Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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16-05: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Ozdemir and I. Hakan Yetkiner

16-04: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Maximilian Adelmann, Lucio FERNANDEZ Arjona, Janos Mayer and Karl Schmedders

16-03: Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles

Maximilian Seyrich and Didier Sornette

16-02: Economically Consistent Valuations and Put-Call Parity

Martin Herdegen and Martin Schweizer

16-01: Measuring House Price Bubbles

Steven Bourassa, Martin Hoesli and Elias Oikarinen

15-68: Financial Conglomerate Affiliation and Hedge Funds’ Countercyclical Risk Taking

Francesco A. Franzoni and Mariassunta Giannetti

15-67: The Granular Nature of Large Institutional Investors

Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov

15-66: Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?

Carlo Sala

15-65: How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?

Matthias Efing, Ruediger Fahlenbrach, Christoph Herpfer and Philipp Krüger

15-64: Leverage and Risk Taking

Santiago Moreno-BROMBERG and Guillaume Roger

15-63: Countercyclical Foreign Currency Borrowing: Eurozone Firms in 2007-2009

Philippe Bacchetta and Ouarda Merrouche

15-62: Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth

Sandro Claudio Lera and Didier Sornette

15-61: An Anatomy of the Equity Premium

Paul Schneider

15-60: Divergence and the Price of Uncertainty

Paul Schneider and Fabio Trojani

15-59: Herding and Stochastic Volatility

Walter Farkas, Ciprian Necula and Boris Waelchli

15-58: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set

Carlo Sala and Giovanni Barone-Adesi

15-57: Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?

Guilherme Demos, Qunzhi Zhang and Didier Sornette

15-56: Statistical Testing of DeMark Technical Indicators on Commodity Futures

Marco Lissandrin, Donnacha Daly and Didier Sornette

15-55: Informed Trading and Option Prices: Evidence from Activist Trading

Pierre Collin-Dufresne, Vyacheslav Fos and Dmitriy Muravyev

15-54: A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Ciprian Necula, Elise Gourier, Robert Huitema and Walter Farkas

15-53: A General Closed Form Option Pricing Formula

Ciprian Necula, Gabriel G. Drimus and Walter Farkas

15-52: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Sebastian Herrmann and Johannes Muhle-Karbe

15-51: Liquidity Management in Banking: What is the Role of Leverage?

Quynh-Anh Vo

15-50: Conditioning the Information in Portfolio Optimization

Carlo Sala and Giovanni Barone-Adesi

15-49: Leverage and Risk Taking

Santiago Moreno-Bromberg and Guillaume Roger

15-48: Has the Pricing of Stocks Become More Global?

Ivan Petzev, Andreas Schrimpf and Alexander Wagner

15-47: Average Skewness Matters!

Eric Jondeau and Qunzi Zhang

15-46: The Impact of Treasury Supply on Financial Sector Lending and Stability

Arvind Krishnamurthy and Annette Vissing-Jorgensen

15-45: VaR and CVaR Implied in Option Prices

Giovanni Barone-Adesi

15-44: Optimal Rebalancing Frequencies for Multidimensional Portfolios

Johannes Muhle-Karbe, Ibrahim Ekren and Ren Liu

15-43: Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun Zhang, Qunzhi Zhang and Didier Sornette

15-42: What Affects Children's Outcomes: House Characteristics or Homeownership?

Steven Bourassa, Donald Haurin and Martin Hoesli

15-41: Liquidity, Innovation, And Endogenous Growth

Semyon Malamud and Francesca Zucchi

15-40: Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment

Philipp Krüger

15-39: Technological Progress and Ownership Structure

Heng Geng, Harald Hau and Sandy Lai

15-38: A Result on Integral Functionals with Infinitely Many Constraints

Tahir Choulli and Martin Schweizer

15-37: A Dynamic Equilibrium Model of ETFs

Semyon Malamud

15-36: The Price of the Smile and Variance Risk Premia

Peter H. Gruber, Claudio Tebaldi and Fabio Trojani

15-35: Information and Inventories in High-Frequency Trading

Johannes Muhle-Karbe and Kevin Webster

15-34: Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Mario V. Wuthrich and Michael Merz

15-33: Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics

Sandro Claudio Lera and Didier Sornette

15-32: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Didier Sornette, Guilherme Demos, Zhang Qun, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang

15-31: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Didier Sornette, Guilherme Demos, Qun Zhang, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang

15-30: The Acceleration Effect and Gamma Factor in Asset Pricing

Diego Ardila-Alvarez, Zalàn Forrò and Didier Sornette

15-29: Size and Momentum Profitability in International Stock Markets

Peter S. Schmidt, Urs von Arx, Andreas Schrimpf, Alexander Wagner and Andreas Ziegler

15-28: Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings

Spencer Wheatley and Didier Sornette

15-27: Sensitivity of Optimal Consumption Streams

Martin Herdegen and Johannes Muhle-Karbe

15-26: Consistent Re-Calibration in Yield Curve Modeling: An Example

Mario V. Wuthrich

15-25: Does Market Irrationality in the Media Affect Stock Returns?

Rajna GIBSON Brandon, Christopher Hemmens and Mathieu Trépanier

15-24: Collateralization, Leverage, and Stressed Expected Loss

Eric Jondeau and Amir Khalilzadeh