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Demand-based Asset Pricing: Theory, Estimation and Applications

Publications associées (34)

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Noncommutative Valuation of Options

The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle, can be extended to the noncommutative world. We believe that this could be of interest in quantum pro ...

2016

Asset pricing with arbitrage activity

Julien Hugonnier

We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a ...

Elsevier2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

An integrated airline scheduling, fleeting and pricing model for a monopolized market

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore, schedule and capacity decisions are taken separately from pricing decisions. In this article, we present an integrated scheduling, fl ...

Wiley-Blackwell2014

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Integration of explicit supply-demand interactions in airline schedule planning and fleet assignment

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline scheduling problems, integrated decision methodologies have aroused intense interest in the last decade. These integrated approaches allow for more efficient solutions due to the simultaneous decision making process. The studied integrated model ...

2013

Integrated supply-demand models for the optimization of flexible transportation systems

Bilge Atasoy

This thesis investigates methodologies for improving the demand responsiveness of transportation systems through flexibility. The methodologies propose advances both in demand and supply models having a focus on supply-demand interactions. The demand side ...

EPFL2013

Price Theory in Economics

Thomas Alois Weber

This article describes how prices are treated in economic theory. Section 17.2 begins by introducing the concepts of ‘rational preference’ and ‘utility function’, which are standard building blocks of models that attempt to explain choice behaviour. Sectio ...

Oxford University Press2012

An integrated airline scheduling, fleeting and pricing model for a monopolized market

Michel Bierlaire, Matteo Salani, Bilge Atasoy

In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore schedule and capacity decisions are taken separately from pricing decisions. In this paper we present an integrated scheduling, fleeti ...

2012