Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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 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