Publications associées à Nonlinear Pricing of Shareable Products

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Robert West, Maxime Jean Julien Peyrard, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

2024

Koopman-based Data-driven Robust Control of Nonlinear Systems Using Integral Quadratic Constraints

Alireza Karimi, Mert Eyuboglu

This paper introduces a novel method for data-driven robust control of nonlinear systems based on the Koopman operator, utilizing Integral Quadratic Constraints (IQCs). The Koopman operator theory facilitates the linear representation of nonlinear system d ...

2024

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

Adapting Haptic Feedback for Guided Meditation

Cédric Duchene, Nicolas Henchoz, Emily Clare Groves, Romain Simon Collaud, Andreas Sonderegger, Yoann Pierre Douillet

Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

Dataset for the article "Frequency regulation with storage: On losses and profits"

Daniel Kuhn, François Richard Vuille, Dirk Lauinger

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

Zenodo2023

Optimized numerical solutions of SIRDVW multiage model controlling SARS-CoV-2 vaccine roll out: An application to the Italian scenario

Alfio Quarteroni, Luca Dede', Nicola Parolini

In the context of SARS-CoV-2 pandemic, mathematical modelling has played a funda-mental role for making forecasts, simulating scenarios and evaluating the impact of pre-ventive political, social and pharmaceutical measures. Optimal control theory represent ...

KEAI PUBLISHING LTD2023

Hybrid Quadratic Programming - Pullback Bundle Dynamical Systems Control

Aude Billard, Bernardo Fichera

Dynamical System (DS)-based closed-loop control is a simple and effective way to generate reactive motion policies that well generalize to the robotic workspace, while retaining stability guarantees. Lately the formalism has been expanded in order to handl ...

SPRINGER INTERNATIONAL PUBLISHING AG2023

Distributionally Robust Linear Quadratic Control

Daniel Kuhn, Bahar Taskesen, Cagil Kocyigit

Linear-Quadratic-Gaussian (LQG) control is a fundamental control paradigm that is studied in various fields such as engineering, computer science, economics, and neuroscience. It involves controlling a system with linear dynamics and imperfect observations ...

2023