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Energy Business and Finance Policy - Parallels in Methodology and Duties

Publications associées (75)

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The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Thermo-economic analysis and multi-objective optimisation of lignocellulosic biomass conversion to Fischer-Tropsch fuels

François Maréchal, Guillaume Boissonnet, Emanuela Peduzzi

This paper addresses the techno-economic evaluation and optimisation of processes converting lignocellulosic biomass into liquid fuels, through the development of a suitable framework and the modelling and design of Biomass to Liquids (BTL) processes. In p ...

2018

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

The Economics of Sharing Markets

Maryam Razeghian Jahromi

Sharing and redistributing assets between individuals has become a noticeable part of the economy. Ownership is no longer the sole mode of consumption and consumers have the option of choosing between ownership and access-based consumption. This change in ...

EPFL2017

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

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Damir Filipovic, Léo Hamed Amini

We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...

Informs2016

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

Protecting Options in Global Markets: Evidence on the Use of Strategic Disclosure

Christopher Tucci, Jana Thiel, Tilo Peters

We examine the impact of globally diverse market operations on a firm’s choice to openly disclose some of its technology. We suggest that this strategic disclosure offers solutions to specific needs in the commercialization strategy of globally operating f ...

2015

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014