A5056632139- Stochastic processes and financial applications
- Insurance and Financial Risk Management
- Insurance, Mortality, Demography, Risk Management
- Credit Risk and Financial Regulations
- Banking stability, regulation, efficiency
- Financial Risk and Volatility Modeling
- Financial Markets and Investment Strategies
- Optical Network Technologies
- Risk and Portfolio Optimization
- Vehicle emissions and performance
- Economic theories and models
- Probability and Risk Models
- Advanced Photonic Communication Systems
- Complex Systems and Time Series Analysis
- Capital Investment and Risk Analysis
- Advanced Optical Network Technologies
- Corporate Finance and Governance
- Advanced Combustion Engine Technologies
- Decision-Making and Behavioral Economics
- Market Dynamics and Volatility
- Lubricants and Their Additives
- Monetary Policy and Economic Impact
- Economic and Environmental Valuation
- Financial Reporting and Valuation Research
- Advanced Fiber Optic Sensors
École de management de Lyon
2015-2024
Nokia (France)
2021-2023
Alcatel Lucent (Germany)
2002-2016
For many derivatives, the payoff at expiration depends on a function of one or more random variables. Even though each may follow an easily-handled distribution such as lognormal, applying function, which be simple just taking average, leads to intractable distribution. Sometimes, problem can solved with transform techniques, like Fourier Laplace transforms, because change into form that manipulated easily. Applying inverse gives answer in terms probabilities. But this is where difficulty...
An optimised subsea system design for energy-efficient SDM operation is demonstrated using machine learning. The removal of gain-flattening filters employed in submarine optical amplifiers can result capacity gains at no additional overall repeater cost.
This paper examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors endowed with an option surrender. The goal is study how this impacts risk issuing company value contracts it issues. Surrender has been extensively studied arbitrated markets, using trees least‐squares Monte Carlo methods for valuations, although practitioners often rely on econometric...
AbstractWe develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by Poisson process whose modeled Lévy process. This presents several interesting features. First, as processes encompass numerous jump processes, our can duplicate sudden jumps observed in spreads. Also, due to presence jumps, probabilities do not vanish at very short maturities, contrary models based on Brownian dynamics. Furthermore, parameters are modulated hidden...
The calculation of Net Asset Values and Solvency Capital Requirements in a 2 context - the derivation sensitivity analyses with respect to main financial actuarial risk drivers is complex procedure at level real company, where it illusory be able rely on closed-form formulas. most general approach performing these computations that nested simulations. However, this method also not realistic because its huge computation resources demand. least-squares Monte Carlo has recently been suggested...
We develop a simple and accurate measurement-based model to predict the gain of wideband erbium-doped fiber amplifiers with root mean square error 0.05 dB, lower than state-of-the-art models based on machine learning techniques.
We compare the performance of 40G and 100G coherent PDM-QPSK solutions for upgrade existing 10G-based optical networks. This comparison is performed on Alcatel- Lucent 1626LM commercial system.
Historically, undersea systems capacity increases were primarily based on maximizing the total throughput per fiber. Whilst previously designed to operate at optimum launch power of fiber, subsea are now for higher optical efficiency. Next generation spatial division multiplexed (SDM) cables require operation lower signal enabling repeater pump farming and providing reliability To adapt these constraints, benefits adaptive transponders application machine learning submarine line design investigated.
Cet article présente le calcul de la Value-at-Risk et d’autres indicateurs risque lorsque des processus Lévy sont employés pour modéliser les dynamiques rentabilités d’actifs. Nous proposons tout d’abord une nouvelle présentation Variance Gamma avec dérive : nous reconstruisons manière originale en partant distribution exponentielle. obtenons ensuite formules générales par transformée Fourier qui permettent calculer VaR rapidement efficacement, ainsi que typiques comme Tail Conditional...
Abstract This article designs and prices a new type of participating life insurance contract. Participating contracts are popular in the United States European countries. They present many different covenants depend on national regulations. In we design contract very similar to one considered other studies, but with guaranteed rate matching return government bond. We prove that this can be valued closed form when interest rates stochastic company default.
In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical policies sold in Europe, Japan or North America. The payoff a participating policy is linked to portfolio and surplus company. We examine impact choice assets' investment strategy on value, its solvency how well may meet commitments associated with liabilities. Our goal exhibit matching as much possible assets liabilities at their market value...
While a lot of research concentrates on the respective merits VaR and TCE, which are two most classic risk indicators used by financial institutions, little has been written equivalence between such indicators. Further, despite its merits, may not be accurate indicator to take into account nature probability distribution tails. In this paper, we introduce new that extends TCE higher-order risks. We compare quantiles in simple Pareto framework, then generalized framework. also examine results...
On-line measurement of oil dilution is particular interest in light new environmental regulations imposed on today's high-performance engines. In particular, after-treatment devices such as diesel particle filters (DPF) need to be periodically re-generated order eliminate their soot content. Such re-generation process usually performed by using post-injection cycles that can induce a transfer fuel the lubricant, resulting dilution. Anew method was recently developed DSi sprl and Total France...
We extend our measurement-based model to accurately predict the gain of an EDFA for arbitrary input spectrum case pump currents with low root-mean square error and no extra training data then, we analyze its accuracy against numerical simulations experiments.