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Swiss Finance Institute
Swiss Finance Institute Research Paper Series
Contact information of
Swiss Finance Institute:
Web page: http://www.SwissFinanceInstitute.ch
More information through EDIRC
For technical questions regarding this series, please contact
(Marilyn Barja)
Series handle: repec:chf:rpseri
200920082007- 9602 A Specification Test For Nonparametric Instrumental Variable Regression
by Patrick Gagliardini & Olivier Scaillet [Downloadable!]
- 08-24 A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an innovation, we allow for two-sided counterparty risk. In line with empirical observations, it is shown that the most liquid and least risky assets are used as collateral in market transactions first. An endogenous opportunity cost arises from using liquid collateral with the central bank. Conditions are identified such that expected utility increases for all market participants when the central bank accepts a broader range
by Christian Ewerhart & Jens Tapking [Downloadable!]
- 08-05 Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
by Pierre Bajgrowicz & Olivier Scaillet [Downloadable!]
- 07-34 Dynamic Option-Based Strategies under Downside Loss Averse Preferences
by Amine Jalal [Downloadable!]
- 07-33 Executive Compensation: The View from General Equilibrium
by Jean-Pierre Danthine & John B. Donaldson [Downloadable!]
- 07-30 Prospect Theory for Continuous Distributions Games and Prospects
by Marc Oliver Rieger & Mei Wang [Downloadable!]
- 07-29 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger [Downloadable!]
- 07-28 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger [Downloadable!]
- 07-26 Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
by Gregory Connor & Matthias Hagmann & Oliver Linton [Downloadable!]
- 07-23 Asset Pricing, Habit Memory, and the Labor Market
by Ivan Jaccard [Downloadable!]
- 07-22 Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations
by Christian Ewerhart & Nuno Cassola & Natacha Valla [Downloadable!]
- 07-21 Financial Market Equilibria With Cumulative Prospect Therory
by Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger [Downloadable!]
- 07-20 Do Stylised Facts of Order Book Markets Need Strategic Behaviour?
by Dan Ladley & Klaus Reiner Schenk-Hoppe [Downloadable!]
- 07-19 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
by Ivan Jaccard [Downloadable!]
- 07-18 Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets
by Alena Audzeyeva & Klaus Reiner Schenk-Hoppe [Downloadable!]
- 07-17 Director Independence as Strategic Behavior
by Alexander F. WAGNER [Downloadable!]
- 07-16 Why Firms Purchase Property Insurance?
by Daniel Aunon-Nerin & Paul Ehling [Downloadable!]
- 07-15 Conspicuous Conservatism In Risk Choice
by Boaz Moselle & François Degeorge & Richard Zeckhauser [Downloadable!]
- 07-14 Stochastic Reference Points And The Dependence Structure
by Enrico De Giorgi & Thierry Post [Downloadable!]
- 07-12 Anomalies In Intertemporal Choice?
by Anke Gerber & Kirsten I.M. Rohde [Downloadable!]
- 07-10 Stochastic Volatility: Risk Minimization and Model Risk
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe [Downloadable!]
- 07-06 Aggregating Phillips Curves
by Jean Imbs & Eric Jondeau & Florian Pelgrin [Downloadable!]
- 07-01 An Objective Function for Simulation Based Inference on Exchange Rate Data
by Peter Winker & Manfred Gilli & Vahidin Jeleskovic [Downloadable!]
2006200520042003Undated- 09-41 Endogenous completeness of diffusion driven equilibrium markets
by Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ [Downloadable!]
- 09-40 Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
by Y. Malevergne & V. Pisarenko & D. Sornette [Downloadable!]
- 09-39 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS [Downloadable!]
- 09-38 Robust Resampling Methods for Time Series
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI [Downloadable!]
- 09-37 Growing wealth with fixed-mix strategies
by Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE [Downloadable!]
- 09-36 Dragon-Kings, Black Swans and the Prediction of Crises
by Didier SORNETTE [Downloadable!]
