptions in a production setting. Using a bilevel optimization ...
SPRINGER HEIDELBERG2022A blockchain and IoT-based lightweight framework for enabling information transparency in supply chain finance
Supply Chain Finance (SCF) refers to the financial service in which banks rely on core enterprises to manage the capital flow and logistics of upstream and downstream enterprises. SCF adopts a self-testing and closed-loop credit model to control funds and ...
KEAI PUBLISHING LTD2022Essays in Financial Economics
This thesis consists of two chapters that study separate subjects in the area of corporate finance.The first chapter, titled âEconomic Gains in Bank Mergers and Acquisitions â Evidence from Targetsâ, investigates economic gains in bank mergers and ac ...
EPFL2022A contagion process with self-exciting jumps in credit risk applications
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
TAYLOR & FRANCIS LTD2022