How Scenario Aggregation Can Improve Risk Management
D. Filipović, M. Cambou
Roundups
1 juil 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 juin 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 juin 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 juin 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 juin 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 juin 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 juin 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 juin 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 juin 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 juin 2015
N°15-51: Liquidity Management in Banking: What is the Role of Leverage?, Q.-A. Vo, 2015.
Q.-A. Vo
Working Papers
4 juin 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 juin 2015
N°15-49: Leverage and Risk Taking, S. Moreno-Bromberg and G. Roger, 2015.
S. Moreno-Bromberg and G. Roger
Working Papers
27 mai 2015
N°15-48: Has the Pricing of Stocks Become More Global?, I. Petzev, A. Schrimpf, and A. F. Wagner, 2015.
A. Wagner, I. Petzev, A. Schrimpf
Working Papers
21 mai 2015