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Publications

by members of

Eidgenössische Technische Hochschule Zürich (ETHZ) → Financial and Insurance Mathematics

Federal Institute of Technology Zurich

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2012

  1. Winslow Strong, 2012, "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers, arXiv.org, number 1212.1877, Dec, revised Oct 2013.

2011

  1. Mark Podolskij & Mathieu Rosenbaum, 2011, "Testing the local volatility assumption: a statistical approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-04, Jan.
  2. Kim Christensen & Roel Oomen & Mark Podolskij, 2011, "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-19, May.
  3. Kim Christensen & Mark Podolskij & Mathias Vetter, 2011, "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-53, Dec.
  4. Kim Christensen & Mark Podolskij, 2011, "Asymptotic theory of range-based multipower variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-47, Oct.
  5. Winslow Strong, 2011, "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers, arXiv.org, number 1112.5340, Dec.

2010

  1. Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010, "Quantitative Breuer-Major Theorems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-22, May.
  2. Nikolaus Hautsch & Mark Podolskij, 2010, "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-29, Jul.
  3. Winslow Strong & Jean-Pierre Fouque, 2010, "Diversity and Arbitrage in a Regulatory Breakup Model," Papers, arXiv.org, number 1003.5650, Mar, revised Dec 2010.

2009

  1. Kim Christensen & Roel Oomen & Mark Podolskij, 2009, "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-27, May.
  2. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-45, Sep.
  3. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009, "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-21, May.
  4. Mark Podolskij & Mathias Vetter, 2009, "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-47, Oct.
  5. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009, "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-60, Dec.

2008

  1. Mark Podolskij & Daniel Ziggel, 2008, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-22, May.
  2. Mark Podolskij & Mathias Vetter, 2008, "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-25, May.
  3. Mark Podolskij & Daniel Ziggel, 2008, "New tests for jumps: a threshold-based approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-34, Jun.
  4. Silja Kinnebrock & Mark Podolskij, 2008, "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe25.

2007

  1. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007, "Power variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-42, Dec.
  2. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007, "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-43, Dec.
  3. Mark Podolskij & Mathias Vetter, 2007, "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-27, Sep.
  4. Silja Kinnebrock & Mark Podolskij, 2007, "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series, Oxford Financial Research Centre, number 2007fe03.
  5. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007, "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2007,41.
  6. Philippe Ehlers & Philipp J. Schoenbucher, 2007, "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-07, Jan.

2006

  1. Christensen, Kim & Podolskij, Mark, 2006, "Range-Based Estimation of Quadratic Variation," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,37.
  2. Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006, "Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,52.
  3. Philippe Ehlers & Philipp J. Schonbucher, 2006, "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-39, Jul, revised Dec 2006.

2005

  1. Dette, Holger & Podolskij, Mark, 2005, "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2005,50.

2004

  1. Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004, "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W29, Nov.
  2. Vetter, Mathias & Podolskij, Mark & Dette, Holger, 2004, "Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,32.

2000

  1. Schönbucher, Philipp J., 2000, "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 15/2001.
  2. Schönbucher, Philipp J., 2000, "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 16/2001.
  3. Schönbucher, Philipp J., 2000, "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 17/2001.

1999

  1. D. Epstein & N.Mayor & P.Schonbucher & A.E. Whalley & P. Wilmott, 1999, "The Valuation of a Firm Advertising Optimally," OFRC Working Papers Series, Oxford Financial Research Centre, number 1999mf01.
  2. N. Mayor & P. Schonbucher & P.Wilmott & A.E. Whalley & D. Epstein, 1999, "The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering," OFRC Working Papers Series, Oxford Financial Research Centre, number 1999mf13.
  3. R. Haber & P. Schonbucher & P.Wilmott, 1999, "An American in Paris," OFRC Working Papers Series, Oxford Financial Research Centre, number 1999mf14.

1997

  1. Philipp J. Schonbucher, 1997, "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers, Financial Markets Group, number dp272, Jul.

Journal articles

2012

  1. Mark Podolskij & Mathieu Rosenbaum, 2012, "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, volume 8, issue 1, pages 31-48, February, DOI: 10.1007/s10436-011-0180-z.

2011

  1. Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011, "Quantitative Breuer-Major theorems," Stochastic Processes and their Applications, Elsevier, volume 121, issue 4, pages 793-812, April.
  2. Winslow Strong & Jean-Pierre Fouque, 2011, "Diversity and arbitrage in a regulatory breakup model," Annals of Finance, Springer, volume 7, issue 3, pages 349-374, August, DOI: 10.1007/s10436-010-0175-1.

2010

  1. M. Podolskij & D. Ziggel, 2010, "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, volume 13, issue 1, pages 15-41, April, DOI: 10.1007/s11203-009-9037-8.
  2. Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 116-133, November.
  3. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010, "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 74-98, November.

2009

  1. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009, "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, volume 13, issue 2, pages 239-268, April, DOI: 10.1007/s00780-009-0089-9.
  2. Podolskij, Mark & Vetter, Mathias, 2009, "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, volume 119, issue 9, pages 2803-2831, September.
  3. Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009, "Power variation for Gaussian processes with stationary increments," Stochastic Processes and their Applications, Elsevier, volume 119, issue 6, pages 1845-1865, June.
  4. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009, "Microstructure noise in the continuous case: The pre-averaging approach," Stochastic Processes and their Applications, Elsevier, volume 119, issue 7, pages 2249-2276, July.
  5. Philippe Ehlers & Philipp Schönbucher, 2009, "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, volume 13, issue 1, pages 79-103, January, DOI: 10.1007/s00780-008-0080-x.

2008

  1. Dette, Holger & Podolskij, Mark, 2008, "Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach," Journal of Econometrics, Elsevier, volume 143, issue 1, pages 56-73, March.
  2. Kinnebrock, Silja & Podolskij, Mark, 2008, "A note on the central limit theorem for bipower variation of general functions," Stochastic Processes and their Applications, Elsevier, volume 118, issue 6, pages 1056-1070, June.

2007

  1. Christensen, Kim & Podolskij, Mark, 2007, "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 323-349, December.

2006

  1. Holger Dette & Mark Podolskij & Mathias Vetter, 2006, "Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 33, issue 2, pages 259-278, June, DOI: 10.1111/j.1467-9469.2006.00479.x.

2004

  1. Schonbucher P., 2004, "Applied Computational Economics and Finance. Mario J. Miranda and Paul L. Fackler," Journal of the American Statistical Association, American Statistical Association, volume 99, pages 565-566, January.

1998

  1. Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998, "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, volume 38, issue 2, pages 149-166.

Chapters

2022

  1. Philipp Schönbucher, 2022, "Making Data Pay," Springer Books, Springer, in: Michael Lister & Bernd Rolfes & Holger Wessling, "Neue Geschäftsmodelle für Finanzinstitute - Datenanalyse, Digitale Technologien und Wertewandel als Impulsgeber", DOI: 10.1007/978-3-658-35899-0_3.

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