Publications related to Cash flow forecasting

Closed form approximation methods for portfolio valuation and risk management

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 ...

EPFL2023

Short-term runoff forecasting in an alpine catchment with a long short-term memory neural network

Devis Tuia, Marc Conrad Russwurm, Corinna Barbara Frank

The governing hydrological processes are expected to shift under climate change in the alpine regions of Switzerland. This raises the need for more adaptive and accurate methods to estimate river flow. In high-altitude catchments influenced by snow and gla ...

2023

Online appendix to: Debt dynamics with fixed issuance costs

Julien Hugonnier

We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing a ...

2022

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Replicating portfolio approach to capital calculation

Mathieu Jacques David Cambou, Damir Filipovic

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

2018

Essays in Corporate Finance

Thomas Antonius Geelen

In this thesis I study how firms choose their optimal debt maturity. The recent financial crisis illustrated why debt maturity is an important determinant of firmsâ capital structure and it also renewed economistsâ interest in this topic, see for examp ...

EPFL2018

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

Dynamic Product Portfolio Management with Life Cycle Considerations

Ralf Seifert, Jean-Sébastien Tancrez, Isik Bicer

We consider a portfolio of products in which each product probabilistically transitions through various life cycle stages. The evolution through these life cycle stages is impacted by both marketing support and product launch decisions, which are bound by ...

2016

Ecomorphodynamic approaches to river anabranching patterns

Paolo Perona, Benoît Crouzy

We investigate the influence of vegetation on river morphological instabilities using an analytical framework. We first discuss the important role of the hydrological (flooding frequency) and biological (vegetation development rate) timescales. As long as ...

Elsevier2016

Air concentration distribution in deflector-jets

Michael Pfister, Sebastian Schwindt

As an alternative to ski jumps, deflectors can be implemented on spillways to generate free jets. They guide, up to a certain limit, the jet to an achieved location onto the plunge pool surface, and furthermore enhance the process of jet disintegration. Th ...

The University of Queensland2014

Coupling satellite rainfall estimates and machine learning techniques for flow forecast: application to a large catchment in Southern Africa

Anton Schleiss, Théodora Cohen Liechti, José Pedro Gamito de Saldanha Calado Matos

Accurate river flow forecasting is an important asset for stream and reservoir management, being often translated into substantial social, economic and ecological gains. This contribution aims at coupling satellite rainfall estimates and machine learning t ...

TPU2013

Financial Supply Chain Management: Working Capital Requirements with Short-term Debt

Ralf Seifert, Margarita Protopappa, Cristopher Ariel Zeballos Avila

In this paper, we build on a single product, finite horizon, periodic review inventory management setting and include key financial aspects such as working capital constraints, payment delays and multiple sources of financing. We numerically solve for the ...

2013

Jets opposing turbidity currents and open channel flows

Anton Schleiss, Christoph Oehy

Hydraulic jumps at the tail end of spillways are usually induced by baffle blocks or other obstacles. Such jumps can also be induced by jets that oppose the main flow. Another application is to back up turbidity currents in reservoirs by means of opposing ...

Asce-Amer Soc Civil Engineers2013

Interrelating operational and financial performance measurements in inventory theory

Margarita Protopappa

Financial flows are often treated in a fragmented and disconnected way from the physical product flow. Managers take decisions from an operational point of view concerning inventory, service level or capacity needs. The implementation of such decisions inf ...

EPFL2009

Real estate issues : portfolio diversification, pricing and time-on-market

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

Large-scale PIV surface flow measurements in shallow basins with different geometries

Anton Schleiss, Sameh Ahmad Kantoush

Shallow depth flow fields and low velocity magnitudes are often challenges for traditional velocity measuring instruments. As such, new techniques have been developed that provide more reliable velocity measurements under these circumstances. In the presen ...

2009

Corporate control and real investment in incomplete markets

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007

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

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