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Unspanned stochastic volatility in the multifactor CIR model

Publications associées (28)

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Minimax-fair machine learning minimizes the error for the worst-off group. However, empirical evidence suggests that when sophisticated models are trained with standard empirical risk minimization (ERM), they often have the same performance on the worst-of ...

2023

In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...

EPFL2023

Discussion of ‘Experimental Evaluation of Algorithm-Assisted Human Decision-Making: Application to Pretrial Public Safety Assessment’, part 2

Mats Julius Stensrud, Aaron Leor Sarvet

Imai et al.(IJGHS) have conducted a timely experiment on evaluating a decision support algorithm. However, we are concerned by their choice of estimands which, even if they appear plausible at first, rely on notions and assumptions for which we cannot ever ...

2023

Thermal Conditions in Indoor Environments: Exploring the Reasoning behind Standard-Based Recommendations

Dolaana Khovalyg

Professionals in the building design and operation fields typically look at standards and guidelines as a reliable source of information and guidance with regard to procedural, contractual, and legal scope and requirements that are relevant to accountabili ...

2023

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Motivated by the goal of designing interventions for softening polarized opinions on the Web, and building on results from psychology, we hypothesized that people would be moved more easily towards opposing opinions when the latter were voiced by a celebri ...

ASSOC COMPUTING MACHINERY2021

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

"Coasean" institutions are an alternative institutional form that provides a solution to some market and coordination failures. As such they can weaken considerably the case for public subsidies in a vast range of context. They are "market-based" and an in ...

SPRINGER2020

A new spin on fidgets

Mackenzie Mathis

We express decisions through movements, but not all movements matter to the outcome. For example, fidgeting is a common yet ‘nonessential’ behavior we exhibit. New evidence suggests that this non-task-related movement profoundly shapes neural activity in e ...

2019

Clothing-Mediated Exposures to Chemicals and Particles

Dusan Licina

A growing body of evidence identifies clothing as an important mediator of human exposure to chemicals and particles, which may have public health significance. This paper reviews and critically assesses the state of knowledge regarding how clothing, durin ...

2019

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019