N°14-67: Heterogeneity in Decentralized Asset Markets, J. Hugonnier, B. Lester, and P.-O. Weill, 2014.
J. Hugonnier, B. Lester, and P.-O. Weill
Working Papers
N°14-66: Fed Funds Futures Variance Futures, D. Filipovic and A. B. Trolle, 2014.
D. Filipović, A. Trolle
Working Papers
N°14-65: Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment, M. Efing, 2014.
N°14-64: Shadow Insurance, R. Koijen and M. Yogo, 2014.
R. Koijen and M. Yogo
Working Papers
N°14-63: To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting, H. Amini, D. Filipovic, and A. Minca, 2014.
D. Filipović, H. Amini, A. Minca
Working Papers
N°14-62: Martingale Optimal Transport in the Skorokhod Space, Y. Dolinsky and H. M. Soner, 2014.
H. Soner, Y. Dolinsky
Working Papers
N°14-61: Facelifting in Utility Maximization, K. Larsen, H. M. Soner, and G. Zitkovic, 2014.
H. Soner, K. Larsen, G. Zitkovic
Working Papers
N°14-60: Hedging Under an Expected Loss Constraint with Small Transaction Costs, B. Bouchard, L. Moreau, and H. M. Soner, 2014.
H. Soner, B. Bouchard, L. Moreau
Working Papers
N°14-59: Asymmetric Beta Comovement and Systematic Downside Risk, E. Jondeau and Q. Zhang, 2014.
E. Jondeau, Q. Zhang
Working Papers
N°14-58: Optimal Long-Term Allocation with Pension Fund Liabilities, E. Jondeau and M. Rockinger, 2014.
E. Jondeau, M. Rockinger
Working Papers
N°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, H. Meng, D. Sornette, and W.-X. Zhou, 2014.
D. Sornette, H. Meng, W.-X. Zhou
Working Papers
N°14-56: Merger Activity in Industry Equilibrium, T. Dimopoulos and S. Sacchetto, 2014.
T. Dimopoulos, S. Sacchetto
Working Papers
N°14-55: Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks, M. Efing, H. Hau, P. Kampkotter, and J. Steinbrecher, 2014.
H. Hau, M. Efing, P. Kampkotter, and J. Steinbrecher
Working Papers
N°14-54: Polynomial Preserving Diffusions and Applications in Finance, D. Filipovic and M. Larsson, 2014.
D. Filipović, M. Larsson
Working Papers
N°14-53: Estimation of the Hawkes Process With Renewal Immigration Using the EM Algorithm , V. Filimonov, D. Sornette, and S. Wheatley, 2014.
D. Sornette, V. Filimonov, S. Wheatley
Working Papers