Sander Willems
Ph.D. Candidate in Mathematical Finance

Swiss Finance Institute at EPFL
College of Management of Technology
École Polytechnique Fédérale de Lausanne
Quartier UNIL-Dorigny, Bâtiment Extranef 220
CH-1015 Lausanne

Tel.: (+41) 21 693 19 75
Email: sander.willems@epfl.ch

Curriculum Vitae





Research Interests: Mathematical finance, derivative pricing, term structure models, affine and polynomial processes, hybrid derivatives


Working Papers:

"A Term Structure Model for Dividends and Interest Rates" (with Damir Filipović) [MAJOR REVISION 14/03/2019]
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. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend futures options, and Euro Stoxx 50 index options.


Publications:

Quantitative Finance, forthcoming
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any special functions are involved. We provide sufficient conditions to guarantee convergence of the series. The moment indeterminacy of the log-normal distribution introduces an asymptotic bias in the series, however we show numerically that the bias can safely be ignored in practice.


"Exact Smooth Term Structure Estimation" (with Damir Filipović) (SSRN) (errata)
SIAM Journal on Financial Mathematics, 9, 907-929, 2018
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 easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.


Conference and seminar talks:
  • New York University, Quantitative Finance Weekly Seminar, New York City, 01-Nov-18
  • Princeton University, Brownbag Seminar, Princeton, 24-Oct-18
  • Cornell University, Young Researchers Workshop on Data-Driven Decision Making, Ithaca, 13-Oct-18
  • 10th Bachelier World Congress, Contributed Talk, Dublin, 16-Jul-18
  • 9th International Workshop on Applied Probability, Contributed Talk, Budapest, 21-Jun-18
  • Swiss Finance Institute Research Days, Contributed Talk, Gerzensee, 05-Jun-18
  • McMaster University, Brownbag Seminar, Hamilton, 24-Apr-18
  • Actuarial and Financial Mathematics Conference 2018, Contributed Talk, Brussels, 09-Feb-18
  • 2nd International Conference on Computational Finance, Contributed Talk, Lisbon, 07-Sep-17
  • 8th General AMaMeF Conference, Contributed Talk, Amsterdam, 22-Jun-17
  • School and Workshop on Dynamic Models in Finance, Invited Talk, Lausanne, 22-May-17
  • Vienna Congress on Mathematical Finance, Contributed Talk, Vienna, 14-Sep-16