Concept
Computational finance
Publications associées (21)
Efficient and insightful descriptors for representing molecular and material space
Data-driven approaches have been applied to reduce the cost of accurate computational studies on materials, by using only a small number of expensive reference electronic structure calculations for a representative subset of the materials space, and using ...
EPFL2024Biophysically accurate and machine learning-based surrogate models to optimize neuroprosthesis design and operation
Electrical stimulation of the nervous system has emerged as a promising assistive technology in case of many injuries and illnesses across various parts of the nervous system. In particular, the invasive neuromodulation of the peripheral nervous system see ...
EPFL2024Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023Privacy-preserving federated neural network training and inference
Training accurate and robust machine learning models requires a large amount of data that is usually scattered across data silos. Sharing, transferring, and centralizing the data from silos, however, is difficult due to current privacy regulations (e.g., H ...
EPFL2023Essays on adaptation to rare disasters
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 ...
EPFL2019Blacklisting variants common in private cohorts but not in public databases optimizes human exome analysis
Jacques Fellay, Alessandro Borghesi
Computational analyses of human patient exomes aim to filter out as many nonpathogenic genetic variants (NPVs) as possible, without removing the true disease-causing mutations. This involves comparing the patient's exome with public databases to remove rep ...
NATL ACAD SCIENCES2019Three Essays in Banking and Finance
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 ...
EPFL2019Code Generation in Computational Neuroscience: A Review of Tools and Techniques
Michael Lee Hines, Pramod Shivaji Kumbhar, Romain Brette
Advances in experimental techniques and computational power allowing researchers to gather anatomical and electrophysiological data at unprecedented levels of detail have fostered the development of increasingly complex models in computational neuroscience ...
2018Polynomial models in finance
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
EPFL2017Essays on the Market Structure and Pricing of Credit Derivatives
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
EPFL2016