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A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Kathrin Beatrice Glau

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

WILEY2019

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

The Advent of the Sharing Culture and its Effect on Product Pricing

Thomas Alois Weber, Maryam Razeghian Jahromi

Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...

2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Exploring manycore architectures for next-generation HPC systems through the MANGO approach

David Atienza Alonso, Marina Zapater Sancho, Arman Iranfar, Simone Libutti

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

Remote sensing of the nearshore zone using a rotary-wing UAV

Kilian Vos

The objective of this project is to develop a low-cost and flexible solution for mapping the nearshore bathymetry using a small quadcopter that hovers above the surf zone. ...

2017

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

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016