Signaling with debt currency choice

E. Eren; S. Malamud; H. Zhou 

Universal Portfolio Shrinkage

B. Kelly; S. Malamud; M. Pourmohammadi; F. Trojani 

Machine Learning and the Implementable Efficient Frontier

T. I. Jensen; B. Kelly; S. Malamud; L. H. Pedersen 

Risk reduced sparse index tracking portfolio: A topological data analysis approach

A. Goel; P. Pasricha; J. Kanniainen 

Essays in Asset Pricing with Trading Frictions

Essays in Financial Economics

Discount Curve Estimation Standalone to Transfer Learning

Essays in Venture Capital

The Global Rise of Index-Based Ownership of Firms

B. Becker; R. Fahlenbrach; E. Mahdikhani 

Stripping the Discount Curve—A Robust Machine Learning Approach

D. Filipović; M. Pelger; Y. Ye 

Paying Too Much? Borrower Sophistication and Overpayment in the U.S. Mortgage Market

N. Bhutta; A. Fuster; A. Hizmo 

Perpetual Futures Pricing

D. Ackerer; J. Hugonnier; U. Jermann 

CBDC as Imperfect Substitute to Bank Deposits: a Macroeconomic Perspective

P. Bacchetta; E. Perazzi 

Sparse portfolio selection via topological data analysis based clustering

A. Goel; D. Filipović; P. Pasricha 

Do Structured Products Improve Portfolio Performance? a Backtesting Exercise

F. Perusset; M. Rockinger 

An Intermediation-Based Model of Exchange Rates

S. Malamud; A. Schrimpf; Y. Zhang 

Asset Pricing with Costly Short Sales

J. Hugonnier; R. Prieto 

Relationship Capital and Financing Decisions

T. Geelen; E. Morellec; N. Rostova 

Ensemble learning for portfolio valuation and risk management

L. Boudabsa; D. Filipovic 

Global currency hedging with ambiguity

U. Ulrych; N. Vasiljević 

The effect of macroprudential policies on homeownership: Evidence from Switzerland

E. Bolliger; A. Bruhin; A. Fuster; M. Ganarin 

Leveraging the Capabilities of Multinational Firms to Address Climate Change: A Finance Perspective

F. Allen; A. Barbalau; E. Chavez; F. Zeni 

Manufactured Homes Are Cheap—So Why Are Their Loans So Expensive?

S. Doerr; A. Fuster 

Benign Granularity in Asset Markets

S. Glebkin; S. Malamud; A. Teguia 

Adaptive Joint Distribution Learning

D. Filipovic; M. D. Multerer; P. Schneider 

Computational Efficiency under Covariate Shift in Kernel Ridge Regression

A. Della Vecchia; A. M. Watusadisi; E. De Vito; L. Rosasco 

Solar Forecasting with Causality: A Graph-Transformer Approach to Spatiotemporal Dependencies

Y. Niu; D. Psaltis; C. Moser; L. Lambertini 

Solar Multimodal Transformer: Intraday Solar Irradiance Predictor Using Public Cameras and Time Series

Y. Niu; R. Sarkis; D. Psaltis; M. Paolone; C. Moser et al. 

The Economics of Over-the-Counter Markets. A Toolkit for the Analysis of Decentralized Exchange

J. Hugonnier; B. Lester; P-O. Weill 

Essays in FinTech

Parsimonious Online Learning with Kernels and Random Features with Applications to Stochastic Optimal Control

Beyond the Balance Sheet: The Valuation and Strategic Impact of Intangible Assets in Private and Public Markets

Essays in Macroeconomics and FinTech

Machine Learning Applications to Conditional Asset Pricing: Attention, CNNs, and Neural Tangent Kernels

Unicorns

R. Fahlenbrach; R. M. Stulz 

A Test of the Efficiency of a Given Portfolio in High Dimensions

M. Chernov; B. Kelly; S. Malamud; J. Schwab 

Consumer Preferences and Green Transition

F. Perusset 

Artificial Intelligence Asset Pricing Models

B. T. Kelly; B. Kuznetsov; S. Malamud; T. A. Xu 

Heterogeneous Beliefs Recovery

J. Hugonnier; D. N. Nejad 

Understanding The Virtue of Complexity

B. T. Kelly; S. Malamud 

Training NTK to Generalize with KARE

J. Schwab; B. T. Kelly; S. Malamud; T. A. Xu 

Corporate Earnings Calls and Analyst Beliefs

G. Matera 

Government Venture Capital and Innovation Investing for the Common Good?

