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Publications

The Extra Cost of Swiss Banking Regulation

Examination of the extra costs incurred due to the Swiss banking regulations that came into force in...
J. Rochet
Études pour praticiens
1 fév. 2014

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

F. Trojani, A. Buraschi and A. Vedolin
Academic Publications
1 jan. 2014
Upcoming

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

F. Trojani, A. Buraschi, R. Kosowski
Academic Publications
1 jan. 2014
Upcoming

Valuing Lead Time

N. Schürhoff, S. de Treville, I. Bicer, V. Chavez-Demoulin, V. Hagspiel, C. Tasserit, and S. Wager
Academic Publications
1 jan. 2014
Upcoming

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
Livres
1 jan. 2014

Dr. Cyril Pasche

Senior Director Publications and Topic Development

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