Replicating portfolio approach to capital calculation

Publications associées (28)

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An equilibrated flux a posteriori error estimator for defeaturing problems

Annalisa Buffa, Rafael Vazquez Hernandez, Denise Grappein, Ondine Gabrielle Chanon

An a posteriori error estimator based on an equilibrated flux reconstruction is proposed for defeaturing problems in the context of finite element discretizations. Defeaturing consists in the simplification of a geometry by removing features that are consi ...

2023

Singular quadratic eigenvalue problems: linearization and weak condition numbers

Daniel Kressner, Ivana Sain Glibic

The numerical solution of singular eigenvalue problems is complicated by the fact that small perturbations of the coefficients may have an arbitrarily bad effect on eigenvalue accuracy. However, it has been known for a long time that such perturbations are ...

SPRINGER2023

Designing self-tracking experiences: A qualitative study of the perceptions of barriers and facilitators to adopting digital health technology for automatic urine analysis at home

Delphine Ribes Lemay, Nicolas Henchoz, Emily Clare Groves, Margherita Motta, Andrea Regula Schneider

Self-tracking technologies open new doors to previously unimaginable scenarios. The diagnosis of diseases years in advance, or supporting the health of astronauts on missions to Mars are just some of many example applications. During the COVID-19 pandemic, ...

2023

Thermo-hydro-mechanical analysis of the complete lifetime of the bentonite barrier in the FEBEX in-situ test

Lyesse Laloui, Alessio Ferrari, Jose Antonio Bosch Llufriu, Yafei Qiao

The FEBEX test was a large-scale demonstration project for the deep geological disposal concept of nuclear waste involving bentonite seals that lasted 18 years. One of the objectives of the test was to evaluate the capabilities of numerical methods to prov ...

2023

Retraction-based numerical methods for continuation, interpolation and time integration on manifolds

Axel Elie Joseph Séguin

The goal of this thesis is the development and the analysis of numerical methods for problems where the unknown is a curve on a smooth manifold. In particular, the thesis is structured around the three following problems: homotopy continuation, curve inter ...

EPFL2023

Optimal Matching of Random Parts

Thomas Alois Weber

This paper examines the minimization of the cost for an expected random production output, given an assembly of finished goods from two random inputs, matched in two categories. We describe the optimal input portfolio, first using the standard normal appro ...

2022

Asset Pricing and Monetary Policy

Nicolas Gauderon

Classical theory asserts that the formation of prices is the result of aggregated decisions of economics agent such as households or corporation. However central banks are very important agents that have often been neglected in asset pricing models. Centra ...

EPFL2022

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Damir Filipovic

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

WILEY2022

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An equilibrated flux a posteriori error estimator for defeaturing problems

Annalisa Buffa, Rafael Vazquez Hernandez, Denise Grappein, Ondine Gabrielle Chanon

2023

Singular quadratic eigenvalue problems: linearization and weak condition numbers

Daniel Kressner, Ivana Sain Glibic

SPRINGER2023

Designing self-tracking experiences: A qualitative study of the perceptions of barriers and facilitators to adopting digital health technology for automatic urine analysis at home

Delphine Ribes Lemay, Nicolas Henchoz, Emily Clare Groves, Margherita Motta, Andrea Regula Schneider

2023