A. Eliet-Doillet; M. Fraschini; A. Maino; L. Somoza 

Kernel Density Machines

D. Filipović; P. Schneider 

Transfer Learning Across Fixed-Income Product Classes

N. Camenzind; D. Filipović 

Perpetual Futures Pricing with Stochastic Rates and Clamp

J. Hugonnier; U. J. Jermann 

Fixed-Income Pricing and the Replication of Liabilities

D. Filipović 

Behavioral Impulse Responses

B. T. Kelly; S. Malamud; E. Siriwardane; H. Wu 

The Response of Debtors to Rate Changes

A. Fuster; V. Gianinazzi; A. Hackethal; P. Schnorpfeil; M. Weber 

Soft Linking the Italian Energy and Economic Systems

A. Uzagalieva; K. Fragkiadakis; L. Paroussos; M. Di Stasi; S. Tsiaras 

Stripping the Swiss discount curve using kernel ridge regression

N. Camenzind; D. Filipovic 

Tail Recovery

T. A. Xu 

StockTwits classified sentiment and stock returns

M. A. Divernois; D. Filipović 

The Dynamics of Loan Sales and Lender Incentives

S. Gryglewicz; S. Mayer; E. Morellec 

Biases in Information Selection and Processing: Survey Evidence from the Pandemic

E. Faia; A. Fuster; V. Pezone; B. Zafar 

Nonstandard Errors

A. J. Menkveld; A. Dreber; F. Holzmeister; J. Huber; M. Johannesson et al. 

Asset life, leverage, and debt maturity matching

T. Geelen; J. Hajda; E. Morellec; A. Winegar 

Flood, farms and credit: The role of branch banking in the era of climate change

P. Abedifar; S. J. Kashizadeh; S. Ongena 

Takeover Protections and Asset Prices

A. Eisdorfer; E. Morellec; A. Zhdanov 

Portfolio Construction with Hierarchical Momentum

A. Cirulli; M. Kobak; U. Ulrych 

How Integrated are Credit and Equity Markets? Evidence from Index Options

P. Collin-Dufresne; B. Junge; A. B. Trolle 

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

A. Fuster; T. Schelling; P. Towbin 

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

A. Fuster; S. H. Lo; P. S. Willen 

Essays in Government Bond Pricing and Inflation

Machine Learning for Modeling Stock Returns

Function Learning with Financial Applications

The Virtue of Complexity in Return Prediction

B. Kelly; S. Malamud; K. Zhou 

Discount models

D. Filipovic 

Asset purchases, limited asset markets participation and inequality

S. Tsiaras 

Liquidity, Volume, and Order Imbalance Volatility

V. Bogousslavsky; P. Collin-Dufresne 

Greening the Swiss National Bank’s Portfolio

R. Fahlenbrach; E. Jondeau 

International Portfolio Choice with Frictions: Evidence from Mutual Funds

P. Bacchetta; S. Tieche; E. van Wincoop 

Exchange options with stochastic liquidity risk

P. Pasricha; X-J. He 

CEO networks and the labor market for directors?

H. Kim; R. Fahlenbrach; A. Low 

Analysis of Large Market Data Using Neural Networks: A Causal Approach

M. A. Divernois; J. Etesami; D. Filipovic; N. Kiyavash 

Closed form approximation methods for portfolio valuation and risk management

Essays in macro-finance and deep learning

Demand-based Asset Pricing: Theory, Estimation and Applications

Mortgage-backed securities

A. Fuster; D. Lucca; J. Vickery 

Survey experiments on economic expectations

A. Fuster; B. Zafar 

Principal Portfolios

B. Kelly; S. Malamud; L. H. Pedersen 

Illiquidity and Higher Cumulants

S. Glebkin; S. Malamud; A. Teguia 

Are green bonds priced lower than their conventional peers?

