Content
2015
- 15-57 Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?
by Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE - 15-56 Statistical Testing of DeMark Technical Indicators on Commodity Futures
by Marco LISSANDRIN & Donnacha DALY & Didier SORNETTE - 15-55 Informed Trading and Option Prices: Evidence from Activist Trading
by Pierre Collin-Dufresne & Vyacheslav Fos & Dmitriy Muravyev - 15-54 A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
by Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas - 15-53 A General Closed Form Option Pricing Formula
by Ciprian Necula & Gabriel G. Drimus & Walter Farkas - 15-52 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe - 15-51 Liquidity Management in Banking: What is the Role of Leverage?
by Quynh Anh VO - 15-50 Conditioning the Information in Portfolio Optimization
by Carlo Sala & Giovanni Barone-Adesi - 15-49 Leverage and Risk Taking
by Santiago Moreno-Bromberg & Guillaume Roger - 15-48 Has the Pricing of Stocks Become More Global?
by Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner - 15-47 Average Skewness Matters!
by Eric JONDEAU & Qunzi ZHANG - 15-46 The Impact of Treasury Supply on Financial Sector Lending and Stability
by Arvind KRISHNAMURTHY & Annette VISSING-JORGENSEN - 15-45 VaR and CVaR Implied in Option Prices
by Giovanni BARONE-ADESI - 15-44 Optimal Rebalancing Frequencies for Multidimensional Portfolios
by Johannes Muhle-Karbe & Ibrahim Ekren & Ren Liu - 15-43 Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities
by Qun ZHANG & Qunzhi ZHANG & Didier SORNETTE - 15-42 What Affects Children's Outcomes: House Characteristics or Homeownership?
by Steven C. BOURASSA & Donald R. HAURIN & Martin HOESLI - 15-41 Liquidity, Innovation, And Endogenous Growth
by Semyon MALAMUD & Francesca ZUCCHI - 15-40 Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment
by Philipp KRÜGER - 15-39 Technological Progress and Ownership Structure
by Heng GENG & Harald HAU & Sandy LAI - 15-38 A Result on Integral Functionals with Infinitely Many Constraints
by Tahir CHOULLI & Martin SCHWEIZER - 15-37 A Dynamic Equilibrium Model of ETFs
by Semyon MALAMUD - 15-36 The Price of the Smile and Variance Risk Premia
by Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI - 15-35 Information and Inventories in High-Frequency Trading
by Johannes Muhle-Karbe & Kevin Webster - 15-34 Stochastic Claims Reserving Manual: Advances in Dynamic Modeling
by Mario V. Wuthrich & Michael Merz - 15-33 Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics
by Sandro Claudio LERA & Didier SORNETTE - 15-32 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG - 15-31 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang - 15-30 The Acceleration Effect and Gamma Factor in Asset Pricing
by Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE - 15-29 Size and Momentum Profitability in International Stock Markets
by Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER - 15-28 Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings
by Spencer WHEATLEY & Didier SORNETTE - 15-27 Sensitivity of Optimal Consumption Streams
by Martin Herdegen & Johannes Muhle-Karbe - 15-26 Consistent Re-Calibration in Yield Curve Modeling: An Example
by Mario V. Wuthrich - 15-25 Does Market Irrationality in the Media Affect Stock Returns?
