Concept

Évaluation d'option

Publications associées (81)

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

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

Carbon neutral expansion of oil palm plantations in the Neotropics

Alexandre Buttler, Thomas Guillaume, Juan Carlos Quezada Rivera

Alternatives to ecologically devastating deforestation land use change trajectories are needed to reduce the carbon footprint of oil palm (OP) plantations in the tropics. Although various land use change options have been proposed, so far, there are no emp ...

American Association for the Advancement of Science (AAAS)2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

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

Polynomial models in finance

Damien Edouard Ackerer

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 ...

EPFL2017

The Economics of Sharing Markets

Maryam Razeghian Jahromi

Sharing and redistributing assets between individuals has become a noticeable part of the economy. Ownership is no longer the sole mode of consumption and consumers have the option of choosing between ownership and access-based consumption. This change in ...

EPFL2017

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