N°17-70: Discriminatory Pricing of Over-The-Counter Derivatives
H. Hau, P. Hoffmann, S. Langfield, Y. Timmer
N°17-69: Asset-Liability Management for Long-Term Insurance Business
H. Albrecher, P. Embrechts, D. Filipović, P. Koch-Medina, J. Wagner, D. Bauer, R. Korn, S. Loisel, A. Pelsser, F. Schiller, H. Schmeis
N°17-68: Corporate Bond Dealers' Inventory Risk and FOMC, A. Ruzza and W. Zurowski, 2017.
A.Ruzza and W. Zurowski
Working Papers
9. März 2017
N°17-67: Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability, A. Ivashchenko, 2017.
A. Ivashchenko
Working Papers
8. März 2017
The Stock Market and the Implications of Trump’s Election
A. Wagner, R. J. Zeckhauser, A. Ziegler
Roundups
7. März 2017
N°17-66: Does Protectionist Anti-Takeover Legislation Lead to Managerial Entrenchment?
M. Frattaroli
Working Papers
7. März 2017
N°17-65: Quantile-based risk sharing with heterogeneous beliefs, P. Embrechts, H. Liu, T. Mao and R. Wang, 2017.
P. Embrechts, H. Liu, T. Mao, R. Wang
Working Papers
6. März 2017
N°17-64: Market Efficiency and Limits to Arbitrage: Evidence from the Volkswagen Short Squeeze
E. Nowak, F. Allen, M. Haas, A.Tengulov
Working Papers
5. März 2017
N°17-63: Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk, E. Pröhl, 2017.
E. Pröhl
Working Papers
4. März 2017
N°17-62: Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes, A. Q. Zhang, 2017.
A. Q. Zhang
Working Papers
3. März 2017
Brokers and Order Flow Leakage: Evidence from Fire Sales
F. Franzoni, A. Barbon, M. Di Maggio, A. Landier
Academic Publications
2. März 2017
N°17-60: Polynomial Jump-Diffusion Models, D. Filipovic and M. Larsson, 2017.
D. Filipović, M. Larsson
Working Papers
1. März 2017
N°17-59: The Tortoise and the Snail: Reconciling the Evidence on Capital Structure Stability, F. Ippolito, S. Sacchetto and R. Steri, 2017.
R. Steri, F. Ippolito, S. Sacchetto
Working Papers
28. Feb. 2017
N°17-57: Asset Pricing with Large Investors, S. Malamud and A.Teguia, 2017.
S. Malamud, A.Teguia
Working Papers
26. Feb. 2017