Concept

Rational pricing

Publications associées (43)

Stripping the Swiss discount curve using kernel ridge regression

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...

Springer Heidelberg2024

Demand-based Asset Pricing: Theory, Estimation and Applications

Philippe van der Beck

This thesis investigates the relationship between investors' demand shocks and asset pricesthrough the use of data on portfolio holdings. In three chapters, I study the theory, estimation,and application of demand-based asset pricing models, which incorpor ...

EPFL2023

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...

EPFL2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Principal Portfolios

Semyon Malamud

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...

WILEY2022

Asset Pricing and Monetary Policy

Nicolas Gauderon

Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...

EPFL2022

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Damir Filipovic

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

WILEY2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...

EPFL2022

Turning PathFinder Upside -Down: 1-4,xploring FPGA Switch -Blocks by Negotiating Switch Presence

Paolo Ienne, Stefan Nikolic

Automated switch-block exploration gains in importance as technology scaling brings more emphasis on the physical constraints, making it insufficient to rely on abstract measures of routability alone. In this work, we take an approach that significantly di ...

IEEE COMPUTER SOC2021

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