Publications associées à Courbe des taux

Takeover Protections and Asset Prices

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

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

Dominant currency debt

Semyon Malamud

We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...

2022

Sparsely Observed Functional Time Series: Theory and Applications

Tomas Rubin

Functional time series is a temporally ordered sequence of not necessarily independent random curves. While the statistical analysis of such data has been traditionally carried out under the assumption of completely observed functional data, it may well ha ...

EPFL2021

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2021

Activity-Based Screening of Homogeneous Catalysts through the Rapid Assessment of Theoretically Derived Turnover Frequencies

Matthew Wodrich, Anne-Clémence Corminboeuf, Boodsarin Sawatlon

In homogeneous catalysis, the turnover frequency (TOF) and turnover number (TON) are the most commonly used quantities that experimentally describe catalytic activity. Computational studies, on the other hand, generally yield the ubiquitous free energy pro ...

AMER CHEMICAL SOC2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

Exact Smooth Term Structure Estimation

Damir Filipovic, Sander Félix M Willems

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is eas ...

2018

Exact Smooth Term-Structure Estimation

Damir Filipovic, Sander Félix M Willems

We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...

SIAM PUBLICATIONS2018

Techno-Economic and Environmental Optimization of Palm-based Biorefineries in the Brazilian Context, 27th European Symposium on Computer Aided Process Engineering

François Maréchal, Maziar Kermani, Adriano Viana Ensinas, Ivan Daniel Kantor, Anna Sophia Wallerand, Ayse Dilan Celebi

Due to the global increase in energy consumption, greenhouse gas emissions, and the depletion of fossil energy resources, the research presented here is focused on finding economically and environmentally competitive renewable energy resources. Fuel produc ...

Elsevier Science2017

Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Chiral Phosphoric Acid Catalyzed Asymmetric Ugi Reaction by Dynamic Kinetic Resolution of the Primary Multicomponent Adduct

Jieping Zhu

Reaction of isonitriles with 3-(arylamino)isobenzofuran-1(3H)-ones in the presence of a catalytic amount of an octahydro (R)-binol-derived chiral phosphoric acid afforded 3-oxo-2-arylisoindoline-1-carboxamides in high yields with good to high enantioselect ...

Wiley-Blackwell2016

The effects of business cycle and debt maturity on a firm's investment and default decisions

Michi Nishihara

We propose a model that jointly determines the capital structure and investment decisions taking business cycle and debt maturity into account. It endogenously determines the triggers of investment/disinvestment and default, which depend on the state of th ...

Elsevier Science Bv2015

Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015

Description of the capacity degradation mechanism in LaNi5-based alloy electrodes

Andreas Züttel, Philippe Mauron, Mariana Spodaryk, Marco Roman Holzer

The mechanism of the capacity degradation of LaNi5-based alloy electrodes was investigated with a special focus on the influence of the alloy and surface composition, as well as the unique structure obtained by gas atomisation. The electrochemical properti ...

Elsevier Science Sa2015

Variability-Aware Design Space Exploration of Embedded Memories

Andreas Peter Burg, Georgios Karakonstantis, Shrikanth Ganapathy

With scaling of process technologies and worsening of process variations, embedded memories are susceptible to a large number of failure mechanisms making it hard to achieve high yield. In this paper, by bringing together architecture and circuit-level exp ...

2014

Nucleation of Silicon Nanoparticles in Amorphous Silicon Dioxide Matrices

Simone Meloni

In this contribution I summarize our research on the formation of nanoparticles embedded in a-SiO2-x matrices. In particular, I focus on the Si diffusion in SiO2-x matrices, and amorphous-to-crystalline phase transition in Si nanoparticles embedded in SiO2 ...

Amer Inst Physics2014