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Exploring stabilisation techniques for the reduced basis approximation of avection-diffusion PDEs

Publications associées (37)

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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

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

The Weakest Failure Detectors To Solve Quittable Consensus And Nonblocking Atomic Commit

Rachid Guerraoui

We define quittable consensus, a natural variation of the consensus problem, where processes have the option to agree on "quit" if failures occur, and we relate this problem to the well-known problem of nonblocking atomic commit. We then determine the weak ...

Society for Industrial and Applied Mathematics2012

Final-Focus Optics for the LHeC Electron Beam Line

José Luis Abelleira Fernández, Hector Garcia, Frank Zimmermann

One of the options considered for the ECFA-CERNNuPECC design study for a Large Hadron electron Collider (LHeC) based on the LHC is adding a recirculating energy-recovery linac tangential to the LHC. First designs of the electron Final Focus System have sho ...

2012

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010

Real options valuation of fusion energy R&D programme

Edgard Gnansounou, Denis Bednyagin

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

XuvTools: free, fast and reliable stitching of large 3D datasets

Alessandra Griffa

Current biomedical research increasingly requires imaging large and thick 3D structures at high resolution. Prominent examples are the tracking of fine filaments over long distances in brain slices, or the localization of gene expression or cell migration ...

2009

Influence of regulatory uncertainty on capacity investments – Are investments in new technologies a risk mitigation measure?

Bastian Wolfgang Schwark

Understanding the investment decisions of power companies is vital for a regulator as particularly deficient investments in generation capacity could jeopardize the market in the long run. Considering potential risks that could hamper investments, the pape ...

2009

Increasing user decision accuracy using suggestions

Boi Faltings, Pearl Pu Faltings, Paolo Viappiani

The internet presents people with an increasingly bewildering variety of choices. Online consumers have to rely on computerized search tools to find the most preferred option in a reasonable amount of time. Recommender systems address this problem by searc ...

Association for Computing Machinery, New York, NY 10036-5701, United States2006