Nº 20-03: The Valuation of Insurance Liabilities: A Framework Based on First Principles
A. Bergesio, P. Koch-Medina, P. Huber, L. Wilhelmy
Working Papers
14 jan. 2020
Nº 20-02: Unintended Consequences of the Global Derivatives Market Reform
S. Ongena, P. Gandré, M. Mariathasan, O. Merrouche
Working Papers
13 jan. 2020
Nº 20-01: A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
O. Scaillet, D. La Vecchia, A. Moor
Working Papers
7 jan. 2020
Nº 19-80: Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning
J. Teichmann, H. Buehler, L. Gonon, B. Wood, B. Mohan, J. Kochems
Working Papers
27 déc. 2019
Nº 19-79: Can Corporate Debt Foster Innovation and Growth?
E. Morellec, T. Geelen, J. Hajda
Working Papers
27 déc. 2019
Nº 19-78: Optimal Financing with Tokens
E. Morellec, S. Gryglewicz, S. Mayer
Working Papers
27 déc. 2019
Nº 19-77: Testing Market Efficiency With the Pricing Kernel
G. Barone-Adesi, C. Sala
Working Papers
27 déc. 2019
Nº 19-76: Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
W. Farkas, L. Mathys, N. Vasiljevic
Working Papers
26 déc. 2019
Nº 19-75: Implied Volatility Changes and Corporate Bond Returns
A. Goyal, J. Cao, X. Xiao, X. Zhan
Working Papers
26 déc. 2019
Nº 19-74: Option Trading and Stock Price Informativeness
A. Goyal, J. Cao, S. Ke, X. Zhan
Working Papers
26 déc. 2019
Nº 19-73: Dissecting the Yield Curve: The International Evidence
A. Plazzi, A. Berardi
Working Papers
26 déc. 2019
Nº 19-72: The Asset Reallocation Channel of Quantitative Easing. The Case of the UK
S. Ongena, S. Giansante, M. Fatouh
Working Papers
26 déc. 2019
Nº 19-71: Efficiency Convergence in Islamic and Conventional Banks
S. Ongena, M. Izzeldin, J. Johnes, V. Pappas, M. Tsionas
Working Papers
26 déc. 2019
Nº 19-70: Gender, Credit, and Firm Outcomes
S. Ongena, M. D. Delis, I. Hasan, M. Iosifidi
Working Papers
26 déc. 2019
Nº 19-69: Liquidity, Volume, and Order Imbalance Volatility
P. Collin-Dufresne, V. Bogousslavsky
Working Papers
24 déc. 2019