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Publications associées (14)
Numerical methods for option pricing: polynomial approximation and high dimensionality
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
EPFL2019Replicating portfolio approach to capital calculation
Damir Filipovic, Mathieu Jacques David Cambou
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...
2018A Continuum of Commitment
We examine a generic three-stage game for two players with alternating moves, where the first player can choose the level of adjustment cost to be paid in the last period to modify the action she announced in the first period. In the resulting continuum of ...
2014A Continuum of Commitment
We examine a generic three-stage game for two players with alternating moves, where the first player can choose the level of adjustment cost to be paid in the last period for modifying the action she announced in the first period. In the resulting continuu ...
EPFL CDM MTEI2013Exploration and Resource Commitments in Unequal Partnerships: An Examination of Corporate Venture Capital Investments
While established firms' relationships with external ventures may have significant strategic benefits, the realization of such benefits is fraught with considerable uncertainty. The real options and interorganizational learning literatures present an inter ...
Wiley-Blackwell2013Dynamic CDO Term Structure Modeling
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
Wiley-Blackwell2011Price impact and portfolio impact
We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...
2011MAOA-L carriers are better at making optimal financial decisions under risk
Genes can affect behaviour towards risks through at least two distinct neurocomputational mechanisms: they may affect the value assigned to different risky options, or they may affect the way in which the brain adjudicates between options based on their va ...
2011Closed-form solutions to stochastic switching problems
This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state depe ...
2008A General Formula for Valuing Defaultable Securities
Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...
2004