N°15-38: A Result on Integral Functionals with Infinitely Many Constraints, T. Choulli and M. Schweizer, 2015.
M. Schweizer, T. Choulli
Working Papers
20. Apr. 2015
N°15-37: A Dynamic Equilibrium Model of ETFs, S. Malamud, 2015.
S. Malamud
Working Papers
19. Apr. 2015
N°15-36: The Price of the Smile and Variance Risk Premia, P. H. Gruber, C. Tebaldi, and F. Trojani, 2015.
F. Trojani, P. H. Gruber, C. Tebaldi
Working Papers
17. Apr. 2015
N°15-35: Information and Inventories in High-Frequency Trading, J. Muhle-Karbe and K. Webster, 2015.
J. Muhle-Karbe and K. Webster
Working Papers
13. Apr. 2015
N°15-34: Stochastic Claims Reserving Manual: Advances in Dynamic Modeling, M. V. Wuthrich and M. Merz, 2015.
M. Wüthrich, M. Merz
Working Papers
11. Apr. 2015
N°15-33: Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics, S. Lera and D. Sornette, 2015.
D. Sornette, S. Lera
Working Papers
9. Apr. 2015
N°15-32: Outperforming Naive Diversification Using Stock Level Information, T. Berrada and S. Coupy, 2015.
T. Berrada, S. Coupy
Working Papers
8. Apr. 2015
N°15-31: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash, P. Cauwels, G. Demos, V. Filimonov, D. Sornette, Qun Zhang, and Qunzhi Zhang, 2015.
D. Sornette, P. Cauwels, G. Demos, V. Filimonov, Qun Zhang, and Qunzhi Zhang
Working Papers
5. Apr. 2015
N°15-30: The Acceleration Effect and Gamma Factor in Asset Pricing, D. Ardila-Alvarez, Z. Forro, and D. Sornette, 2015.
D. Sornette, D. Ardila-Alvarez, Z. Forro
Working Papers
1. Apr. 2015
N°15-29: Size and Momentum Profitability in International Stock Markets, P. Schmidt, A. Schrimpf, U. Von Arx, A. F. Wagner, and A. Ziegler, 2015.
A. Wagner, A. Schrimpf, U. Von Arx and A. Ziegler
Working Papers
27. März 2015
N°15-28: Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings, D. Sornette and S. Wheatley, 2015.
D. Sornette, S. Wheatley
Working Papers
20. März 2015
N°15-27: Sensitivity of Optimal Consumption Streams, M. Herdegen and J. Muhle-Karbe, 2015.
M. Herdegen and J. Muhle-Karbe
Working Papers
19. März 2015
N°15-26: Consistent Re-Calibration in Yield Curve Modeling: An Example, M. Wüthrich, 2015.
M. Wüthrich
Working Papers
17. März 2015
N°15-25: Does Market Irrationality in the Media Affect Stock Returns?, R. Gibson Brandon, C. Hemmens, and M. Trépanier, 2015.
R. Gibson Brandon, C. Hemmens, and M. Trépanier
Working Papers
14. März 2015
N°15-24: Collateralization, Leverage, and Stressed Expected Loss, E. Jondeau and A. Khalilzadez, 2015.
E. Jondeau, A. Khalilzadez
Working Papers
11. März 2015