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Publications associées (40)

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Density approximations for multivariate affine jump-diffusion processes

Damir Filipovic

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial mom ...

Elsevier2013

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...

Columbia Business School2012

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Credit Supply and Corporate Policies

Erwan Morellec

This paper develops a model of corporate investment and financing decisions that differs from previous contributions by recognizing that firms may face uncertainty regarding their future access to credit markets. We show that accounting for credit supply u ...

Swiss Finance Institute Research Paper Series2010

Corporate Finance, Asset Returns, and Credit Risk

Philip Valta

This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...

EPFL2010

Trust management is essential to fostering cooperation and high quality service provisioning in several peer-to-peer (P2P) applications. Among those applications are customer-to-customer (C2C) trading sites and markets of services implemented on top of cen ...

EPFL2010

Reporting incentives and biases in online review forums

Boi Faltings, Radu Jurca, Florent Frédéric Garcin

Online reviews have become increasingly popular as a way to judge the quality of various products and services. However, recent work demonstrates that the absence of reporting incentives leads to a biased set of reviews that may not reflect the true qualit ...

2010

Collaborative working capital management in supply networks

Daniel Seifert

Supply chain management is widely accepted as a means for companies to gain competitive advantage. While product and information flows have been widely covered in the literature, relatively little attention has been paid to the management of a supply chain ...

EPFL2010

Impact of Trust Management and Information Sharing to Adversarial Cost in Ranking Systems

Karl Aberer

Ranking systems such as those in product review sites and recommender systems usually use ratings to rank favorite items based on both their quality and popularity. Since higher ranked items are more likely selected and yield more revenues for their owners ...

2010

Ranking systems such as those in product comparison sites and recommender systems usually use ratings to rank favorite items based on both their quality and popularity. Since higher ranked items are more likely selected and yield more revenues for their ow ...

2010