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)
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)
ACKNOWLEDGEMENTS Acknowledgements First let me address very special thanks to Katerina Sukovska, for her exceptional job correcting the English version of this thesis. Let me thank Alain Galli for having initiated this research, and Christian Lajaunie for taking over his post. I strongly thank Bertrand Iooss for his support and help all along the thesis. He(More)
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