Publications des institutions partenaires
281 - 300 of 607
What's Beneath the Surface? Option Pricing with Multifrequency Latent States
We introduce a tractable class of non-ane price processes with multifrequency stochastic volatil- ity and jumps. The specications require few xed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and their dynamics with- out…
Institution partenaire
English / 01/01/2013
Is there Swissness in investment competence?
Based on a large international survey we analyze how German- French- and Italian-speaking Swiss differ in their investment decision behavior and competence as compared to their closest neighbors abroad speaking the same language. Although language may be closer to the individual self than the country of residence, we find that there are greater similarities in the decision…
Institution partenaire
English / 01/01/2013
"Know the Competitor, Know Thyself?" First Evidence from Banks in Emerging Europe
How best to measure banking competition? The empirical banking literature typically resorts to well-known concentration measures such as the Herfindahl–Hirschman index, or performance indicators like the Lerner or Boone indexes. While these have their merits, none of them explicitly takes into account that banks may actively compete with some banks but not with others. This chapter…
Institution partenaire
English / 01/01/2013
Corporate leverage and firm-bank relationships: A secular perspective
The depth of the recent financial crisis is often attributed to excessively high leverage of corporations and banks. This column analyses corporate leverage in the long-run, and in particular the shift from bilateral to multilateral firm-bank relationships in the UK. This shift is related to the firms’ use of debt finance, and subsequently to their increased leverage
Institution partenaire
English / 01/01/2013
The transmission of monetary policy through conventional and Islamic banks
Institution partenaire
English / 01/01/2013
Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions
Institution partenaire
English / 01/01/2013
A critique of shareholder value maximization
The majority of academic economists share the view that a corporation should serve the exclusive interests of its shareholders (shareholder value maximization). This view is fi rmly grounded on the extension, by Arrow (1953) and Debreu (1959) of the two welfare theorems to production economies with uncertainty and complete markets. This paper considers a variant of the Arrow-Debreu…
Institution partenaire
English / 01/01/2013
Taming systemically important financial institutions
We model a Systemically Important Financial Institution (SIFI) that is too big (or too interconnected) to fail. Without credible regulation and strong supervision, the shareholders of this institution might deliberately let its managers take excessive risk. We propose a solution to this problem, showing how insurance against systemic shocks can be provided without generating moral…
Institution partenaire
English / 01/01/2013
Three essays on corporate cash policy and financial markets
This dissertation includes three research papers, two of which are empirical studies and one of which illustrates a mechanism through a theoretical model. The first paper focuses on the effect of stock market liquidity on corporate cash holdings. This paper provides empirical evidence that stock market liquidity has a positive impact on cash holdings. The two main competing…
Institution partenaire
English / 01/01/2013
The impact of public information on financial markets
Institution partenaire
English / 01/01/2013
Three essays on corporate finance: Dual class share structure, parmalat fraud, and earnings management and compensation
Institution partenaire
English / 01/01/2013
Affine and quadratic models for volatility and interest rates markets
Institution partenaire
English / 01/01/2013
Essays on voluntary disclosure quality, earnings management and executive compensation
Institution partenaire
English / 01/01/2013
Three essays on contingent capital and information efficiency
Institution partenaire
English / 01/01/2013
Investing in microfinance: an analysis of financial and social returs
Institution partenaire
English / 01/01/2013
Essays on the Pricing and Modeling of Derivatives and Risk-taking Incentives
Institution partenaire
English / 01/01/2013
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams
Institution partenaire
English / 01/01/2013
CRRA utility maximization under risk constraints
The problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies, is the main focus of this paper. Several works in the literature, which deal either with optimal trading under static risk constraints or with VaR{based dynamic risk constraints, are extended. The market model considered is continuous…
Institution partenaire
English / 01/01/2013
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