Concept

Option binaire

Publications associées (123)

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The Weakest Failure Detectors To Solve Quittable Consensus And Nonblocking Atomic Commit

Rachid Guerraoui

We define quittable consensus, a natural variation of the consensus problem, where processes have the option to agree on "quit" if failures occur, and we relate this problem to the well-known problem of nonblocking atomic commit. We then determine the weak ...

Society for Industrial and Applied Mathematics2012

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Final-Focus Optics for the LHeC Electron Beam Line

José Luis Abelleira Fernández, Hector Garcia, Frank Zimmermann

One of the options considered for the ECFA-CERNNuPECC design study for a Large Hadron electron Collider (LHeC) based on the LHC is adding a recirculating energy-recovery linac tangential to the LHC. First designs of the electron Final Focus System have sho ...

2012

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Spatiotemporal Brain Signatures of Risk and Reward

Anjali Devi Vanapilli Nursimulu

Rational economics and finance surmise that choices decree from a conscious arbitration between alternatives based on decision-theoretically computed values. Implicit in the computation of these option values are the perception and integration of different ...

Ecole Polytechnique Fédérale de Lausanne2012

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

H2 processes with CO2 mitigation: Thermo-economic modeling and process integration

François Maréchal, Laurence Tock

Within the challenge of greenhouse gas reduction, hydrogen is regarded as a promising decarbonized energy vector. The hydrogen production by natural gas reforming and lignocellulosic biomass gasification are systematically analyzed by developing thermo-eco ...

2012

CO2 mitigation in thermo-chemical hydrogen processes: Thermo-environomic comparison and optimization

François Maréchal, Laurence Tock

A systematic comparison and optimization of thermo-chemical hydrogen production processes with CO2 capture is performed. The process options include the resource type, the syngas production method and the hydrogen purification technology, including CO2 sep ...

2012

MAOA-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 ...

2011

Hedging Electricity Swing Options in Incomplete Markets

Daniel Kuhn, Wolfram Wiesemann

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011