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Jean-Pierre Zigrand

Personal Details

First Name:Jean-Pierre
Middle Name:
Last Name:Zigrand
Suffix:
RePEc Short-ID:pzi2
http://accfin.lse.ac.uk/staff/zigrand/
Terminal Degree: (from RePEc Genealogy)

Affiliation

Financial Markets Group (FMG)
London School of Economics (LSE)

London, United Kingdom
http://fmg.lse.ac.uk/

: 020-7955-7002
020-7242-1006
Houghton Street, London WC2A 2AE
RePEc:edi:fmlseuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  2. Jean-Pierre Zigrand & Rohit Rahi, 2009. "Endogenous Liquidity and Contagion," FMG Discussion Papers dp637, Financial Markets Group.
  3. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
  4. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group.
  5. Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson, 2004. "(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?," FMG Discussion Papers dp518, Financial Markets Group.
  6. Rahi, Rohit & Zigrand, Jean-Pierre, 2004. "Strategic Financial Innovation in Segmented Markets," CEPR Discussion Papers 4176, C.E.P.R. Discussion Papers.
  7. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group.
  8. Jean-Pierre Zigrand, 2002. "Rational Asset Pricing Implications from Realistic Trading Frictions," FMG Discussion Papers dp414, Financial Markets Group.
  9. Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001. "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers dp394, Financial Markets Group.
  10. Jean-Pierre Zigrand, 2001. "Rational Limits to Arbitrage," FMG Discussion Papers dp392, Financial Markets Group.
  11. Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group.
  12. Jean-Pierre Zigrand, 2001. "On Physics and Finance," FMG Special Papers sp128, Financial Markets Group.
  13. Jean-Pierre Zigrand, 1999. "Arbitrage and Endogenous Market Integration," FMG Discussion Papers dp319, Financial Markets Group.

Articles

  1. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
  2. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
  3. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.
  4. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
  5. Jean-Pierre Zigrand, 2005. "Rational Asset Pricing Implications from Realistic Trading Frictions," The Journal of Business, University of Chicago Press, vol. 78(3), pages 871-892, May.
  6. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
  7. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May.
  8. Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December.

Chapters

  1. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous and Systemic Risk," NBER Chapters,in: Quantifying Systemic Risk, pages 73-94 National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (3) 2004-02-29 2006-05-27 2006-06-17
  2. NEP-CFN: Corporate Finance (2) 2004-02-29 2006-05-27
  3. NEP-FIN: Finance (2) 2006-05-27 2006-06-17
  4. NEP-RMG: Risk Management (2) 2006-06-17 2010-03-06
  5. NEP-UPT: Utility Models & Prospect Theory (2) 2006-06-17 2010-03-06
  6. NEP-BAN: Banking (1) 2010-03-06
  7. NEP-BEC: Business Economics (1) 2010-03-06
  8. NEP-MIC: Microeconomics (1) 2004-02-29

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