Publications des institutions partenaires
Herding and Stochastic Volatility
In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is non-affine, a…
Institution partenaire
English / 01/01/2015
A General Closed Form Option Pricing Formula
A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for fat-tailed distributions commonly encountered in the study of financial returns. The…
Institution partenaire
English / 01/01/2015
Mathematical Financial Economics - A Basic Introduction
Institution partenaire
English / 01/01/2015
Impact of foreign bank presence on foreign direct investment in China
We analyze the impact of foreign bank presence on foreign direct investment in China. Our estimates demonstrate that foreign direct investment across regions in China is increasing in the existing network of regional branches of foreign banks, which itself is driven (and therefore instrumented) by the timing of the regional phasing out of the local limits for foreign banks on local…
Institution partenaire
English / 01/01/2015
New graphical methods and test statistics for testing composite normality
Several graphical methods for testing univariate composite normality from an i.i.d. sample are presented. They are endowed with correct simultaneous error bounds and yield size-correct tests. As all are based on the empirical CDF, they are also consistent for all alternatives. For one test, called the modified stabilized probability test, or MSP, a highly simplified computational…
Institution partenaire
English / 01/01/2015
Risk preferences around the world
We present results from a large-scale international survey on risk preferences conducted in 53 countries. In all countries, we find, on average, an attitude of risk aversion in gains and of risk seeking in losses. The degree of risk aversion shows significant cross-country differences. Moreover, risk attitudes in our sample depend not only on economic conditions but also on cultural…
Institution partenaire
English / 01/01/2015
On the determinants of household debt maturity choice
This article jointly analyses a behavioural and a cultural concept to explain household debt portfolio choice. The behavioural approach explores the role of time preferences on household debt maturity in a theoretical model and a numerical analysis. We derive a positive relationship between the long-term discount factor δ and the optimal maturity of household loans. The cultural…
Institution partenaire
English / 01/01/2015
Robust estimation of shape-constrained state price density surfaces
Given a theoretical pricing model, an implied volatility can be extracted from an option’s market price. Given a set of options with the same maturity and a range of strike prices, it is possible to extract (an approximation to) the entire risk-neutral probability density without having to assume a theoretical pricing model. There are a variety of related methods to do this, but all…
Institution partenaire
English / 01/01/2015
Measuring risk with multiple eligible assets
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay…
Institution partenaire
English / 01/01/2015
Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance
This thesis considers two main subjects divided in four problems in the broad field of mathematical finance. The first chapter treats option pricing followed by three chapters on the application of the machine learning algorithm of Random Forests to finance, specifically to risk capital aggregation, portfolio optimization and macro stress testing. In all four chapters new…
Institution partenaire
English / 01/01/2015
Risk Assessment and Risk Communication in Theory and Practice
Institution partenaire
English / 01/01/2015
Three Essays in Real Estate and Entrepreneurial Finance
An overwhelmingly large number of research studies in corporate Finance span the basis formed by chiefly three corporate policies - Financial policy (leverage), dividend policy, and investment policy. The two most oft-cited frictions, agency issues and asymmetric information, add complexities to the nexus formed by the policies. My empirical dissertation, "Three essays in real…
Institution partenaire
English / 01/01/2015
Improved Investment Advice Through Risk Simulation
Institution partenaire
English / 01/01/2015
Essays on Arbitrage Pricing Theory and Systemic Risk Modeling
Institution partenaire
English / 01/01/2015
Three Essays on Sustainable Investing in Private Wealth Management: Barriers for Sustainable Investing in the Cognition and Decision Making Processes of Private Wealth Holders and Investment Advisors
Institution partenaire
English / 01/01/2015
Empirical Essays on Risky Assets, Asset Allocation and Emission Certificates
Institution partenaire
English / 01/01/2015
Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft
Institution partenaire
Deutsch / 01/01/2015
A Proximity Based Stress Testing Framework
In this a paper a non-linear macro-stress testing methodology with focus on early warning is developed. The methodology builds on a variant of Random Forests and its proximity measures. It develops a framework in which naturally defined contagion and feedback effects transfer the impact of stressing a relatively small part of the observations on the whole dataset and thus allow to…
Institution partenaire
English / 01/01/2015
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