by Rajna GIBSON BRANDON & Christopher HEMMENS & Mathieu TRÉPANIER - 15-24 Collateralization, Leverage, and Stressed Expected Loss
by Eric JONDEAU & Amir KHALILZADEH - 15-23 High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation
by Jakub ROJCEK & Alexandre ZIEGLER - 15-22 Nonparametric Empirical Evidence for Krugman's Target Zone Model
by Sandro Claudio LERA & Didier SORNETTE - 15-21 Agency Conflicts Around the World
by Erwan Morellec & Boris Nikolov & Norman Schürhoff - 15-20 Uniqueness of Equilibrium in a Payment System with Liquidation Costs
by Hamed AMINI & Damir FILIPOVIC & Andreea MINCA - 15-19 Hedging with Small Uncertainty Aversion
by Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried - 15-18 Human Capital and Employment Risks Diversification
by Pascal ST-AMOUR - 15-17 Portfolio Selection with Active Risk Monitoring
by Marc S. PAOLELLA & Pawel POLAK - 15-16 Evolutionary Behavioural Finance
by Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPÉ - 15-15 Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales
by Tahir CHOULLI & Martin SCHWEIZER - 15-14 A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World
by Didier SORNETTE - 15-12 Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
by Giovanni BARONE-ADESI & Kostas GIANNOPOULOS & Les VOSPER - 15-11 History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 15-10 Central Bank Collateral Frameworks
by Kjell G. NYBORG - 15-09 Noisy Arrow-Debreu Equilibria
by Semyon MALAMUD - 15-08 Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
by Markus LEIPPOLD & Nikola VASILJEVIC - 15-07 Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
by Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE - 15-06 Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices
by Yuki SATO - 15-05 Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)
by Martin HERDEGEN & Martin SCHWEIZER - 15-04 The Shadow Cost of Repos and Bank Liability Structure
by Nataliya KLIMENKO & Santiago MORENO-BROMBERG - 15-03 Innovation, Delegation, and Asset Price Swings
by Yuki SATO - 15-02 Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls
by Marina DRUZ & Alexander F. WAGNER & Alexander Richard J. ZECKHAUSER - 15-01 The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms
by Rajna GIBSON BRANDON & Carmen TANNER & Alexander F. WAGNER
2014
- 14-74 Liquidation with Self-Exciting Price Impact
by Thomas Cayé & Johannes Muhle-Karbe - 14-73 Strategic Technology Adoption and Hedging under Incomplete Markets
by Markus LEIPPOLD & Jacob STROMBERG - 14-72 High-Resilience Limits of Block-Shaped Order Books
by Jan KALLSEN & Johannes MUHLE-KARBE - 14-71 Risk-Adjusted Time Series Momentum
by Martin DUDLER & Bruno GMUER & Semyon MALAMUD - 14-70 Bank Capital, Liquid Reserves, and Insolvency Risk
by Julien Hugonnier & Erwan Morellec - 14-69 Claims Run-Off Uncertainty: The Full Picture
by Michael Merz & Mario V. Wuthrich - 14-68 Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
by Walter POHL & Karl SCHMEDDERS & Ole WILMS - 14-67 Heterogeneity in Decentralized Asset Markets
by Julien HUGONNIER & Benjamin LESTER & Pierre-Olivier WEILL - 14-66 Fed Funds Futures Variance Futures
by Damir Filipovic & Anders B. Trolle - 14-65 Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment
by Matthias EFFING - 14-64 Shadow Insurance
by Ralph S. J. Koijen & Motohiro Yogo - 14-63 To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
by Hamed AMINI & Damir FILIPOVIC & Andreea MINCA - 14-62 Martingale Optimal Transport in the Skorokhod Space
by Yan DOLINSKY & Mete SONER - 14-61 Facelifting in Utility Maximization
by Kasper LARSEN & Mete SONER & Gordan ZITKOVIC - 14-60 Hedging Under an Expected Loss Constraint with Small Transaction Costs
by Bruno BOUCHARD & Ludovic MOREAU & Mete SONER - 14-59 Asymmetric Beta Comovement and Systematic Downside Risk
by Eric JONDEAU & Qunzi ZHANG - 14-58 Optimal Long-Term Allocation with Pension Fund Liabilities
by Eric JONDEAU & Michael ROCKINGER - 14-57 Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies
by Hao MENG & Wei-Xing ZHOU & Didier SORNETTE - 14-56 Merger Activity in Industry Equilibrium
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 14-55 Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks
by Matthias EFING & Harald HAU & Patrick KAMPKÖTTER & Johannes STEINBRECHER - 14-54 Polynomial Preserving Diffusions and Applications in Finance
by Damir FILIPOVIC & Martin LARSSON - 14-53 Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm
by Spencer WHEATLEY & Vladimir FILIMONOV & Didier SORNETTE - 14-52 Super-Exponential Growth Expectations and the Global Financial Crisis
by Matthias LEISS & Heinrich H. NAX & Didier SORNETTE - 14-51 Luck and Entrepreneurial Success
by Diego LIECHTI & Claudio LODERER & Urs PEYER - 14-50 Dealer Networks
by Dan LI & Norman SCHUERHOFF - 14-49 Are Institutions Informed About News?
by Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF - 14-48 Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns
by Vladimir FILIMONOV & Didier SORNETTE - 14-47 Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
by Ines CHAIEB & Vihang ERRUNZA & Rajna GIBSON BRANDON - 14-46 Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology
by Lucas FIEVET & Zalàn FORRO & Peter CAUWELS & Didier SORNETTE - 14-45 Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
by Juan V. ESCOBAR & Didier SORNETTE - 14-44 Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland
by Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE - 14-43 Estimating Aggregate Autoregressive Processes When Only Macro Data are Available
by Eric JONDEAU & Florian PELGRIN - 14-42 A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 14-41 Asset Prices with Temporary Shocks to Consumption
by Walter POHL & Karl SCHMEDDERS & Ole WILMS - 14-40 A Fast, Accurate Method for Value at Risk and Expected Shortfall
by Jochen KRAUSE & Marc S. PAOLELLA - 14-39 Threat of Entry and Debt Maturity: Evidence from Airlines
by Gianpaolo PARISE - 14-38 Model Uncertainty and Scenario Aggregation
by Mathieu CAMBOU & Damir FILIPOVIC - 14-37 Concavity of the Consumption Function with Recursive Preferences
by Semyon MALAMUD - 14-36 Price Discovery through Options
by Semyon MALAMUD - 14-35 Corporate Saving in Global Rebalancing
by Philippe BACCHETTA & Kenza BENHIMA - 14-34 Optimal Exchange Rate Policy in a Growing Semi-Open Economy
by Philippe Bacchetta & Kenza Benhima & Yannick Kalantzis - 14-33 The Perennial Challenge to Counter Too-Big-To-Fail in Banking: Empirical Evidence from the New International Regulation Dealing with Global Systemically Important Banks
by Sebastian C. MOENNINGHOFF & Steven ONGENA & Axel WIEANDT - 14-32 Multifamily Residential Asset and Space Markets and Linkages with the Economy
by Martin HOESLI & Alain CHANEY - 14-31 Life Cycle Responses to Health Insurance Status
by Florian PELGRIN & Pascal ST-AMOUR - 14-30 Commonality in Liquidity and Real Estate Securities
by Martin HOESLI & Anjeza KADILLI & Kustrim REKA - 14-29 Generalized Risk Premia
by Paul SCHNEIDER - 14-28 Financial Bubbles: Mechanisms and Diagnostics
by Didier SORNETTE & Peter CAUWELS - 14-27 Household Inequality, Entrepreneurial Dynamism and Corporate Financing
by Fabio BRAGGION & Mintra DWARKASING & Steven ONGENA - 14-26 Bank Loan Announcements and Borrower Stock Returns Before and During the Recent Financial Crisis
by Chunshuo LI & Steven ONGENA - 14-25 Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models
by Didier SORNETTE - 14-24 Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products
by Marc ARNOLD & Dustin SCHUETTE & Alexander WAGNER - 14-23 Cumulative Prospect Theory and Mean Variance Analysis: A Rigorous Comparison
by Thorsten HENS & János MAYER - 14-22 Theory Matters for Financial Advice!
by Thorsten HENS & János MAYER - 14-21 Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities
by Nicole M. Boyson & Rüdiger Fahlenbrach & René M. Stulz - 14-20 Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices
by Patrick GAGLIARDINI & Christian GOURIEROUX & Mirco RUBIN - 14-19 Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices OR from SSRN: Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 14-18 A Class of Strict Local Martingales
by Martin HERDEGEN & Sebastian HERRMANN - 14-17 Trading with Small Price Impact
by Ludovic MOREAU & Johannes MUHLE-KARBE & Halil Mete SONER - 14-16 Rebalancing with Linear and Quadratic Costs
by Ren LIU & Johannes MUHLE-KARBE & Marko WEBER - 14-15 Linear-Rational Term Structure Models
by Damir FILIPOVIC & Martin LARSSON & Anders TROLLE - 14-14 Information Processing and Non-Bayesian Learning in Financial Markets
by Stefanie Schraeder - 14-13 The Impact of Foreign Bank Presence on Foreign Direct Investment in China
by Steven ONGENA & Shusen QI & Fengming QIN - 14-12 Do Underpriced Firms Innovate Less?
