Publications related to Discounted cash flow

Discount models

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

Quantification of the Phenomena Affecting Reflective Arterial Photoplethysmography

Nikolaos Stergiopoulos, Georgios Rovas, Vasiliki Bikia

Photoplethysmography (PPG) is a widely emerging method to assess vascular health in humans. The origins of the signal of reflective PPG on peripheral arteries have not been thoroughly investigated. We aimed to identify and quantify the optical and biomecha ...

MDPI2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

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

Shannon Bounds on Lossy Gray-Wyner Networks

Michael Christoph Gastpar, Erixhen Sula

The Gray-Wyner network subject to a fidelity criterion is studied. Upper and lower bounds for the trade-offs between the private sum-rate and the common rate are obtained for arbitrary sources subject to mean-squared error distortion. The bounds meet exact ...

2022

Technical and economic feasibility study of high-current HTS bus bars for fusion reactors

Kamil Sedlák, Rainer Wesche, Roberto Guarino

In this study, we present a technical and economic assessment of high-current HTS bus bars for primary use in fusion reactors. Our objective is to verify the technical feasibility of such conductors and, for this purpose, we carry out a conceptual design o ...

Elsevier2022

A (2+epsilon)-Approximation Algorithm for Preemptive Weighted Flow Time on a Single Machine

Lars Rohwedder

Weighted flow time is a fundamental and very well-studied objective function in scheduling. In this paper, we study the setting of a single machine with preemptions. ...

ASSOC COMPUTING MACHINERY2021

A conveyor belt experimental setup to study the internal dynamics of granular avalanches

Christophe Ancey, Tomás Alfredo Trewhela Palacios

This paper shows how a conveyor belt setup can be used to study the dynamics of stationary granular flows. To visualise the flow within the granular bulk and, in particular, determine its composition and the velocity field, we used the refractive index mat ...

SPRINGER2021

Planning Supply with 'Opportunity Goods' : Complementing Premium Parts with Select Discount Components

Thomas Alois Weber

In this paper, we introduce the notion of an "opportunity good" as a discount production input that may prove of satisfactory quality upon inspection and otherwise can be returned to the supplier. While in a quality-sensitive setting it is never optimal to ...

2020

The triangular value of patents

Albina Khairullina

This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...

EPFL2020

Trajectory Data Analysis on the Spatial and Temporal Influence of Pedestrian Flow on Path Planning Decision

Michel Bierlaire, Jeongyun Kim

The modeling of walking behavior and design of walk-friendly urban pathways have been of interest to many researchers over the past decades. One of the major issues in pedestrian modeling is path planning decision-making in a dynamic walking environment wi ...

2020

Dynamic Credit-Collections Optimization

Thomas Alois Weber

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solu ...

2019

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

Environmental Flows Determination and Monitoring with Hydraulic Habitat Models-Pushing the Boundaries of Habitat Models Application

Mikolaj Stanislaw Adamczyk, Piotr Parasiewicz

Hydraulic habitat simulation models were designed for the quantitative determination of environmental flows that consider the needs of aquatic fauna in rivers and streams. In the past 50 years, the modeling techniques were significantly developed, but expe ...

2019

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Model-assisted identification of solid oxide cell elementary processes by electrochemical impedance spectroscopy measurements

Jan Van Herle, Stefan Diethelm, Arata Nakajo, Priscilla Caliandro

Electrochemical Impedance Spectroscopy (EIS) is extensively used to characterize Solid Oxide Cells (SOCs) to extract information on the elementary loss mechanisms. However, these individual mechanisms usually overlap in the frequency domain, requiring dedi ...

2019

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