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Publications associées (30)

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

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Maxime Jean Julien Peyrard, Robert West, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Adam Robert Swietek

Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

EPFL2024

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Frihet, sikkerhet, forstaden: Brev fra Amerika

Nagy Makhlouf

Why have countries formerly leading public policies of housing – Norway, the U.K., France, etc. – shifted towards privatizing accommodation from the late 1970s? Have these States merely let go of housing and handed it over to private interests in the name ...

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

Monopoly Pricing with Unknown Demand

Thomas Alois Weber

The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

2025

Altruism, reciprocity, and tokens to reward forwarding data: Is that fair?

Verónica del Carmen Estrada Galiñanes, Arman Babaei

Decentralized storage networks offer services with intriguing possibilities to reduce inequalities in an extremely centralized market. Fair distribution of rewards, however, is still a persistent problem in the current generation of decentralized applicati ...

2024

Migration distance from birthplace and its association with relative income and employment share among heterosexual couples in Switzerland

Vincent Kaufmann, Gil Viry, Alexis Gumy, Guillaume Simon Joseph Drevon, Florian Lucien Jacques Masse

Among heterosexual couples, employment of the female partner may suffer from household migration often driven by the job of the male partner. Most research has traditionally focused on the distance moved after couple formation and has neglected how far par ...

2024

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming

Xue Zhang, Tianshu Yang

In this paper, we propose an analytical stochastic dynamic programming (SDP) algorithm to address the optimal management problem of price-maker community energy storage. As a price-maker, energy storage smooths price differences, thus decreasing energy arb ...

China Electric Power Research Inst2024

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

OASIS: An integrated optimisation framework for activity scheduling

Janody Pougala

Activity-based models offer the potential for a far deeper understanding of daily mobility behaviour than trip-based models. Based on the fundamental assumption that travel demand is derived from the need to do activities, they are flexible tools that aim ...

EPFL2024

Entre droit et injonction à la mobilité : discussion d'une 'motilité' "raisonnable" comme ressource pour l'insertion professionnelle

Eloi Antoine Maël Bernier

In many countries, payment of unemployment benefit is conditional on active job-seeking on the part of recipients, who are required to accept any "reasonable" job offers made to them (Dalloz 2008). In France, this notion of "Reasonable Job Offer" (ORE) has ...

EPFL2024

Solid-phase peptide synthesis in 384-well plates

Christian Heinis, Gontran Sangouard, Mischa Schüttel, Sevan Mleh Habeshian, Edward Jeffrey Will, Alexander Lund Nielsen, Anne Sofie Luise Zarda

Newer solid-phase peptide synthesis and release strategies enable the production of short peptides with high purity, allowing direct screening for desired bioactivity without prior chromatographic purification. However, the maximum number of peptides that ...

2024

The impacts of decarbonization pathways on Sustainable Development Goals in the European Union

Marc Vielle, Sigit Pria Perdana

Climate action to achieve the Paris Agreement should respect the United Nations Sustainable Development Goals. Here, we use an integrated assessment modelling framework comprising nine climate policy models and quantify the impacts of decarbonisation pathw ...

2024

Stochastic pairwise preference convergence in Bayesian agents

Max-Olivier Hongler

Beliefs inform the behaviour of forward-thinking agents in complex environments. Recently, sequential Bayesian inference has emerged as a mechanism to study belief formation among agents adapting to dynamical conditions. However, we lack critical theory to ...

2024

Performance and accuracy of cross‐section tracking methods for hydromorphological habitat assessment in wadable rivers with sparse canopy conditions

Giovanni De Cesare, Paolo Perona, Robin Schroff

This article investigates the performance and accuracy of continuous Real-Time Kinematic (RTK) Global Navigation Satellite System (GNSS) position tracking for hydromorphological surveys, based on a comprehensive river restoration monitoring campaign. The a ...

2024

Painting Taylor vortices with cellulose nanocrystals: Suspension flow supercritical spectral dynamics

Marianne Liebi

We study the flow stability and spatiotemporal spectral dynamics of cellulose nanocrystal (CNC) suspensions in a custom Taylor-Couette flow cell using the intrinsic shear induced birefringence and liquid crystalline properties of CNC suspensions for flow v ...

Aip Publishing2024

Fine Arts in Transition: An Operative Research and Teaching Approach between Analogue and Digital

Nicola Braghieri, Filippo Fanciotti

The volume collects the material produced for the exhibition 'The Sky in the Room' and a selection of scientific texts on the question of analogue continuity in digital transition. The contributions will be focused on verifying the operative method in teac ...

EPFL Press2024

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