Y. Wu 

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

L. Fernandez-Arjona; D. Filipovic 

Understanding Cash Flow Risk

S. Gryglewicz; L. Mancini; E. Morellec; E. Schroth; P. Valta 

Heterogeneity in decentralized asset markets

J. Hugonnier; B. Lester; P-O. Weill 

Skew-Brownian motion and pricing European exchange options br

P. Pasricha; X-J. He 

Insider trading with penalties

S. Carre; P. Collin-Dufresne; F. Gabriel 

Impact and implications of mixed plaque class in automated characterization of complex atherosclerotic lesions

M. L. Olender; Y. Niu; D. Marlevi; E. R. Edelman; F. R. Nezami 

A contagion process with self-exciting jumps in credit risk applications

P. Pasricha; D. Selvamuthu; S. Natarajan 

Monetary Independence And Rollover Crises

J. Bianchi; J. Mondragon 

Valuing Life as an Asset, as a Statistic and at Gunpoint

J. Hugonnier; F. Pelgrin; P. St-Amour 

The Pass-through of Bank Capital Requirements to Corporate Lending Spreads

L. Lambertini; R. Bichsel; A. Mukherjee; D. Wunderli 

Scale effects on efficiency and profitability in the Swiss banking sector

M. Blatter; A. Fuster 

Predicting the stressed expected loss of large US banks

E. Jondeau; A. Khalilzadeh 

FinTech Lending

T. Berg; A. Fuster; M. Puri 

Predictably Unequal? The Effects of Machine Learning on Credit Markets

A. Fuster; P. Goldsmith-Pinkham; T. Ramadorai; A. Walther 

Dominant currency debt

E. Eren; S. Malamud 

Can Corporate Debt Foster Innovation and Growth?

T. Geelen; J. Hajda; E. Morellec 

Online appendix to: Debt dynamics with fixed issuance costs

J. Hugonnier 

Expectations with Endogenous Information Acquisition: An Experimental Investigation

A. Fuster; R. Perez-Truglia; M. Wiederholt; B. Zafar 

Optimal fund menus

J. Cvitanic; J. Hugonnier 

Asset Pricing and Monetary Policy

Essays in Empirical Asset Pricing

Essays in Financial Economics

Financial Risk Management with Machine Learning

Essays in Monetary Policy and Asset Pricing

Consumer Privacy and Value of Consumer Data

M. Canayaz; I. Kantorovitch; R. Mihet 

Optimal financing with tokens

S. Gryglewicz; S. Mayer; E. Morellec 

Machine learning with kernels for portfolio valuation and risk management

L. Boudabsa; D. Filipovic 

How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis

R. Fahlenbrach; K. Rageth; R. M. Stulz 

Acquirers and Financial Constraints – Theory and Evidence from Emerging Markets

R. Mukherjee; C. Proebsting 

Stress tests and loan pricing—Evidence from syndicated loans

L. Lambertini; A. Mukherjee 

What Would You Do with $500? Spending Responses to Gains, Losses, News, and Loans

A. Fuster; G. Kaplan; B. Zafar 

How Do Mortgage Refinances Affect Debt, Default, and Spending? Evidence from HARP

J. Abel; A. Fuster 

Special Issue on Dimensionality Reduction, Learning, and Machines

D. Filipovic; F. Trojani 

Some Properties of the Kilbas-Saigo Function

L. Boudabsa; T. Simon 

The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey

A. Fuster; B. Zafar 

ICO investors

R. Fahlenbrach; M. Frattaroli 

Informed Trading in the Stock Market and Option Price Discovery

P. Collin-Dufresne; V. Fos; D. Muravyev 

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

P. Collin Dufresne; V. Bogousslavsky; S. Mehmet 

A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs

J. Xu; D. Ackerer; A. Dubovitskaya 

A Game-Theoretic Analysis of Cross-ledger Swaps with Packetized Payments

A. Dubovitskaya; D. Ackerer; J. Xu 

Liquidations: DeFi on a Knife-Edge

D. Perez; S. M. Werner; J. Xu; B. Livshits 

Informational frictions in financial markets

Empirical Evidence on the Effectiveness of Shareholder Democracy

Essays in Banking and Financial Regulation

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Stress tests and loan pricing—Evidence from syndicated loans

L. Lambertini; A. Mukherjee 

Mean-Covariance Robust Risk Measurement

V. A. Nguyen; S. Shafieezadeh Abadeh; D. Filipovic; D. Kuhn 

Regional Effects of Exchange Rate Fluctuations

C. L. House; C. Pröbsting; L. L. Tesar 

Linear Stochastic Dividend Model

S. Willems 

Silicon Nanowire Arrays Coated with Ag and Au Dendrites for Surface-Enhanced Raman Scattering

N. Grevtsov; A. Burko; S. Redko; N. Khinevich; S. Zavatski et al. 

Short-term debt and incentives for risk-taking

M. Della Seta; E. Morellec; F. Zucchi 

Lifetime investment and consumption with recursive preferences and small transaction costs

