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Publications associées (82)

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Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015

Description of the capacity degradation mechanism in LaNi5-based alloy electrodes

Philippe Mauron, Mariana Spodaryk, Marco Roman Holzer

The mechanism of the capacity degradation of LaNi5-based alloy electrodes was investigated with a special focus on the influence of the alloy and surface composition, as well as the unique structure obtained by gas atomisation. The electrochemical properti ...

Elsevier Science Sa2015

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

Variability-Aware Design Space Exploration of Embedded Memories

Andreas Peter Burg, Georgios Karakonstantis, Shrikanth Ganapathy

With scaling of process technologies and worsening of process variations, embedded memories are susceptible to a large number of failure mechanisms making it hard to achieve high yield. In this paper, by bringing together architecture and circuit-level exp ...

2014

Nucleation of Silicon Nanoparticles in Amorphous Silicon Dioxide Matrices

Simone Meloni

In this contribution I summarize our research on the formation of nanoparticles embedded in a-SiO2-x matrices. In particular, I focus on the Si diffusion in SiO2-x matrices, and amorphous-to-crystalline phase transition in Si nanoparticles embedded in SiO2 ...

Amer Inst Physics2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Could electrical conductivity replace water level in rating curves for alpine streams?

Marc Parlange, Steven Vincent Weijs, Raphaël Mutzner

Streamflow time series are important for inference and understanding of the hydrological processes in alpine watersheds. Because streamflow is expensive to continuously measure directly, it is usually derived from measured water levels, using a rating curv ...

American Geophysical Union2013

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

Geomorphic signatures on brutsaert base flow recession analysis

Andrea Rinaldo, Marc Parlange, Enrico Bertuzzo, Steven Vincent Weijs, Raphaël Mutzner, Serena Ceola, Ludovico Nicotina, Nevena Tomasic

This paper addresses the signatures of catchment geomorphology on base flow recession curves. Its relevance relates to the implied predictability of base flow features, which are central to catchment-scale transport processes and to ecohydrological functio ...

American Geophysical Union2013

Essays in Information-Based Asset Pricing

Michael Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013