Alain Galli

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We have developed a new family of Archimedean copula processes for modeling the dynamic dependence between default times in a large portfolio of names and for pricing synthetic CDO tranches. After presenting their general properties, we show that there is a class of processes where default is not predictable. Then we study a new Clayton copula process in(More)
Further, we shall provide a mean to estimate the model parameters via the maximization of the likelihood function. 1.1.1 Background and Notations In this section we describe both the traditional Kalman Filter used for linear systems and its extension to nonlinear systems known as the Extended Kalman Filter (EKF). The latter is based upon a first order(More)
Preface FACTS or "flexible AC transmission systems" is a term that has been suggested for the use of solid state devices to control bulk power flow in transmission systems. The Electric Power Research Institute supported this idea, and many researchers have invested efforts on the value and potential of FACTS. At this time, it appears that the main value of(More)
Most papers that study the recharging of electric vehicles focus on charging the batteries at home and at the workplace. The alternative is for owners to exchange the battery at a specially equipped battery switch station (BSS). This paper studies strategies for the BSS to buy and sell the electricity through the day-ahead market. We determine what the(More)
Over the last decade emphasis has being put on the need for public bodies to undertake the characterisation of the " vitality " of the territories under their jurisdiction with emphasis or rural areas. Even so, " how " to identify, analyse and assess the characteristics and the values of our daily life places still is the emerging issue. An experimental(More)