Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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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

15-23: High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Jakub Rojcek and Alexandre Ziegler

15-22: Nonparametric Empirical Evidence for Krugman's Target Zone Model

Sandro Claudio Lera and Didier Sornette

15-21: Agency Conflicts Around the World

Erwan Morellec, Boris Nikolov and Norman Schürhoff

15-20: Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Hamed Amini, Damir Filipovic and Andreea Minca

15-19: Hedging with Small Uncertainty Aversion

Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried

15-18: Human Capital and Employment Risks Diversification

Pascal St-Amour

15-17: Portfolio Selection with Active Risk Monitoring

Marc S. Paolella and Pawel Polak

15-16: Evolutionary Behavioural Finance

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

15-15: Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales

Tahir Choulli and Martin Schweizer

15-14: A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World

Didier Sornette

15-12: Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper

15-11: History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect

Angie Andrikogiannopoulou and Filippos Papakonstantinou

15-10: Central Bank Collateral Frameworks

Kjell Nyborg

15-09: Noisy Arrow-Debreu Equilibria

Semyon Malamud

15-08: Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Markus Leippold and Nikola Vasiljevic

15-07: Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders

Taisei Kaizoji, Matthias Leiss, Alexander I. Saichev and Didier Sornette

15-06: Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices

Yuki Sato

15-05: Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)

Martin Herdegen and Martin Schweizer

15-04: The Shadow Cost of Repos and Bank Liability Structure

Nataliya Klimenko and Santiago Moreno-Bromberg

15-03: Innovation, Delegation, and Asset Price Swings

Yuki Sato

15-02: Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls

Marina Druz, Alexander Wagner and Richard Zeckhauser

15-01: The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms

Rajna GIBSON Brandon, Carmen Tanner and Alexander Wagner

14-74: Liquidation with Self-Exciting Price Impact

Thomas Cayé and Johannes Muhle-Karbe

14-73: Strategic Technology Adoption and Hedging under Incomplete Markets

Markus Leippold and Jacob Stromberg

14-72: High-Resilience Limits of Block-Shaped Order Books

Jan Kallsen and Johannes Muhle-Karbe

14-71: Risk-Adjusted Time Series Momentum

Martin Dudler, Bruno Gmuer and Semyon Malamud

14-70: Bank Capital, Liquid Reserves, and Insolvency Risk

Julien Hugonnier and Erwan Morellec

14-69: Claims Run-Off Uncertainty: The Full Picture

Michael Merz and Mario V. Wuthrich

14-68: Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences

Walt Pohl, Karl Schmedders and Ole Wilms

14-67: Heterogeneity in Decentralized Asset Markets

Julien Hugonnier, Benjamin Lester and Pierre-Olivier Weill

14-66: Fed Funds Futures Variance Futures

Damir Filipovic and Anders B. Trolle

14-65: Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment

Matthias Effing

14-64: Shadow Insurance

Ralph S. J. Koijen and Motohiro Yogo

14-63: To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Hamed Amini, Damir Filipovic and Andreea Minca

14-62: Martingale Optimal Transport in the Skorokhod Space

Yan Dolinsky and Mete Soner

14-61: Facelifting in Utility Maximization

Kasper Larsen, Mete Soner and Gordan Zitkovic