Y. Melnyk; J. Muhle-Karbe; F. T. Seifried 

Market Structure and Transaction Costs of Index CDSs

P. Collin-Dufresne; B. Junge; A. B. Trolle 

A term structure model for dividends and interest rates

D. Filipovic; S. Willems 

Agency conflicts and short- versus long-termism in corporate policies

S. Gryglewicz; S. Mayer; E. Morellec 

Frictional Intermediation in Over-the-Counter Markets

J. Hugonnier; B. Lester; P-O. Weill 

Liquidity regimes and optimal dynamic asset allocation

P. Collin-Dufresne; K. Daniel; M. Saglam 

Markov cubature rules for polynomial processes

D. Filipovic; M. Larsson; S. Pulido 

Does protectionist anti-takeover legislation lead to managerial entrenchment?

M. Frattaroli 

High-Frequency Jump Analysis of the Bitcoin Market

O. Scaillet; A. Treccani; C. Trevisan 

Signaling in OTC Markets: Benefits and Costs of Transparency

K. Back; R. Liu; A. Teguia 

Austerity in the Aftermath of the Great Recession

C. L. House; L. L. Tesar; C. Proebsting 

Linear credit risk models

D. Ackerer; D. Filipovic 

Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

J. Xu 

Polynomial Jump-Diffusion Models

D. Filipovic; M. Larsson 

Managing inventory with proportional transaction costs

F. Gallien; S. Kassibrakis; S. Malamud 

Monopsony with nominal rigidities: An inverted Phillips Curve

C. Dennery 

Systemic Risk in Networks with a Central Node

H. Amini; D. Filipovic; A. Minca 

Closing down the shop: Optimal health and wealth dynamics near the end of life

J. Hugonnier; F. Pelgrin; P. St-Amour 

Option pricing with orthogonal polynomial expansions

D. Ackerer; D. Filipovic 

Trading mechanisms in over-the-counter markets

Essays in Financial Economics

Essays in Financial Economics

Fiscal Policy, Relative Prices and Net Exports in a Currency Union

L. Lambertini; C. Pröbsting 

Mortgage Supply and Capital Regulation in a Low Interest Rate Environment

L. Lambertini; Y. Wu 

Monopsony, Wage Bargaining and the Phillips Curve

C. Dennery 

Ambiguous labor market reforms

C. Dennery 

System and method for user data input to modify operating mode configurations

S. Malamud 

Insurance: models, digitalization, and data science

H. Albrecher; A. Bommier; D. Filipovic; P. Koch-Medina; S. Loisel et al. 

Product Market Competition and Option Prices

E. Morellec; A. Zhdanov 

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

A. Braun; S. Utz; J. Xu 

Understanding Mortgage Spreads

N. Boyarchenko; A. Fuster; D. O. Lucca 

Dampened expectations in the Phillips Curve: A note

C. Dennery 

Does Austerity Go Along With Internal Devaluations?

L. Lambertini; C. Proebsting 

Home Price Expectations and Behaviour: Evidence from a Randomized Information Experiment

L. Armona; A. Fuster; B. Zafar 

The CDS-bond basis

J. Bai; P. Collin-Dufresne 

The sources of sovereign risk: a calibration based on Levy stochastic processes

S. Carre; D. Cohen; S. Villemot 

The Role of Technology in Mortgage Lending

A. Fuster; M. Plosser; P. Schnabl; J. Vickery 

Liquidity, Innovation, And Endogenous Growth

S. Malamud; F. Zucchi 

Asian option pricing with orthogonal polynomials

S. Willems 

Regional Heterogeneity and the Refinancing Channel of Monetary Policy

M. Beraja; A. Fuster; E. Hurst; J. Vavra 

Unspanned stochastic volatility in the multifactor CIR model

D. Filipović; M. Larsson; F. Statti 

On the relation between linearity-generating processes and linear-rational models

D. Filipović; M. Larsson; A. B. Trolle 

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

K. Glau; M. Mahlstedt; C. Poetz 

The Anatomy of a Cryptocurrency Pump-and-Dump Scheme

J. Xu; B. Livshits 

Essays in Financial Economics

Three Essays in Banking and Finance

Three Problems of Liquidity under Asymmetric Information

Pricing interest rate, dividend, and equity risk

The Pass-through of Bank Capital Requirements to Corporate Lending Spreads

L. Lambertini; R. Bichsel; A. Mukherjee; D. Wunderli 

Does Austerity Go Along with Internal Devaluations?

