N°15-28: Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings, D. Sornette and S. Wheatley, 2015.
D. Sornette, S. Wheatley
Working Papers
20 mars 2015
N°15-27: Sensitivity of Optimal Consumption Streams, M. Herdegen and J. Muhle-Karbe, 2015.
M. Herdegen and J. Muhle-Karbe
Working Papers
19 mars 2015
N°15-26: Consistent Re-Calibration in Yield Curve Modeling: An Example, M. Wüthrich, 2015.
M. Wüthrich
Working Papers
17 mars 2015
N°15-25: Does Market Irrationality in the Media Affect Stock Returns?, R. Gibson Brandon, C. Hemmens, and M. Trépanier, 2015.
R. Gibson Brandon, C. Hemmens, and M. Trépanier
Working Papers
14 mars 2015
N°15-24: Collateralization, Leverage, and Stressed Expected Loss, E. Jondeau and A. Khalilzadez, 2015.
E. Jondeau, A. Khalilzadez
Working Papers
11 mars 2015
N°15-23: High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation, J. Rojcek and A. Ziegler, 2015.
J. Rojcek and A. Ziegler
Working Papers
10 mars 2015
N°15-22: Nonparametric Empirical Evidence for Krugman’s Target Zone Model, S. C. Lera and D. Sornette, 2015.
D. Sornette, S. C. Lera
Working Papers
9 mars 2015
N°15-21: Agency Conflicts Around the World, E. Morellec, B. Nikolov, and N. Schürhoff, 2015
E. Morellec, B. Nikolov, N. Schürhoff
Working Papers
5 mars 2015
N°15-20: Uniqueness of Equilibrium in a Payment System with Liquidation Costs, H. Amini, D. Filipovic, and A. Mincaz, 0215.
D. Filipović, H. Amini and A. Mincaz
Working Papers
1 mars 2015
N°10-18: Managerial Incentives to Take Asset Risk
A. Wagner, M. Chesney, J. Stromberg, V. Wolff
Working Papers
1 mars 2015
N°15-19: Hedging with Small Uncertainty Aversion, S. Herrmann, J. Muhle-Karbe, and F. T. Seifried, 2015.
S. Herrmann, J. Muhle-Karbe, and F. T. Seifried
Working Papers
25 fév. 2015
N°15-18: Human Capital and Employment Risks Diversification, P. St.-Amour, 2015.
P. St-Amour
Working Papers
21 fév. 2015
N°15-17: Portfolio Selection with Active Risk Monitoring, M. S. Paolella and P. Polak, 2015.
M. Paolella, P. Polak
Working Papers
19 fév. 2015
N°15-16: Evolutionary Behavioural Finance, I. Evstigneev, T. Hens, and K. R. Schenk-Hoppé, 2015.
T. Hens, K. R. Schenk-Hoppé
Working Papers
16 fév. 2015
N°15-15: Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales, T. Choulli and M. Schweizer, 2015.
M. Schweizer, T. Choulli
Working Papers
13 fév. 2015