Publications associées à Asian option

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

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

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

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

Dataset for the article "Frequency regulation with storage: On losses and profits"

Daniel Kuhn, François Richard Vuille, Dirk Lauinger

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

Zenodo2023

Critical Review on Bromate Formation during Ozonation and Control Options for Its Minimization

Urs von Gunten

Ozone is a commonly applied disinfectant and oxidantin drinkingwater and has more recently been implemented for enhanced municipalwastewater treatment for potable reuse and ecosystem protection. Onedrawback is the potential formation of bromate, a possible ...

AMER CHEMICAL SOC2023

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

Oxidation of organic micropollutant surrogate functional groups with peracetic acid activated by aqueous Co(II), Cu(II), or Ag(I) and geopolymer-supported Co(II)

Urs von Gunten

Peracetic acid (PAA) in combination with transition metals has recently gained increasing attention for organic micropollutant abatement. In this study, aqueous Co(II), Cu(II), and Ag(I) were compared for their capacity to activate PAA. Co(II) outperformed ...

PERGAMON-ELSEVIER SCIENCE LTD2022

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

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

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

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

Polynomial Jump-Diffusion Models

Damir Filipovic, Martin Larsson

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...

2020

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

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

2020

Using agricultural residues for sustainable transportation biofuels in 2050: Case of West Africa

Edgard Gnansounou, Elia Mercedes Ruiz Pachon

This article focuses on the use of biomass to produce transportation fuels such as synthetic natural gas, bioethanol and electricity under a sustainable scenario in West Africa in 2050. The aim of this work was to evaluate the feasibility of producing such ...

Elsevier2020