Publications associées à Option exotique

Renovation of hydraulic power plant: how to select the best technical options?

François Avellan, Christophe Nicolet, Christian Landry, Loïc Andolfatto, Joao Gomes Pereira Junior

With the Energy Strategy 2050, Switzerland wishes to focus on balanced utilization of hydropower potentials and new renewable energy sources to cope with nuclear energy phasing out. Integration of large amounts of new renewable energies such as wind and so ...

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

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Alexandre Terrier, Adeliya Latypova, Valérie Parvex, Maïka Réane Guillemin

Purpose Constrained devices, standard implants with large heads, and dual mobility systems have become popular options to manage instability after total hip arthroplasty (THA). Clinical results with these options have shown variable success rates and signi ...

Springer Verlag2017

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

Note on the relation between profile scalelengths and lambda's

Olivier Sauter

The calculation of the inverse scalelengths

R/L_T

R/L_n

may depend on the choice of the radial variable, depending on the definition of the scalelength. The value of

\lambda_T

and

\lambda_n

, as defined in [O. Sauter {\it et al}, Phys. Plasmas {\bf ...

SPC-EPFL2016

Train Timetable Design Under Elastic Passenger Demand

Michel Bierlaire, Matthieu Marie Cochon de Lapparent, Shadi Sharif Azadeh, Mohammad Yousef Maknoon, Tomas Robenek

We integrate a probabilistic demand model in the train timetabling problem. We use a logit model that we calibrate to reflect the known demand elasticities. We further include a competing operator as an opt-out option for the passengers. Subsequently, we i ...

2016

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

CO2-mitigation options for the offshore oil and gas sector

François Maréchal, Tuong-Van Nguyen, Laurence Tock

The offshore extraction of oil and gas is an energy-intensive process leading to the production of CO2 and methane, discharged into the atmosphere, and of chemicals, rejected into the sea. The taxation of these emissions, in Norway, has encouraged the deve ...

2016

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Note on the relation between profile scalelengths and lambda's

Olivier Sauter

The calculation of the inverse scalelengths

R/L_T

R/L_n

may depend on the choice of the radial variable, depending on the definition of the scalelength. The value of

\lambda_T

and

\lambda_n

, as defined in [O. Sauter {\it et al}, Phys. Plasmas {\bf ...

SPC-EPFL2016

Option exotique

Renovation of hydraulic power plant: how to select the best technical options?

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

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Quadratic variance swap models

Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

Note on the relation between profile scalelengths and lambda's

Train Timetable Design Under Elastic Passenger Demand

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

CO2-mitigation options for the offshore oil and gas sector

Detecting abnormal trading activities in option markets

Graph Chatbot

Chattez avec Graph Search

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

Dual mobility cups provide biomechanical advantages in situations at risk for dislocation: a finite element analysis

Quadratic variance swap models

Note on the relation between profile scalelengths and lambda's

Train Timetable Design Under Elastic Passenger Demand

Renovation of hydraulic power plant: how to select the best technical options?

Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

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

Detecting abnormal trading activities in option markets

CO2-mitigation options for the offshore oil and gas sector