Publication

Discount models

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Asset Pricing When 'This Time Is Different'

Pierre Collin Dufresne

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenou ...

Oxford Univ Press Inc2017

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Essays in Financial Economics

Christopher Trevisan

This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...

EPFL2016

Crowding, grouping, and gain control in schizophrenia

Michael Herzog, Maya Roinishvili

isual paradigms are versatile tools to investigate the pathophysiology of schizophrenia. Contextual modulation refers to a class of paradigms where a target is flanked by neighbouring elements, which either deteriorate or facilitate target perception. It i ...

Elsevier2015

INDEX OF ENERGY PRESENT VALUE: Assessment tool for energy savings and distributed energy production

Philippe Bélanger

Areas/Paper type – 08. Integration of renewable energy in the built environment, Methodology Background – Today’s simulation technology in engineering and architecture are very impressive. As a result technology developers have a good idea of the resulting ...

2013

All Euros of Energy Savings are Not Equal: Energy Mix, Expected Future Prices and Prices Volatility Importance

Philippe Bélanger

Energy efficiency is one of the more economically sounds way to sustainability. Real Estate accounts for 30% of energy consumption in most developed countries. It also accounts for more than 30% of GHG emission. In the last several years many research have ...

2013

Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Equilibrium Driven by Discounted Dividend Volatility

Semyon Malamud

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diﬀu- sion. We introduce a new, intrinsic characte ...

2009

Real estate issues

Matthieu Dulguerov

This thesis discusses the difficulties of pricing real estate by using the existing financial economic theory and investigates an alternative approach in order to take into account the 'unique' nature of real estate risk. It consists of three essays placin ...

EPFL2009