Publication

Rational asset pricing bubbles and portfolio constraints

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Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Asset pricing with arbitrage activity

Julien Hugonnier

We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a ...

Elsevier2015

International portfolios: A comparison of solution methods

Serhiy Stepanchuk

We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financia ...

Elsevier Science Bv2015

Optimal expulsion and optimal confinement of a Brownian particle with a switching cost

Robert Dalang, Laura Vinckenbosch

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a switching cost. In ...

Elsevier Science Bv2014

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

PIROCK: a swiss-knife partitioned implicit-explicit orthogonal Runge-Kutta Chebyshev integrator for stiff diffusion-advection-reaction problems with or without noise

Assyr Abdulle, Gilles Vilmart

A partitioned implicit-explicit orthogonal Runge-Kutta method (PIROCK) is proposed for the time integration of diffusion-advection-reaction problems with possibly severely stiff reaction terms and stiff stochastic terms. The diffusion terms are solved by t ...

Elsevier2013

An Algorithm for Testing the Efficient Market Hypothesis

Ioana Andreea Boboc

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

Modern Portfolio Theory Revisited

David Sébastien Morton de Lachapelle

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Demystifying Rational Financial Decision-Making

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010