Banks and Bonds: The Impact of Bank Loan Announcements on Bond and Equity Prices
S. Ongena, V. Roscovan, W. L. Song, and B. Werker
Academic Publications
1 Jan. 2014
Upcoming
Asset Pricing with Nonlinear Risk Premia
P. Schneider, A. Mijatovic
Academic Publications
1 Jan. 2014
Upcoming
Asset Demand Based Tests of Expected Utility Maximization
F. Kübler, L. Selden, and X. Wei
Academic Publications
1 Jan. 2014
Approximating Stochastic Volatility by Recombinant Trees
H. Soner, E. Akyildirim, Y. Dolinsky
Academic Publications
1 Jan. 2014
Upcoming
An Academic Response to Basel 3.5
P. Embrechts, G. Puccetti, L. Rüschendorf, R. Wang and A. Beleraj
Academic Publications
1 Jan. 2014
Aggregation of Log-Linear Risks, Celebrating 40 Years of the Applied Probability Trust
P. Embrechts, E. Hashorva and T. Mikosch
Academic Publications
1 Jan. 2014
Upcoming
A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
D. Sornette, A. Saichev
Academic Publications
1 Jan. 2014
Upcoming
A Note on the Condition of No Unbounded Profit with Bounded Risk
M. Schweizer, K. Takaoka
Academic Publications
1 Jan. 2014
Upcoming
A Heat Kernel Approach to Interest Rate Models
J. Teichmann, J. Akahori, Y. Hishida and T. Tsuchiya
Academic Publications
1 Jan. 2014
Upcoming
1980-2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future, with P. Cauwels, Risks
D. Sornette, P. Cauwels
Academic Publications
1 Jan. 2014
Upcoming
Nº 13-33: Capital Levels and Risk-Taking Propensity in Financial Institutions
G. Barone-Adesi, W. Farkas, P. Koch-Medina
Working Papers
27 May 2013
Nº 13-10: What Constrains Liquidity Provision? Evidence From Institutional Trades
F. Franzoni, A. Plazzi, E. Cötelioglu
Working Papers
26 March 2013
The Term Structure of Interbank Risk
D. Filipović, A. Trolle
Academic Publications
1 Jan. 2013
Upcoming
Realizing Smiles: Options Pricing with Realized Volatility
F. Corsi, N. Fusari, and D. La Vecchia
Academic Publications
1 Jan. 2013
Upcoming
Real Effects of Stock Underpricing
H. Hau, S. Lai
Academic Publications
1 Jan. 2013
Upcoming