- 09-35 Most Efficient Homogeneous Volatility Estimators
by Alexander I. SAICHEV & Didier SORNETTE & Vladimir FILIMONOV [Downloadable!]
- 09-34 Equilibrium Driven by Discounted Dividend Volatility
by Jaksa CVITANIC & Semyon MALAMUD [Downloadable!]
- 09-33 The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO [Downloadable!]
- 09-32 Survival and Evolutionary Stability of the Kelly Rule
by Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE [Downloadable!]
- 09-30 Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity
by Eric JONDEAU & Florian PELGRIN [Downloadable!]
- 09-29 Firm Migration and Stock Returns
by Giovanni W. PUOPOLO [Downloadable!]
- 09-28 Short Selling Regulation after the Financial Crisis – First Principles Revisited
by Seraina GRUENEWALD & Alexander F. WAGNER & Rolf H. WEBER [Downloadable!]
- 09-27 Bank CEO Incentives and the Credit Crisis
by Rüdiger FAHLENBRACH & René M. STULZ [Downloadable!]
- 09-26 Linkages Between Direct and Securitized Real Estate
by Elias OIKARINEN & Martin HOESLI & Camilo SERRANO [Downloadable!]
- 09-23 Fourth Order Pseudo Maximum Likelihood Methods
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER [Downloadable!]
- 09-22 The time-varying prediction of successful mergers
by Giovanni BARONE-ADESI & Giuseppe CORVASCE [Downloadable!]
- 09-21 Financial Crisis: Estimating the Risk of Assets in Balance
by Giovanni BARONE-ADESI & Giuseppe CORVASCE [Downloadable!]
- 09-20 Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets
by Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame [Downloadable!]
- 09-19 A Satiscing Alternative to Prospect Theory
by David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM [Downloadable!]
- 09-17 An Intergenerational Cross-Country Swap
by Miret PADOVANI & Paolo VANINI [Downloadable!]
- 09-15 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier SORNETTE & Ryan WOODARD [Downloadable!]
- 09-10 Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation
by Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF [Downloadable!]
- 09-05 Non-parametric counterfactual analysis in dynamic general equilibrium
by Felix KUBLER & Karl SCHMEDDERS [Downloadable!]
- 09-04 Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
by Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE [Downloadable!]
- 09-03 Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
by Jaksa CVITANIC & Semyon MALAMUD [Downloadable!]
- 09-02 Information Percolation with Equilibrium Search Dynamics
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO [Downloadable!]
- 09-01 Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP
by Christian EWERHART [Downloadable!]
- 08-49 Incomplete-Market Equilibria Solved Recursively on an Event Tree
by Bernard DUMAS & Andrew LYASOFF [Downloadable!]
- 08-48 Sacred values in financial economic decision-making: Experimental evidence
by Rajna GIBSON & Carmen TANNER & Alexander F. WAGNER [Downloadable!]
- 08-47 What do frictions mean for Q-theory testing?
by Maria Cecilia BUSTAMANTE [Downloadable!]
- 08-46 The Dynamics of Going Public
by Maria Cecilia BUSTAMANTE [Downloadable!]
- 08-45 Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER [Downloadable!]
- 08-44 Frailty Correlated Default
by Darrell DUFFIE & Andreas ECKNER & Guillaume HOREL & Leandro SAITA [Downloadable!]
- 08-43 The Price of Protection: Derivatives, Default Risk, and Margining
by Rajna GIBSON & Carsten MURAWSKI [Downloadable!]
- 08-42 Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
by Amine LAHIANI & Olivier SCAILLET [Downloadable!]
- 08-41 Strategies of Survival in Dynamic Asset Market Games
by Rabah AMIR & Igor V. EVSTIGNEEV & Le XU [Downloadable!]
- 08-40 Asymmetric Information and Adverse Selection in Mauritian Slave Auctions
by Georges DIONNE & Pascal ST-AMOUR & Desire VENCATACHELLUM [Downloadable!]
