N°18-44: Valuing Supply-Chain Responsiveness under Demand Jumps, I. Bicer, V. Hagspiel and S. de Treville, 2018.
S. de Treville , I. Bicer, V. Hagspiel
Working Papers
13. Feb. 2018
N°18-43: Liquidity Regimes and Optimal Dynamic Asset Allocation, P. Collin-Dufresne, K. Daniel, and M. Saglam, 2018.
P. Collin-Dufresne, K. Daniel, and M. Saglam
Working Papers
12. Feb. 2018
N°18-42: Activism, Strategic Trading, and Liquidity, P. Collin-Dufresne, K. Black, V. Fos, T. Li, and A. Ljungqvist 2018.
P. Collin-Dufresne, K. Black, V. Fos, T. Li, and A. Ljungqvist
Working Papers
11. Feb. 2018
N°18-41: Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch, P. Collin-Dufresne, V. Bogousslavsky and M. Saglam, 2018.
P. Collin-Dufresne, V. Bogousslavsky, M. Saglam
Working Papers
10. Feb. 2018
N°18-40: Market Structure and Transaction Costs of Index Cdss, P. Collin-Dufresne, B. Junge and A. Trolle, 2018.
P. Collin-Dufresne, B. Junge, A. Trolle
Working Papers
9. Feb. 2018
N°18-39: Conditional Davis Pricing, K. Larsen, H. Mete Soner and G. Zitkovic, 2018.
H. Soner, K. Larsen, G. Zitkovic
Working Papers
8. Feb. 2018
N°18-38: How Real Estate Booms Hurt Small Firms: Evidence on Investment Substitution
H. Hau, D. Ouyang
Working Papers
7. Feb. 2018
N°18-37: The Term Structure of Equity and Variance Risk Premia, Y. Aït-Sahalia, M. Karaman and L. Mancini, 2018.
L. Mancini, Y. Aït-Sahalia, M. Karaman
Working Papers
6. Feb. 2018
N°18-36: Levered Returns and Capital Structure Imbalances, F. Ippolito, R. Steri and C. Tebaldi, 2018.
R. Steri, F. Ippolito, C. Tebaldi
Working Papers
5. Feb. 2018
N°18-35: Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis, V. Acharya, D. Pierret and S. Steffen, 2018.
D. Pierret, V. Acharya, S. Steffen
Working Papers
4. Feb. 2018
N°18-34: Polynomial processes for power prices, D. Filipovic, M. Larsson and T. Ware, 2018.
D. Filipović, M. Larsson, T. Ware
Working Papers
3. Feb. 2018
N°18-33: On Randomized Reinsurance Contracts, H. Albrecher and A. Cani, 2018.
H. Albrecher, A. Cani
Working Papers
2. Feb. 2018
N°18-32: Dividends: From Refracting to Ratcheting, H. Albrecher, N. Bäuerle, and M. Bladt, 2018.
H. Albrecher, N. Bäuerle, M. Bladt
Working Papers
1. Feb. 2018
N°18-31: The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns
P. Pederzoli
Working Papers
31. Jan. 2018
N°18-30: Dissection of Bitcoin's Multiscale Bubble History, J. C. Gerlach, and D. Sornette, 2018.
D. Sornette, and J. C. Gerlach
Working Papers
30. Jan. 2018