Publications related to Quantitative analysis (finance)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Elsevier Science Sa2024

Discount models

Damir Filipovic

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Springer Heidelberg2023

Quantitative Methods for Omnichannel Decision-Making

Andrey Vasilyev

Omnichannel retail has emerged as the new standard in today's commerce landscape, with retailers integrating their physical and online channels to enhance the customer shopping experience. However, such integration presents significant challenges for retai ...

EPFL2023

Simulating supercontinua from mixed and cascaded nonlinearities

Luis Guillermo Villanueva Torrijo, Victor Brasch, Furkan Ayhan, Tobias Herr, Thibault Voumard

Nonlinear optical frequency conversion is of fundamental importance in photonics and underpins countless of its applications: Sum- and difference-frequency generation in media with quadratic nonlinearity permits reaching otherwise inaccessible wavelength r ...

AIP Publishing2023

Microfluidic devices for automated analysis of ingested bacteria in the Caenorhabditis elegans intestine

Farzad Rezaeianaran

In this thesis, we explored on-chip high-resolution imaging of the fate of intestinal bacteria and bacterial products in Caenorhabditis elegans (C. elegans). In the first part, we carried out high-resolution z-stack fluorescent imaging of Red Fluorescent P ...

EPFL2023

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

Monetary Independence And Rollover Crises

Jorge Mondragon Minero

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Few-femtosecond resolved imaging of laser-driven nanoplasma expansion

Matthias Bucher, Christoph Bostedt

The free expansion of a planar plasma surface is a fundamental non-equilibrium process relevant for various fields but as-yet experimentally still difficult to capture. The significance of the associated spatiotemporal plasma motion ranges from astrophysic ...

IOP Publishing Ltd2022

Quantitative modeling of human metabolism: A call for a community effort

Vassily Hatzimanikatis, Maria Masid Barcon

Metabolism is the process by which cells and organisms obtain nutrients and energy to perform their functions. In the last years, many human diseases, including cancer, diabetes, and cardiac diseases, have been associated with altered metabolism. Understan ...

2021

Dynamical properties of a driven dissipative dimerized S=1/2 chain

Bruce Normand

We consider the dynamical properties of a gapped quantum spin system coupled to the electric field of a laser, which drives the resonant excitation of specific phonon modes that modulate the magnetic interactions. We deduce the quantum master equations gov ...

2021

Conveying the Perception of Humor Arising from Ambiguous Grammatical Constructs in Human-Chatbot Interaction

Denis Gillet, Juan Carlos Farah, Sandy Ingram, Vandit Sharma

Chatbots have long been advocated for computer-assisted language learning systems to support learners with conversational practice. A particular challenge in such systems is explaining mistakes stemming from ambiguous grammatical constructs. Misplaced modi ...

2021

State selective cooling of SU(N) Fermi gases

Frédéric Mila, Miklos Lajko

We investigate a species selective cooling process of a trapped SU(N) Fermi gas using entropy redistribution during adiabatic loading of an optical lattice. Using high-temperature expansion of the Hubbard model, we show that when a subset N-A < N of the si ...

2021

Online Dating Quantification Practices: A Human-Machine Learning Process

Jessica Carolina Pidoux

The phenomenon of online dating via web and mobile phone applications involves several actors: graphical interfaces, developers, algorithmic systems for user matching, and users. These actors have been studied in parallel by the social sciences and by comp ...

EPFL2021

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

Characterization of flat-fielding systems for quantitative microscopy

Suliana Manley, Dora Mahecic, Khalid Ashraf Mohie Ibrahim

Optical flat-fielding systems, such as field-mapping or integration-based beam shapers, are used to transform nonuniform illumination into uniform illumination. Thus, flat-fielding paves the way for imaging that is independent of position within a field of ...

2020

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

A New Lighting on Analytical Discrete Sensitivities in the Context of IsoGeometric Shape Optimization

Thibaut Hirschler

Isogeometric shape optimization has been now studied for over a decade. This contribution aims at compiling the key ingredients within this promising framework, with a particular attention to sensitivity analysis. Based on all the researches related to iso ...

2021

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches

Sebastian Maier

The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

2021

Melting of a skyrmion lattice to a skyrmion liquid via a hexatic phase

Henrik Moodysson Rønnow, Arnaud Magrez, Marco Cantoni, Fabrizio Carbone, Ping Huang, Thomas Schönenberger

While in 3D materials melting is a single, first-order phase transition, in 2D systems, it can also proceed via an intermediate phase. For a skyrmion lattice in Cu2OSeO3, magnetic field variations can tune this quasiparticle 2D solid into a skyrmion liquid ...

Nature Publishing Group2020