N°15-53: A General Closed Form Option Pricing Formula, C. Necula, G. Drimus, and W. Farkas, 2015.
W. Farkas, C. Necula, G. Drimus
Working Papers
8. Juni 2015
N°15-52: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging, S. Hermann and J. Muhle-Karbe, 2015.
S. Hermann and J. Muhle-Karbe
Working Papers
7. Juni 2015
N°15-51: Liquidity Management in Banking: What is the Role of Leverage?, Q.-A. Vo, 2015.
Q.-A. Vo
Working Papers
4. Juni 2015
N°15-50: Conditioning the Information in Portfolio Optimization, G. Barone-Adesi and C. Sala, 2015.
G. Barone-Adesi, C. Sala
Working Papers
1. Juni 2015
N°15-49: Leverage and Risk Taking, S. Moreno-Bromberg and G. Roger, 2015.
S. Moreno-Bromberg and G. Roger
Working Papers
27. Mai 2015
N°15-48: Has the Pricing of Stocks Become More Global?, I. Petzev, A. Schrimpf, and A. F. Wagner, 2015.
A. Wagner, I. Petzev, A. Schrimpf
Working Papers
21. Mai 2015
N°15-47: Average Skewness Matters, E. Jondeau, Q. Zhang and X. Zhu, 2015.
E. Jondeau, Q. Zhang and X. Zhu
Working Papers
17. Mai 2015
N°15-46: The Impact of Treasury Supply on Financial Sector Lending and Stability, A. Krishnamurthy and A. Vissing-Jorgensen, 2015.
A. Krishnamurthy and A. Vissing-Jorgensen
Working Papers
14. Mai 2015
N°15-45: VaR and CVaR Implied in Option Prices, G. Barone-Adesi, 2015.
G. Barone-Adesi
Working Papers
12. Mai 2015
N°15-44: Optimal Rebalancing Frequencies for Multidimensional Portfolios, I. Erken, R. Liu and J. Muhle-Karbe, 2015.
I. Erken, R. Liu and J. Muhle-Karbe
Working Papers
10. Mai 2015
N°15-43: Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities, D. Sornette, Qun Zhang, and Qunzhi Zhang, 2015.
D. Sornette, Qun Zhang, and Qunzhi Zhang
Working Papers
8. Mai 2015
N°15-42: What Affects Children's Outcomes: House Characteristics or Homeownership?, S. C. Bourassa, D. R. Haurin, and M. Hoesli, 2015.
M. Hoesli, S. C. Bourassa, D. R. Haurin
Working Papers
6. Mai 2015
N°15-41: Liquidity, Innovation, and Endogenous Growth, S. Malamud and F. Zucchi, 2015.
S. Malamud, F. Zucchi
Working Papers
3. Mai 2015
N°15-40: Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment, P. Krüger, 2015.
P. Krüger
Working Papers
1. Mai 2015
N°15-39: Patent Success, Patent Holdup, and the Structure of Property Rights
H. Hau, H. Geng and S. Lai
Working Papers
25. Apr. 2015