by Gianpaolo Parise - 14-11 Financing Asset Sales and Business Cycles
by Marc ARNOLD & Dirk HACKBARTH & Tatjana XENIA PUHAN - 14-10 Exchange Risk and Market Integration
by Ines CHAIEB & Vihang ERRUNZA - 14-09 Portfolio Delegation and Market Efficiency
by Semyon MALAMUD & Evgeny PETROV - 14-08 Portfolio Selection with Options and Transaction Costs
by Semyon MALAMUD - 14-07 Toward a Unified Framework of Credit Creation
by Susanne VON DER BECKE & Didier SORNETTE - 14-06 Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations
by Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu - 14-05 Long/Short Equity Hedge Funds and Systematic Ambiguity
by Rajna Gibson BRANDON & Nikolay RYABKOV - 14-04 Financing Investment: The Choice between Bonds and Bank Loans
by Erwan Morellec & Philip Valta & Alexei Zhdanov - 14-03 Capital Adequacy Tests and Limited Liability of Financial Institutions
by Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari - 14-02 Liquidity and Investment Horizon
by Volodymyr VOVCHAK - 14-01 Corporate Cash and Employment
by Philippe BACCHETTA & Kenza BENHIMA & Céline POILLY
2013
- 13-74 An Option to Cheat: An Application of Option Theory to Realize Flipping in Underpricing
by Jovan Stojkovic - 13-73 Asset Pricing When 'This Time is Different'
by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer - 13-72 Competition, Cash Holdings, and Financing Decisions
by Erwan Morellec & Boris Nikolov & Francesca Zucchi - 13-71 Optimal Liquidity Provision
by Christoph Kühn & Johannes Muhle-Karbe - 13-70 Shareholder Activism, Informed Trading, and Stock Prices
by Pierre Collin-Dufresne & Vyacheslav Fos - 13-69 Do Prices Reveal the Presence of Informed Trading?
by Pierre Collin-Dufresne & Vyacheslav Fos - 13-68 Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams
by Olivier Bachem & Gabriel G. Drimus & Walter Farkas - 13-67 Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 13-66 Capital Requirements with Defaultable Securities
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 13-65 Liquidity Risk in Credit Default Swap Markets
by Benjamin Junge & Anders B. Trolle - 13-64 Debt Enforcement, Investment, and Risk Taking Across Countries
by Giovanni Favara & Erwan Morellec & Enrique J. Schroth & Philip Valta - 13-63 Opacity in Financial Markets
by Yuki Sato - 13-62 A Generic Model of Dyadic Social Relationships
by Maroussia Favre & Didier Sornette - 13-61 Momentum Crashes
by Kent D. Daniel & Tobias J. Moskowitz - 13-60 Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data
by Vladimir Filimonov & Didier Sornette - 13-59 Margin Regulation and Volatility
by Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders - 13-58 Optimal Investment in a Black-Scholes Model with a Bubble
by Martin Herdegen & Sebastian Herrmann - 13-57 Asset Pricing with Arbitrage Activity
by Julien Hugonnier & Rodolfo Prieto - 13-56 Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data
by Martin Hoesli & Elias Oikarinen - 13-55 A Creepy World
by Didier Sornette & Peter Cauwels - 13-54 Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework
by Zehra Eksi & Damir Filipović - 13-53 Heterogeneity in Risk Preferences: Evidence from a Real-World Betting Market
by Angie Andrikogiannopoulou & Filippos Papakonstantinou - 13-52 Decentralized Exchange
by Semyon Malamud & Marzena J. Rostek - 13-51 Transaction Costs and Shadow Prices in Discrete Time
by Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer - 13-50 Optimal Prevention for Correlated Risks
by Christophe Courbage & Henri Louberge & Richard Peter - 13-49 Robust Hedonic Price Indexes
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli - 13-48 On Secondary Buyouts
by Francois Degeorge & Jens Martin & Ludovic Phalippou - 13-47 Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
by Eric Jondeau & Jérôme Lahaye & Michael Rockinger - 13-46 Limited Managerial Attention and Corporate Aging
by Claudio F. Loderer & René M. Stulz & Urs Waelchli - 13-45 Long-Term Portfolio Management with a Structural Macroeconomic Model
by Ludovic Cales & Eric Jondeau & Michael Rockinger - 13-44 Asset Pricing with Regime-Dependent Preferences and Learning
by Tony Berrada & Jerome Detemple & Marcel Rindisbacher - 13-43 Can the CRRA-Lognormal Framework Explain CAPM-Anomalies in the Cross-Section of Stock Returns?
