Unit
Chair of Operations, Economics and Strategy
LaboratoryRelated publications (52)
The Time‐Varying Price of Financial Intermediation in the Mortgage Market
We introduce a new measure of the price charged by financial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...
2024Optimization 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 ...
EPFL2022Wasserstein Distributionally Robust Learning
Many decision problems in science, engineering, and economics are affected by uncertainty, which is typically modeled by a random variable governed by an unknown probability distribution. For many practical applications, the probability distribution is onl ...
EPFL2020Industrial flexibility as demand-side response for electrical grid stability
François Maréchal, Ivan Daniel Kantor, Alessio Santecchia
Electricity markets are currently experiencing a period of rapid change. The intermittent nature of renewable energy is disrupting the conventional methods used in operational planning of the electrical grid, causing a shift from a day-ahead forecast polic ...
ECOS 2020 Local Organizing Committee2020Market Structure and Transaction Costs of Index CDSs
Pierre Collin Dufresne, Jan Benjamin Junge
Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...
WILEY2020Trading mechanisms in over-the-counter markets
In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...
EPFL2020The 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 ...
2019Three Essays in Banking and Finance
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
EPFL2019Strategic Durability with Sharing Markets
Thomas Alois Weber, Maryam Razeghian Jahromi
Electronic sharing markets are contributing to a paradigm shift, from consuming products to accessing products. This paper studies the effects of sharing markets on the prices for new products and on product design in terms of durability. In a dynamic econ ...
2019Three Problems of Liquidity under Asymmetric Information
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
EPFL2019