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Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...
We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a gen ...
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...
We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...
Secondary organic aerosol (SOA) is transformed after its initial formation, but this chemical aging of SOA is poorly understood. Experiments were conducted in the Carnegie Mellon environmental chamber to form secondary organic aerosol (SOA) from the photo- ...
The escalating food demand by a growing and increasingly affluent global population is placing unprecedented pressure on the limited land and water resources of the planet, underpinning concerns over global food security and its sensitivity to shocks arisi ...
We consider how equity holders' bargaining power during financial distress influences the interactions between financing and investment decisions when the firm faces the upper limit of debt issuance. We obtain four results. First, weaker equity holders' ba ...
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
This work presents the development and characterization of a thermodenuder for the study and interpretation of aerosol volatility. Thermodenuder measurements are further combined with a continuous-flow streamwise thermal gradient CCN counter to obtain the ...