by Sabine Elmiger - 13-42 A Macroeconomic Framework for Quantifying Systemic Risk
by Zhiguo He & Arvind Krishnamurthy - 13-41 Fund Flows and Market States
by Francesco A. Franzoni & Martin C. Schmalz - 13-40 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets
by Chris Bardgett & Elise Gourier & Markus Leippold - 13-39 Asset Allocation and Monetary Policy: Evidence from the Eurozone
by Harald Hau & Sandy Lai - 13-38 COMFORT: A Common Market Factor Non-Gaussian Returns Model
by Marc S. Paolella & Pawel Polak - 13-37 Scientific Research Measures
by Marco Frittelli & Loriano Mancini & Ilaria Peri - 13-36 Sudden Spikes in Global Risk
by Philippe Bacchetta & Eric van Wincoop - 13-35 Asymptotics for Fixed Transaction Costs
by Albert Altarovici & Johannes Muhle-Karbe & Halil Mete Soner - 13-34 Systemic Risk and Central Clearing Counterparty Design
by Hamed Amini & Damir Filipović & Andreea Minca - 13-33 Capital Levels and Risk-Taking Propensity in Financial Institutions
by Giovanni Barone-Adesi & Walter Farkas & Pablo Koch-Medina - 13-32 Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting
by Nilufer Caliskan & Thorsten Hens - 13-31 Long-Run UIP Holds Even in the Short Run
by Fabian Ackermann & Walt Pohl & Karl Schmedders - 13-30 The Perils of Performance Measurement in the German Mutual-Fund Industry
by Philip Böhme & Walt Pohl & Karl Schmedders - 13-29 Conditions for Quantum Interference in Cognitive Sciences
by Vyacheslav I. Yukalov & Didier Sornette - 13-28 The Great Recession: A Self-Fulfilling Global Panic
by Philippe Bacchetta & Eric van Wincoop - 13-27 The Price of Government Bond Volatility
by Antonio Mele & Yoshiki Obayashi - 13-26 Volatility Indexes and Contracts for Government Bonds and Time Deposits
by Antonio Mele & Yoshiki Obayashi - 13-25 Volatility Indexes and Contracts for Eurodollar and Related Deposits
by Antonio Mele & Yoshiki Obayashi - 13-24 Credit Variance Swaps and Volatility Indexes
by Antonio Mele & Yoshiki Obayashi - 13-23 Dynamics of Interest Rate Swap and Equity Volatilities
by Antonio Mele & Yoshiki Obayashi & Catherine Shalen - 13-22 Do Analysts' Preferences Affect Corporate Policies?
by Francois Degeorge & François Derrien & Ambrus Kecskes & Sebastien Michenaud - 13-21 Structured Debt Ratings: Evidence on Conflicts of Interest
by Matthias Efing & Harald Hau - 13-20 On the Strategic Value of Risk Management
by Thomas‐Olivier Léautier & Jean-Charles Rochet - 13-19 Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families
by Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg - 13-18 On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations
by Zehra Eksi & Damir Filipović - 13-17 Utility Maximization in an Illiquid Market
by Halil Mete Soner & Mirjana Vukelja - 13-16 A Critique of Shareholder Value Maximization
by Michael J. P. Magill & Martine Quinzii & Jean-Charles Rochet - 13-15 The General Structure of Optimal Investment and Consumption with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 13-14 Optimal Dividend Policy with Random Interest Rates
by Erdinc Akyildirim & Ibrahim Güney & Jean-Charles Rochet & Halil Mete Soner - 13-13 Martingale Optimal Transport and Robust Hedging in Continuous Time
by Yan Dolinsky & Halil Mete Soner - 13-12 Contagion Channels between Real Estate and Financial Markets
by Martin Hoesli & Reka Kustrim - 13-11 Robust Hedging with Proportional Transaction Costs
by Yan Dolinsky & Halil Mete Soner - 13-10 What Constrains Liquidity Provision? Evidence From Hedge Fund Trades
by Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi - 13-09 A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations
by Zehra Eksi & Damir Filipović - 13-07 Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)
by Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette - 13-06 Quadratic Variance Swap Models
by Damir Filipović & Elise Gourier & Loriano Mancini