Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

14-60: Hedging Under an Expected Loss Constraint with Small Transaction Costs

Bruno Bouchard, Ludovic Moreau and Mete Soner

14-59: Asymmetric Beta Comovement and Systematic Downside Risk

Eric Jondeau and Qunzi Zhang

14-58: Optimal Long-Term Allocation with Pension Fund Liabilities

Eric Jondeau and Michael Rockinger

14-57: Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies

Hao Meng, Wei-Xing Zhou and Didier Sornette

14-56: Merger Activity in Industry Equilibrium

Theodosios Dimopoulos and Stefano Sacchetto

14-55: Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Matthias Efing, Harald Hau, Patrick Kampkötter and Johannes Steinbrecher

14-54: Polynomial Preserving Diffusions and Applications in Finance

Damir Filipovic and Martin Larsson

14-53: Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm

Spencer Wheatley, Vladimir Filimonov and Didier Sornette

14-52: Super-Exponential Growth Expectations and the Global Financial Crisis

Matthias Leiss, Heinrich H. Nax and Didier Sornette

14-51: Luck and Entrepreneurial Success

Diego Liechti, Claudio Loderer and Urs Peyer

14-50: Dealer Networks

Dan Li and Norman Schuerhoff

14-49: Are Institutions Informed About News?

Terrence Hendershott, Dmitry Livdan and Norman Schuerhoff

14-48: Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns

Vladimir Filimonov and Didier Sornette

14-47: Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Ines Chaieb, Vihang Errunza and Rajna GIBSON Brandon

14-46: Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology

Lucas Fievet, Zalàn Forro, Peter Cauwels and Didier Sornette

14-45: Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures

Juan V. Escobar and Didier Sornette

14-44: Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland

Diego Ardila, Dorsa Sanadgol, Peter Cauwels and Didier Sornette

14-43: Estimating Aggregate Autoregressive Processes When Only Macro Data are Available

Eric Jondeau and Florian Pelgrin

14-42: A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry

Angie Andrikogiannopoulou and Filippos Papakonstantinou

14-41: Asset Prices with Temporary Shocks to Consumption

Walt Pohl, Karl Schmedders and Ole Wilms

14-40: A Fast, Accurate Method for Value at Risk and Expected Shortfall

Jochen Krause and Marc S. Paolella

14-39: Threat of Entry and Debt Maturity: Evidence from Airlines

Gianpaolo Parise

14-38: Model Uncertainty and Scenario Aggregation

Mathieu Cambou and Damir Filipovic

14-37: Concavity of the Consumption Function with Recursive Preferences

Semyon Malamud

14-36: Price Discovery through Options

Semyon Malamud

14-35: Corporate Saving in Global Rebalancing

Philippe Bacchetta and Kenza Benhima