Publications related to Option style

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

2024

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

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

Adapting Haptic Feedback for Guided Meditation

Cédric Duchene, Nicolas Henchoz, Emily Clare Groves, Romain Simon Collaud, Andreas Sonderegger, Yoann Pierre Douillet

Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

A new chapter of healthy indoor air: antiviral air treatments

Shannon Christa David

Aerosol transmission remains a major challenge for the control of respiratory viruses. To date, prevention strategies include masks, vaccinations, physical distancing, travel restrictions, and lockdowns. Such measures are effective but come with heavy soci ...

Wiley2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022

Dynamic Personalized Ranking

Jérémie Rappaz

Personalized ranking methods are at the core of many systems that learn to produce recommendations from user feedbacks. Their primary objective is to identify relevant items from very large vocabularies and to assist users in discovering new content. These ...

EPFL2022

Multi-physics modeling of VVERs with high fidelity high-resolution codes

Marianna Papadionysiou

The calculations performed for the design and operation of a Nuclear Power Plant (NPP) are a key factor for their safety analyses. The standard for the computational analysis of NPPs is the so called conventional approach, which relies on coarse mesh diffu ...

EPFL2022

Dissecting the role of biliary epithelial cells during non-alcoholic fatty liver disease progression

Ece Yildiz

The liver is the largest solid organ and the only one capable of using regenerative mechanisms to recover its mass fully. Although liver regeneration from acute injuries has been effective and extensively studied, chronic liver damage has adverse effects o ...

EPFL2022

Comparison of Remote Subjective Assessment Strategies in the Context of the JPEG Pleno Point Cloud Activity

Evangelos Alexiou

In this work we compare two different options to perform on-line subjective quality assessment experiments in the context of the Call for Evidence on JPEG Pleno Point Cloud Coding. A deep-learning based point cloud codec submitted to the Call was tested ag ...

IEEE2021

Assessing the energy potential of modernizing the European hydropower fleet

Anton Schleiss, Elena Vagnoni

About 50% of all hydropower plants (HPPs) worldwide were originally commissioned more than 40 years ago, so that the advanced age of the fleet is a major concern across all continents, and especially in Europe. The modernization of HPPs can generate severa ...

Elsevier2021

Numerical Weather Prediction and Artificial Neural Network Coupling for Wind Energy Forecast

Fernando Porté Agel, Jiannong Fang, Lorenzo Donadio

In the past two decades, wind energy has been under fast development worldwide. The dramatic increase of wind power penetration in electricity production has posed a big challenge to grid integration due to the high uncertainty of wind power. Accurate real ...

2021

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2021

Nonlinear Pricing of Shareable Products

Thomas Alois Weber

We consider a durable-goods monopolist who is able to control the collaborative consumption of its goods on an aftermarket by a sharing tariff. Consumers are heterogeneous with respect to their respective need propensities in each period. We show that the ...

2020

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

2020

Markov cubature rules for polynomial processes

Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

ELSEVIER2020