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Publications

Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps of Swaptions

M. Leippold, J. Stromberg
Academic Publications
1 Jan. 2014
Upcoming

The Volatility-Confined LPPL Model: A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals

D. Sornette, L. Lin, R. Ren
Academic Publications
1 Jan. 2014
Upcoming

The Swaption Cube

A. Trolle, E. Schwartz
Academic Publications
1 Jan. 2014
Upcoming

The Executive Turnover Risk Premium

A. Wagner, F. Peters
Academic Publications
1 Jan. 2014
Upcoming

The Exchange Rate Effect of Multi-Currency Arbitrage

H. Hau
Academic Publications
1 Jan. 2014

The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight

M. Hoesli, E. Liljeblom and A. Löflund
Academic Publications
1 Jan. 2014
Upcoming

The Dispersion Effect in International Stock Returns

M. Leippold, H. Lohre
Academic Publications
1 Jan. 2014
Upcoming

Super-linear Scaling of Offsprings at Criticality in Branching Processes

D. Sornette, D. Sornette
Academic Publications
1 Jan. 2014
Upcoming

Strategic Default, Debt Structure, and Stock Returns

P. Valta
Academic Publications
1 Jan. 2014
Upcoming

Statistics and Quantitative Risk Management for Banking and Insurance

P. Embrechts, M. Hofert
Academic Publications
1 Jan. 2014

Simulating Security Returns: A Filtered Historical Simulation Approach

Practitioners in risk management are familiar with the use of the FHS (filtered historical simulatio...
G. Barone-Adesi
Books
1 Jan. 2014

Self-organization in Complex Systems as Decision Making

D. Sornette, V.I. Yukalov
Academic Publications
1 Jan. 2014
Upcoming

Role of Information in Decision Making of Social Agents, with V.I. Yukalov, International Journal of Information Technology & Decision Making

D. Sornette, V.I. Yukalov
Academic Publications
1 Jan. 2014
Upcoming

Robust Hedging with Proportional Transaction Costs

H. Soner, Y. Dolinsky
Academic Publications
1 Jan. 2014
Upcoming

Risk Preferences Around the World

T. Hens, M.O. Rieger, M. Wang
Academic Publications
1 Jan. 2014
Upcoming

Dr. Cyril Pasche

Senior Director Publications and Topic Development

Sarah Frigg

Program Manager Knowledge Exchange and Education

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Swiss Finance Institute - Geneva

University of Geneva
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E-mail: research@sfi.ch
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Swiss Finance Institute - Zurich

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Phone: +41 44 254 30 80
E-mail: info@sfi.ch

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