Concept

Modèle binomial

Publications associées (77)

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics

Fernando Porté Agel, Jiannong Fang, Daniel Jacob Tabas

With rising levels of wind power penetration in global electricity production, the relevance of wind power prediction is growing. More accurate forecasts reduce the required total amount of energy reserve capacity needed to ensure grid reliability and the ...

2019

Non-myopic betas

Semyon Malamud

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

MATHICSE Technical Report : Incremental computation of block triangular matrix exponentials with application to option pricing

Daniel Kressner, Robert Gerhard Jérôme Luce, Francesco Statti

We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an evaluation scheme arises naturally in the context of option pricing in polynomia ...

MATHICSE2017

Early-stage decision making approach for the selection of optimally integrated biorefinery processes

François Maréchal, Adriano Viana Ensinas, Shivom Sharma, Ayse Dilan Celebi

Lignocellulosic biorefineries are the best non-petroleum alternatives for a sustainable development. In the biorefinery process design, it is important to implement an algorithm that allows systematic generation, evaluation of energy conversion chains and ...

2017

Early-stage decision making approach for the selection of optimally integrated biorefinery processes

François Maréchal, Adriano Viana Ensinas, Shivom Sharma, Ayse Dilan Celebi

Lignocellulosic biorefineries are the best non-petroleum alternatives for a sustainable development. In the biorefinery process design, it is important to implement an algorithm that allows the systematic generation and the evaluation of energy conversion ...

2017

MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Daniel Kressner, Robert Gerhard Jérôme Luce

The computation of the matrix exponential is a ubiquitous operation in numerical mathematics, and for a general, unstructured n×n matrix it can be computed in O(n3) operations. An interesting problem arises if the input matrix is a Toeplitz matrix, for exa ...

MATHICSE2016

Fed funds futures variance futures

Damir Filipovic

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 ...

Routledge Journals, Taylor & Francis Ltd2016

Thermo-environomic optimisation strategy for fuel decarbonisation process design and analysis

François Maréchal, Laurence Tock

To meet the CO2 reduction targets and ensure sustainable energy supply, the development and deploy- ment of cost-competitive innovative low-carbon energy technologies is essential. To design and evaluate the competitiveness of such complex integrated energ ...

2015

A pragmatic approach towards modeling microchannel condensation and evaporation

Nicolas Espen Antonsen

A numerical code was developed for modeling phase change micro heat exchangers. The model covers evaporating and condensing annular flows as well as slug/elongated bubble flows. The model was validated against a set of experimental results from different l ...

EPFL2015

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