Publications associées à Taux sans risque

Shannon Bounds on Lossy Gray-Wyner Networks

The Gray-Wyner network subject to a fidelity criterion is studied. Upper and lower bounds for the trade-offs between the private sum-rate and the common rate are obtained for arbitrary sources subject to mean-squared error distortion. The bounds meet exact ...

2022

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021

Who Is Listening? Spokesperson Effect on Communicating Social and Physical Distancing Measures During the COVID-19 Pandemic

Robert West, Andreas Oliver Spitz, Ahmad Abu-Akel

Effective communication during a pandemic, such as the current COVID-19 crisis, can save lives. At the present time, social and physical distancing measures are the lead strategy in combating the spread of COVID-19. In this study, a survey was administered ...

Frontiers Media2021

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

2020

Competitive Neural Layer-based Method to Identify People with High Risk for Diabetic Foot

André Anjos

Background and objective: To automatically identify patients with diabetes mellitus (DM) who have high risk of developing diabetic foot, via an unsupervised machine learning technique. Methods: We collected a new database containing 54 known risk factors f ...

2020

Essays on adaptation to rare disasters

Takafumi Usui

This thesis aims to further investigate rare natural disasters and studies adaptation decisions under uncertainty by solving several computational economic models. The modeling of rare natural disasters depends on the treatment of catastrophic outcomes wit ...

EPFL2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

A systematic review and meta-analysis of the efficacy of aortic anastomotic devices

Nikolaos Stergiopoulos, Dimitrios Schizas

Objective: One of the factors contributing to complications related to open repair of the aorta is the construction of a hand-sewn anastomosis. Aortic anastomotic devices (AADs), such as the intraluminal ringed graft (IRG), and the anastomotic stenting tec ...

MOSBY-ELSEVIER2019

Longitudinal analysis of white matter and cortical lesions in multiple sclerosis

Meritxell Bach Cuadra, Tobias Kober, Cristina Granziera, Mario Joao Fartaria de Oliveira

Purpose: The goals of this study were to assess the performance of a novel lesion segmentation tool for longitudinal analyses, as well as to validate the generated lesion progression map between two time points using conventional and non-conventional MR se ...

2019

Three Essays in Banking and Finance

Damien Olivier Klossner

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 ...

EPFL2019