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The Stochastic Time-Constrained Net Present Value Problem

Publications associées (53)

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Stripping the Swiss discount curve using kernel ridge regression

Damir Filipovic

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...

Springer Heidelberg2024

LSMS Student Projects: Data Driven Constitutive Laws Using Neural Networks

Report and presentation for my bachelor's project ...

2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

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Sustainable water management is a principal matter to ensure safety of waterways (Berga, 2016). In this framework, the correction of the Martigny bend is a priority measure of the 3rd Rhone River correction in Switzerland, which aims at increasing the floo ...

2022

We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing a ...

2022

The RECIPE approach to challenges in deeply heterogeneous high performance systems

David Atienza Alonso, Marina Zapater Sancho

RECIPE (REliable power and time-ConstraInts-aware Predictive management of heterogeneous Exascale systems) is a recently started project funded within the H2020 FETHPC programme, which is expressly targeted at exploring new High-Performance Computing (HPC) ...

ELSEVIER2020

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The design process followed by mechanical engineers is undergoing significant changes with the development of rapid prototyping techniques [1] and of artificial intelligence (A.I.) supported tools [2]. The job market is highly affected by these changes. Ho ...

2019

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The Horizon 2020 MANGO project aims at exploring deeply heterogeneous accelerators for use in High Performance Computing systems running multiple applications with different Quality of Service (QoS) levels. The main goal of the project is to exploit custom ...

ELSEVIER SCIENCE BV2018

Replicating portfolio approach to capital calculation

Damir Filipovic, Mathieu Jacques David Cambou

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

2018

Information Technology Governance in Public Organizations

This book examines trends and challenges in research on IT governance in public organizations, reporting innovative research and new insights in the theories, models and practices within the area. As we noticed, IT governance plays an important role in gen ...

Springer International Publishing2017