MOOC

Interest Rate Models

Publications associées (186)

Graph Chatbot

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

Connectez-vous pour utiliser Chat avec Graph Search

User Behavior Under the Influence of Groups in Social Media

Lionel Jérémie Martin

Social Media are at the heart of our communications and are among the most visited places on the web. Their user-generated content allows the gathering of immensely many information that cannot be processed entirely by the users. Thus it is of interest to ...

2013

Density approximations for multivariate affine jump-diffusion processes

Damir Filipovic

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial mom ...

Elsevier2013

Hexagonal Class Representation for Fingerprinting and Facile Comparison of Petroleomic Samples

Yury Tsybin, Anton Kozhinov, Konstantin Zhurov

Because of the high complexity of petroleomic-type samples, there is a need for efficient ways of visualizing and interpreting the resulting data in mass spectrometry-based petroleomics. Over the years, several graphing approaches have become widespread, y ...

Amer Chemical Soc2013

Discovering places of interest in everyday life from smartphone data

Daniel Gatica-Perez

In this paper, a new framework to discover places-of-interest from multimodal mobile phone data is presented. Mobile phones have been used as sensors to obtain location information from users’ real lives. A place-of-interest is defined as a location where ...

Springer2013

Worst-Case Value at Risk of Nonlinear Portfolios

Daniel Kuhn

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are ...

2013

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

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

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...

Columbia Business School2012

Performance and Profitability Perspectives of a CO2 based District Energy Network in Geneva’s City Center

Daniel Favrat, Céline Weber, Samuel Henchoz

A new type of district energy network capable of providing simultaneously heating and cooling is being investigated. It is based on the use of CO2 as a heat transfer fluid by taking advantage of the latent heat of vaporization, to store and transfer heat a ...

2012

Affine Variance Swap Curve Models

Damir Filipovic

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified ...

2012