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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
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
Isogeometric shape optimization has been now studied for over a decade. This contribution aims at compiling the key ingredients within this promising framework, with a particular attention to sensitivity analysis. Based on all the researches related to iso ...
2020
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The bond response of deformed bars in structural concrete is a phenomenon governed, to a large extent, by the rib-to-concrete contact and interaction, with contact forces depending on both material properties and the kinematics between the contact surfaces ...
ICE PUBLISHING2021
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This paper proposes a pricing scheme for the day-ahead market in power systems with a large percentage of renewable stochastic production. To clear the day-ahead market, instead of a simplistic deterministic model, we use a two-stage stochastic programming ...
Mountain regions are considered to be the natural "water towers" of the world due to their importance as sources of many rivers. Reliable tools to estimate the availability and variability of streamflows in such regions are still rare. In this context, the ...
We study the relation between various notions of exterior convexity introduced in [S. Bandyopadhyay, B. Dacorogna and S. Sil, J. Eur. Math. Soc. 17 (2015) 1009-1039.] with the classical notions of rank one convexity, quasiconvexity and polyconvexity. To th ...
Herein, the ligand-based concept of shortening quintuple bonds and some of its limitations are reported. In dichromium-diguanidinato complexes, the length of the quintuple bond can be influenced by the substituent at the central carbon atom of the used lig ...
Wiley-V C H Verlag Gmbh2013
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We investigate the problem of online detection of complex activities (such as cooking, lunch, work at desk), i.e., recognizing them while the activities are being performed using parts of the sensor data. In contrast to prior work, where complex activity r ...
