Concept
Martingale (calcul stochastique)
Publications associées (25)
Synthetic Generation of Activity-related data
The field of synthetic data is more and more present in our everyday life. The transportation domain is particularly interested in improving the methods for the generation of synthetic data in order to address the privacy and availability issue of real dat ...
2023Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Polynomial Jump-Diffusion Models
Damir Filipovic, Martin Larsson
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
2020Analytical approach to an integrate-and-fire model with spike-triggered adaptation
The calculation of the steady-state probability density for multidimensional stochastic systems that do not obey detailed balance is a difficult problem. Here we present the analytical derivation of the stationary joint and various marginal probability den ...
2015