FAME Research Paper Series

Continued by Swiss Finance Institute Research Paper Series.

From International Center for Financial Asset Management and Engineering
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal (rps@sfi.ch).

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rp62: Integrated Market and Credit Risk Management of Fixed Income Portfolios

Roger Walder

rp61: A Framework for Collateral Risk Control Determination

Didier Cossin, Zhijiang Huang, Daniel Aunon-Nerin and Fer nando González

rp60: Optimal Dynamic rading Strategies with Risk Limits

Domenico Cuoco, Hua He and Sergei Issaenko

rp59: Implicit Forward Rents as Predictors of Future Rents

Peter Englund, Åke Gunnelin, Martin Hoesli and Bo Söderberg

rp58: Do Housing Submarkets Really Matter?

Steven Bourassa, Martin Hoesli and Vincent S. Peng

rp57: Nonparametric Estimation of Copulas for Time Series

Jean-David Fermanian and Olivier Scaillet

rp56: Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures

Roger Walder

rp55: Option Pricing with Discrete Rebalancing

Jean-Luc Prigent, Olivier Renault and Olivier Scaillet

rp54: The Determinants of Stock Returns in a Small Open Economy

Séverine Cauchie, Martin Hoesli and Dusan Isakov

rp53: Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

Christophe Pérignon and Christophe Villa

rp52: Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

Christophe Pérignon and Christophe Villa

rp51: Cannibalization & Incentives in Venture Financing

Stefan Arping

rp50: What Factors Determine International Real Estate Security Returns?

Foort Hamelink and Martin Hoesli

rp49: Playing Hardball: Relationship Banking in the Age of Credit Derivatives

Stefan Arping

rp48: A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Markus Leippold, Fabio Trojani and Paolo Vanini

rp47: Why does Implied Risk Aversion Smile?

Alexandre Ziegler

rp46b: Optimal Investment With Default Risk

Yuanfeng Hou and Xiangrong Jin

rp45: Market Dynamics Around Public Information Arrivals

Angelo Ranaldo

rp44: Nonparametric Tests Dependence For Positive Quadrant

Michel Denuit and Olivier Scaillet

rp43: Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling

Michael Westphalen

rp42: Liquidity and Credit Risk

Jan Ericsson and Olivier Renault

rp41: Testing for Concordance Ordering

Ana C. Cebrián, Michel Denuit and Olivier Scaillet

rp40: Immunization of Bond Portfolios: Some New Results

Olivier de LA GRANDVILLE

rp39: Weak Convergence of Hedging Strategies of Contingent Claims

Jean-Luc Prigent and Olivier Scaillet

rp38: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Manfred Gilli and Peter Winker

rp37: How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods

Laurent Barras, and Dusan Isakov

rp36: Coping with Credit Risk

Henri Loubergé and Harris Schlesinger

rp35: Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001

Foort Hamelink,, Hélène Harasty and Pierre Hillion

rp34: Variable Selection for Portfolio Choice

Yacine Ait-Sahalia and Michael W. Brandt

rp33: The Characteristics of Individual Analysts' Forecasts in Europe

Guido Bolliger,

rp32: Portfolio Diversification: Alive and Well in Euroland!

Kpaté Adjaoute and Jean-Pierre Danthine

rp31: EMU and Portfolio Diversification Opportunities

Kpate Adjaouté, and Jean-Pierre Danthine

rp30: Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing

Evis Këllezi, and Giorgio Pauletto

rp29: Liquidation Risk

Alexandre Ziegler and Darrell Duffie

rp28: Defaultable Security Valuation and Model Risk

Aydin Akgun,

rp27: On Swiss Timing and Selectivity: In the Quest of Alpha

François-Serge Lhabitant

rp26: Hedging Housing Risk

Peter Englund, Min Hwang and John Quigley

rp25: An Incentive Problem in the Dynamic Theory of Banking

Ernst-Ludwig von Thadden

rp24: Assessing Market Risk for Hedge Funds Portfolios

François-Serge Lhabitant

rp23: On the Informational Content of Changing Risk for Dynamic Asset Allocation

Giovanni Barone-Adesi, Patrick Gagliardini and Fabio Trojani

rp22: The Long-run Performance of Seasoned Equity Offerings with rights evidence from the Swiss Market

Michel Dubois and Pierre Jeanneret

rp21: Optimal International Diversification: Theory and Practice from a Swiss Investor’s Perspective

Foort Hamelink

rp20: A Heuristic Approach to Portfolio Optimization

Manfred Gilli and Evis Këllezi

rp19: Banking, Commerce, and Antitrust¤

Stefan Arping

rp18: Extreme Value Theory for Tail-Related Risk Measures

Evis Këllezi and Manfred Gilli

rp17: International CAPM with Regime Switching GARCH Parameters

Lorenzo Cappiello and Tom A. Fearnley

rp16: Prospect Theory and Asset Prices

Nicholas Barberis, Ming Huang and Tano Santos

rp15: Evolution of Market Uncertainty around Earnings Announcements

Dusan Isakov and Christophe Perignon

rp14: Credit Spread Specification and the Pricing of Spread Options

Nicolas Mougeot

rp13: European Financial Markets After EMU: A First Assessment

Jean-Pierre Danthine, Francesco Giavazzi and Ernst-Ludwig von Thadden

rp11: Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

George Chacko and Luis Viceira

rp10: Assessing Asset Pricing Anomalies

Michael J. Brennan and Yihong Xia

rp9: Recovery Risk in Stock Returns

Aydin Akgun and Rajna Gibson

rp8: Option Pricing and Replication with Transaction Costs and Dividends

Stylianos Perrakis and Jean Lefoll

rp7: Optimal Catastrophe Insurance with Multiple Catastrophes

Henri Loubergé and Harris Schlesinger

rp6: Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse

Foort Hamelink

rp5: Who Should Buy Long-Term Bonds?

John Campbell and Luis Viceira

rp4: Capital Asset Pricing Model and Changes in Volatility

Andre Santos

rp3: Real Options as a Tool in the Decision to Relocate: An Application to the Banking Industry

Pascal Botteron

rp2: Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?

Dusan Isakov and Marc Hollistein

rp1: Enhancing Portfolio Performance Using Option Strategies: Why Beating the Market is Easy

François-Serge Lhabitant