L. Lambertini; C. Proebsting 

Job turnover, expectations, and the Phillips Curve

C. Dennery 

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

F. Gallien; S. Kassibrakis; S. Malamud 

Investment Dynamics with Natural Expectations

A. Fuster; B. Hebert; D. Laibson 

Non-myopic betas

S. Malamud; G. Vilkov 

The Jacobi stochastic volatility model

D. Ackerer; D. Filipović; S. Pulido 

Asset-liability management for long-term insurance business

H. Albrecher; D. Bauer; P. Embrechts; D. Filipović; P. Koch-Medina et al. 

On the American swaption in the linear-rational framework

D. Filipović; Y. Kitapbayev 

Why Does Fast Loan Growth Predict Poor Performance for Banks?

R. Fahlenbrach; R. Prilmeier; R. M. Stulz 

Equilibrium commodity prices with irreversible investment and non-linear technologies

j. Casassus; B. R. Routledge 

Small-cost asymptotics for long-term growth rates in incomplete markets

Y. Melnyk; F. Seifried 

Exact Smooth Term-Structure Estimation

D. Filipovic; S. Willems 

Replicating portfolio approach to capital calculation

M. Cambou; D. Filipović 

Agency conflicts around the world

E. Morellec; B. Nikolov; N. Schürhoff 

Tracking and Stress-Testing U.S. Household Leverage

A. Fuster; B. Guttman-Kenney; A. F. Haughwout 

Exact Smooth Term Structure Estimation

S. Willems; D. Filipovic 

Activism, Strategic Trading, and Liquidity

K. Back; V. Fos; T. Li; A. Ljungqvist; P. Collin Dufresne 

Essays in Corporate Finance

Equilibrium Models for Derivatives Markets with Frictions

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

A General Equilibrium Model of Oil Prices and Convenience yields

J. Casassus; P. Collin-Dufresne; B. Routledge 

Quantifying the Benefits of Labor Mobility in a Currency Union

C. Proebsting; C. L. House; L. Tesar 

Payment Size, Negative Equity, and Mortgage Default

A. Fuster; P. S. Willen 

Bank capital, liquid reserves, and insolvency risk

J. Hugonnier; E. Morellec 

Trust, integrated information technology and new product success

J. E. Ettlie; C. Tucci; P. T. Gianiodis 

Debt enforcement, investment, and risk taking across countries

G. Favara; E. Morellec; E. Schroth; P. Valta 

Expectations-driven cycles in the housing market

L. Lambertini; C. Mendicino; M. T. Punzi 

Do Independent Director Departures Predict Future Bad Events?

R. Fahlenbrach; A. Low; R. M. Stulz 

Corporate policies with permanent and transitory shocks

J-P. Decamps; S. Gryglewicz; E. Morellec; S. Villeneuve 

Do exogenous changes in passive institutional ownership affect corporate governance and firm value?

C. Schmidt; R. Fahlenbrach 

Linear-Rational Term Structure Models

D. Filipovic; M. Larsson; A. B. Trolle 

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; P. Uysal; V. Nuguer 

Stochastic impulse control with regime-switching dynamics

R. Korn; Y. Melnyk; F. T. Seifried 

Model Uncertainty And Scenario Aggregation

M. Cambou; D. Filipovic 

Asset Pricing When ‘This Time Is Different’

