Nº 20-11: Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing
W. Farkas, L. Mathys
Working Papers
12 March 2020
Nº 20-10: Deep Learning, Jumps, and Volatility Bursts
O. Bashchenko, A. Marchal
Working Papers
11 March 2020
Nº 20-09: How Integrated Are Corporate Bond and Stock Markets?
P. Sandulescu
Working Papers
9 March 2020
Nº 20-08: Deep Learning for Asset Bubbles Detection
O. Bashchenko, A. Marchal
Working Papers
6 March 2020
Nº 20-07: Flooded Through the Back Door: The Role of Bank Capital in Local Shock Spillovers
S. Ongena, O. Rehbein
Working Papers
2 March 2020
Nº 20-06: An Investigation of the Synchronization in Global House Prices
M. Hoesli
Working Papers
27 Feb. 2020
Nº 20-05: Rational Belief Bubbles
D. Sornette, H.-U. Sohn
Working Papers
3 Feb. 2020
Nº 20-04: Systemic Risk in Networks with a Central Node
D. Filipović, H. Amini, A. Minca
Working Papers
23 Jan. 2020
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 Dec. 2019
Nº 19-79: Can Corporate Debt Foster Innovation and Growth?
E. Morellec, T. Geelen, J. Hajda
Working Papers
27 Dec. 2019
Nº 19-78: Optimal Financing with Tokens
E. Morellec, S. Gryglewicz, S. Mayer
Working Papers
27 Dec. 2019
Nº 19-77: Testing Market Efficiency With the Pricing Kernel
G. Barone-Adesi, C. Sala
Working Papers
27 Dec. 2019