Concept

Modèle d'évaluation par arbitrage

Publications associées (55)

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

An integrated airline scheduling, fleeting and pricing model for a monopolized market

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore, schedule and capacity decisions are taken separately from pricing decisions. In this article, we present an integrated scheduling, fl ...

Wiley-Blackwell2014

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

Modeling options for demand side participation of thermostatically controlled loads

Maryam Kamgarpour, John Lygeros

Residential thermostatically controlled loads (TCLs) have potential for participation in electricity markets. This is because we can control a large group of these loads to achieve aggregate system behavior such as providing frequency reserves while ensuri ...

IEEE2013

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

Integration of explicit supply-demand interactions in airline schedule planning and fleet assignment

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline scheduling problems, integrated decision methodologies have aroused intense interest in the last decade. These integrated approaches allow for more efficient solutions due to the simultaneous decision making process. The studied integrated model ...

2013

A local search heuristic for a mixed integer nonlinear integrated airline schedule planning problem

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In this paper we present a local search heuristic method for an integrated airline scheduling, fleeting and pricing model. The integrated model simultaneously optimizes the decisions of schedule design, fleet assignment, seat allocation, pricing and consid ...

2013

Development of an identification method of pressure anisotropy based on equilibrium analysis and magnetics

Wilfred Anthony Cooper

We evaluate the fluxes measured by the magnetic flux loops installed in LHD by using a three dimensional MHD equilibrium analysis code, ANIMEC, which enable us to directly determine the calibration function between the anisotropic pressure and the measured ...

American Institute of Physics2013

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

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