N°15-60: Divergence and the Price of Uncertainty, P. Schneider and F. Trojani, 2015.
P. Schneider, F. Trojani
Working Papers
1 Sept. 2015
Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments.
S. Ongena, G. Jiménez, J.-L. Peydro, and J. S. Salas
Academic Publications
8 Aug. 2015
Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments.
S. Ongena, G. Jiménez, J.-L. Peydró, and J. Saurina
Academic Publications
8 Aug. 2015
Have Pre-Crisis Levels of Risk Returned in US Structured Products?
Ch. L. Culp, J. P. Forrester
Roundups
1 Aug. 2015
How Scenario Aggregation Can Improve Risk Management
D. Filipović, M. Cambou
Roundups
1 July 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 June 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 June 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 June 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 June 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 June 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 June 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 June 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 June 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 June 2015