- 08-39 Global Securitized Real Estate Benchmarks and Performance
by Camilo SERRANO & Martin HOESLI [Downloadable!]
- 08-38 Auctioned IPOs: The U.S. Evidence
by François DEGEORGE & François DERRIEN & Kent L. WOMACK [Downloadable!]
- 08-37 Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?
by Rajna GIBSON & Songtao WANG [Downloadable!]
- 08-36 Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM
by Francesco FRANZONI & Tobias ADRIAN [Downloadable!]
- 08-35 The Changing Nature Of Market Risk
by Francesco FRANZONI [Downloadable!]
- 08-34 Constructing Long/Short Portfolios with the Omega ratio
by Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ [Downloadable!]
- 08-33 Look-Ahead Benchmark Biasin Portfolio Performance Evaluation
by Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN [Downloadable!]
- 08-32 Bond Ladders and Optimal Portfolios
by Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS [Downloadable!]
- 08-31 Asset Market Games of Survival
by Rabah AMIR & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE [Downloadable!]
- 08-30 From Discrete to Continuous Time Evolutionary Finance Models
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE [Downloadable!]
- 08-27 Are Securitized Real Estate Returns more Predictable than Stock Returns?
by Camilo Serrano & Martin Hoesli [Downloadable!]
- 08-25 Mathematical Basis of Quantum Decision Theory
by Vyacheslav I. Yukalov & Didier Sornette [Downloadable!]
- 08-18 Ambiguity Aversion and the Term Structure of Interest Rates
by Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani [Downloadable!]
- 08-17 Distributed Optimisation of a Portfolio's Omega
by Manfred Gilli & Enrico Schumann [Downloadable!]
- 08-16 Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
by Georges Harras & Didier Sornette [Downloadable!]
- 08-15 Anomalous Returns in a Neural Network Equity-Ranking Predictor
by J.B. Satinover & D. Sornette [Downloadable!]
- 08-12 A review of heuristic optimization methods in econometrics
by Manfred GILLI & Peter WINKER [Downloadable!]
- 08-07 Capital growth under transaction costs: An analysis based on the von Neumann-Gale model
by Wael BAHSOUN & Igor V. EVSTIGNEEV & Michael I. TAKSAR [Downloadable!]
- 07-35 Forecasting EREIT Returns
by Camilo Serrano & Martin Hoesli [Downloadable!]
- 07-32 Arbitrage in Stationary Markets
by Igor Evstigneev & Dhruv Kapoor [Downloadable!]
- 07-25 We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and correlations on the American put price
by Alexey MEDVEDEV & Olivier SCAILLET [Downloadable!]
- 07-02 Barrier Option Pricing Using Adjusted Transition Probabilities
by Giovanni Barone-Adesi & Nicola Fusari & John Theal [Downloadable!]
- 06-29 Manipulation in Money Markets
by Christian Ewerhart & Nuno Cassola & Steen EJjerksov & Natacha Valla [Downloadable!]
- 06-21 Using Economic and Financial Information for Stock Selection
by Ilir Roko & Manfred Gilli [Downloadable!]
- 06-20 House Prices and Bubbles in New Zealand
by Patricia Fraser & Martin Hoesli & Lynn Mc Alevey [Downloadable!]
- 06-10 Why Do Stock Exchanges Demutualize and Go Public?
by Sofia Brito Ramos [Downloadable!]
- 06-08 Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
by Alexey Medvedev & Olivier Scaillet [Downloadable!]
- 06-04 The Inflation Hedging Characteristics of US and UK Investments: A Multifactor Error Correction Approach
by Martin Hoesli & Colin Lizieri & Bryan MacGregor [Downloadable!]
- 06-02 A Data-Driven Optimization Heuristic for Downside Risk Minimization
by Manfred Gilli & Evis Këllezi & Hilda Hysi [Downloadable!]
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This page was last updated on 2009-11-3.
This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.