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Stripping the Swiss discount curve using kernel ridge regression

Publications associées (32)

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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

Market price of risk specifications for affine models: Theory and evidence

Damir Filipovic

We extend the standard specification of the market price of risk for affine yield models, and apply it to U.S. Treasury data. Our specification often provides better fit, sometimes with very high statistical significance. The improved fit comes from the ti ...

Elsevier2007

Capital structure, credit risk, and macroeconomic conditions

Erwan Morellec

This paper develops a framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to ...

2006

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

Assessment and valuation of high growth companies

Patrik Frei

Valuation is a key topic in the financing and development of high growth companies. The goal of this study is to bridge the existing gap between the assessment of a company and the financial valuation. Many models exist to capture soft factors, and many mo ...

EPFL2005

Investment decisions with flexibility under uncertainty in the competitive electricity supply industry

Jun Dong

The restructuring of the electricity supply industry (ESI) has introduced new actors and market mechanisms. Electricity prices are more market oriented and fluctuate greatly. These changes bring about more uncertainties and risks to the market participants ...

EPFL2004

A General Formula for Valuing Defaultable Securities

Pierre Collin Dufresne

Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...

2004

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin Dufresne

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relati ...

Wiley-Blackwell2001

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

Damir Filipovic

Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover. ...

Springer2001

Exponential-Polynomial Families and the Term Structure of Interest Rates

Damir Filipovic

Exponential-polynomial families like the Nelson-Siegel or Svensson family are widely used to estimate the current forward rate curve. We investigate whether these methods go well with inter-temporal modelling. We characterize the consistent Ito processes w ...

Bernoulli Society for Mathematical Statistics and Probability2000