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Details about Jean-Pierre Zigrand

E-mail:
Homepage:http://www.systemicrisk.ac.uk/people/jean-pierre-zigrand
Workplace:Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Jean-Pierre Zigrand.

Last updated 2020-03-07. Update your information in the RePEc Author Service.

Short-id: pzi2


Jump to Journal Articles Chapters

Working Papers

2010

  1. Risk Appetite and Endogenous Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (27)

2009

  1. Endogenous Liquidity and Contagion
    FMG Discussion Papers, Financial Markets Group Downloads

2007

  1. Strategic Financial Innovation in Segmented Markets
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)
    Also in FMG Discussion Papers, Financial Markets Group (2004) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads

    See also Journal Article in Review of Financial Studies (2009)

2006

  1. Consistent Measures of Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
  2. Equilibrium Asset Pricing with Systemic Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (3)
    See also Journal Article in Economic Theory (2008)

2004

  1. (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
    FMG Discussion Papers, Financial Markets Group Downloads

2003

  1. On time-scaling of risk and the square–root–of–time rule
    FMG Discussion Papers, Financial Markets Group Downloads
    See also Journal Article in Journal of Banking & Finance (2006)

2002

  1. Rational Asset Pricing Implications from Realistic Trading Frictions
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    See also Journal Article in The Journal of Business (2005)

2001

  1. Asset Price Dynamics with Value-at-Risk Constrained Traders
    FMG Discussion Papers, Financial Markets Group Downloads View citations (9)
  2. On Physics and Finance
    FMG Special Papers, Financial Markets Group Downloads
  3. Rational Limits to Arbitrage
    FMG Discussion Papers, Financial Markets Group Downloads View citations (3)
  4. What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (19)

1999

  1. Arbitrage and Endogenous Market Integration
    FMG Discussion Papers, Financial Markets Group Downloads View citations (7)

Journal Articles

2009

  1. Strategic Financial Innovation in Segmented Markets
    Review of Financial Studies, 2009, 22, (8), 2941-2971 Downloads View citations (13)
    See also Working Paper (2007)

2008

  1. Equilibrium asset pricing with systemic risk
    Economic Theory, 2008, 35, (2), 293-319 Downloads View citations (18)
    See also Working Paper (2006)

2006

  1. Endogenous market integration, manipulation and limits to arbitrage
    Journal of Mathematical Economics, 2006, 42, (3), 301-314 Downloads View citations (6)
  2. On time-scaling of risk and the square-root-of-time rule
    Journal of Banking & Finance, 2006, 30, (10), 2701-2713 Downloads View citations (42)
    See also Working Paper (2003)

2005

  1. Highwaymen or heroes: Should hedge funds be regulated?: A survey
    Journal of Financial Stability, 2005, 1, (4), 522-543 Downloads View citations (7)
  2. Rational Asset Pricing Implications from Realistic Trading Frictions
    The Journal of Business, 2005, 78, (3), 871-892 Downloads
    See also Working Paper (2002)

2004

  1. A general equilibrium analysis of strategic arbitrage
    Journal of Mathematical Economics, 2004, 40, (8), 923-952 Downloads View citations (9)
  2. The impact of risk regulation on price dynamics
    Journal of Banking & Finance, 2004, 28, (5), 1069-1087 Downloads View citations (93)

Chapters

2012

  1. Endogenous and Systemic Risk
    A chapter in Quantifying Systemic Risk, 2012, pp 73-94 Downloads View citations (12)
 
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