N°15-66: Option Market Trading Activity and the Estimation of the Pricing Kernel A Bayesian Approach
G. Barone-Adesi, N. Fusari, C. Sala, A. Mira
Working Papers
8. Sept. 2015
N°15-62: Secular Bipolar Growth Rate of the Real US GDP per Capita: Implications for Understanding Past and Future Economic Growth, S. C. Lera and D. Sornette, 2015.
D. Sornette, S. C. Lera
Working Papers
7. Sept. 2015
N°15-61: An Anatomy of the Market Return, P. Schneider, 2015.
P. Schneider
Working Papers
5. Sept. 2015
N°15-60: Divergence and the Price of Uncertainty, P. Schneider and F. Trojani, 2015.
P. Schneider, F. Trojani
Working Papers
1. Sept. 2015
N°15-59: Herding and Stochastic Volatility, W. Farkas, C. Necula, and B. Waelchli, 2015.
W. Farkas, C. Necula, and B. Waelchli
Working Papers
25. Juni 2015
N°15-58: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set, G. Barone-Adesi, and C. Sala, 2015.
G. Barone-Adesi, C. Sala
Working Papers
21. Juni 2015
N°15-57: Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?, G. Demos, D. Sornette, and Q. Zhang, 2015.
D. Sornette, G. Demos and Q. Zhang
Working Papers
17. Juni 2015
N°15-56: Statistical Testing of DeMark Technical Indicators on Commodity Futures, D. Daly, M. Lissandrin, and D. Sornette, 2015.
D. Sornette, D. Daly, M. Lissandrin
Working Papers
15. Juni 2015
N°15-58: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set, C. Sala, G. Barone-Adesi, 2015.
G. Barone-Adesi, C. Sala
Working Papers
13. Juni 2015
N°15-55: Informed Trading in the Stock Market and Option Price Discovery, P. Collin-Dufresne, V. Fos, and D. Muravyev, 2015.
P. Collin-Dufresne, V. Fos, and D. Muravyev
Working Papers
13. Juni 2015
N°15-54: A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing, W. Farkas, E. Gourier, R. Huitema, and C. Necula, 2015.
W. Farkas, E. Gourier, R. Huitema, and C. Necula
Working Papers
11. Juni 2015
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