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Publications associées (28)

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics

Fernando Porté Agel, Jiannong Fang, Daniel Jacob Tabas

With rising levels of wind power penetration in global electricity production, the relevance of wind power prediction is growing. More accurate forecasts reduce the required total amount of energy reserve capacity needed to ensure grid reliability and the ...

2019

Carbon neutral expansion of oil palm plantations in the Neotropics

Alexandre Buttler, Thomas Guillaume, Juan Carlos Quezada Rivera

Alternatives to ecologically devastating deforestation land use change trajectories are needed to reduce the carbon footprint of oil palm (OP) plantations in the tropics. Although various land use change options have been proposed, so far, there are no emp ...

American Association for the Advancement of Science (AAAS)2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

The Jacobi stochastic volatility model

Damien Edouard Ackerer, Damir Filipovic, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Early-stage decision making approach for the selection of optimally integrated biorefinery processes

François Maréchal, Adriano Viana Ensinas, Shivom Sharma, Ayse Dilan Celebi

Lignocellulosic biorefineries are the best non-petroleum alternatives for a sustainable development. In the biorefinery process design, it is important to implement an algorithm that allows the systematic generation and the evaluation of energy conversion ...

2017

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

The Economics of Sharing Markets

Maryam Razeghian Jahromi

Sharing and redistributing assets between individuals has become a noticeable part of the economy. Ownership is no longer the sole mode of consumption and consumers have the option of choosing between ownership and access-based consumption. This change in ...

EPFL2017

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