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Essays in Bank Financing

Essays in Financial Economics

Polynomial models in finance

Three Essays on Corporate Disclosure

AUSTERITY IN THE AFTERMATH OF THE GREAT RECESSION

C. Pröbsting; C. L. House; L. L. Tesar 

To Buy or Not to Buy: Consumer Constraints in the Housing Market

A. Fuster; B. Zafar 

Optimal reinsurance with multiple tranches

S. Malamud; H. Rui; A. Whinston 

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

H. Amini; D. Filipovic; A. Minca 

Optimal exchange rate flexibility with large labor unions

L. Lambertini; V. Cuciniello 

Elliptical tempered stable distribution

H. A. Fallahgoul; Y. S. Kim; F. J. Fabozzi 

Fed funds futures variance futures

D. Filipovic; A. B. Trolle 

The total benefit of alternative assets to pension fund portfolios

J. C. Jackwerth; A. Slavutskaya 

Scientific research measures

M. Frittelli; L. Mancini; I. Peri 

Old-age provision: past, present, future

H. Albrecher; P. Embrechts; D. Filipovic; G. W. Harrison; P. Koch et al. 

Parameter Learning in General Equilibrium: The Asset Pricing Implications

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

Resilience To Contagion In Financial Networks

H. Amini; R. Cont; A. Minca 

The Euro Interbank Repo Market

L. Mancini; A. Ranaldo; J. Wrampelmeyer 

Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities

N. M. Boyson; R. Fahlenbrach; R. M. Stulz 

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

V. Bogousslavsky 

Polynomial diffusions and applications in finance

D. Filipovic; M. Larsson 

Capital goods, measured TFP and growth: The case of Spain

A. Diaz; L. Franjo 

Quadratic variance swap models

D. Filipovic; E. Gourier; L. Mancini 

Uniqueness of equilibrium in a payment system with liquidation costs

H. Amini; D. Filipovic; A. Minca 

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

P. Collin-Dufresne; V. Fos 

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Essays on Capital Calculation in Insurance

Essays in Financial Economics

Essays on the Market Structure and Pricing of Credit Derivatives

The Rescue of Fannie Mae and Freddie Mac

W. S. Frame; A. Fuster; J. Tracy; J. Vickery 

Financing Investment: The choice between bonds and bank loans

E. Morellec; P. Valta; A. Zhdanov 

Modeling Credit Contagion via the Updating of Fragile Beliefs

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Control of Interbank Contagion Under Partial Information

H. Amini; A. Minca; A. Sulem 

Detecting abnormal trading activities in option markets

M. Chesney; R. Crameri; L. Mancini 

Asset pricing with arbitrage activity

J. Hugonnier; R. Prieto 

The effects of business cycle and debt maturity on a firm’s investment and default decisions

H. Jeon; M. Nishihara 

Marriage stability, taxation and aggregate labor supply in the U.S. vs. Europe

I. Chakrabortya; H. Holter; S. Stepanchuk 

Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation

D. Filipovic; R. Kremslehner; A. Muermann 

Do Prices Reveal the Presence of Informed Trading?

P. Collin-Dufresne; V. Fos 

Dividend Dynamics and the Term Structure of Dividend Strips

F. Belo; P. Collin-Dufresne; R. S. Goldstein 

Investment-based financing constraints and debt renegotiation

T. Shibata; M. Nishihara 

Credit market frictions and capital structure dynamics

J. Hugonnier; S. Malamud; E. Morellec 

International portfolios: A comparison of solution methods

K. Rabitsch; S. Stepanchuk; V. Tsyrennikov 

Default And Systemic Risk In Equilibrium

A. Capponi; M. Larsson 

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

D. Duffie; S. Malamud; G. Manso 

Securitization and the Fixed-Rate Mortgage

A. Fuster; J. Vickery 

Informational Efficiency under Short Sale Constraints

R. A. Jarrow; M. Larsson 

Capital supply uncertainty, cash holdings, and investment

J. Hugonnier; S. Malamud; E. Morellec 

Investment timing, debt structure, and financing constraints

T. Shibata; M. Nishihara 

Portfolio and welfare consequences of debt market dominance

S. Stepanchuk; V. Tsyrennikov 

On Bounding Credit-Event Risk Premia

J. Bai; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Approximating Functions On Stratified Sets

D. Drusvyatskiy; M. Larsson 

Essays in Dynamic Corporate Finance

Essays in Empirical Corporate Finance

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; V. Nuguer; P. Uysal 

International Interest Rates and Housing Markets

L. Franjo 

How Does Tax Progressivity and Household Heterogeneity Affect Laer Curves?

H. Holter; D. Krueger; S. Stepanchuk 

Information percolation in segmented markets

D. Duffie; S. Malamud; G. Manso 

Invariant manifolds with boundary for jump-diffusions

D. Filipovic; S. Tappe; J. Teichmann 

A two-period model with portfolio choice: Understanding results from different solution methods

K. Rabitsch; S. Stepanchuk 

Risk and Reward Preferences under Time Pressure

A. D. Nursimulu; P. Bossaerts 

Bootstrap Percolation in Power-Law Random Graphs

H. Amini; N. Fountoulakis 

Pricing and hedging of inflation-indexed bonds in an affine framework

Z. Eksi; D. Filipovic 

Comonotone Pareto optimal allocations for law invariant robust utilities on L-1

C. Ravanelli; G. Svindland 

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

M. Larsson 

Macroeconomic conditions and a firm’s investment decisions

H. Jeon; M. Nishihara 

Shortest-Weight Paths In Random Regular Graphs

H. Amini; Y. Peres 

Event risk, contingent claims and the temporal resolution of uncertainty

P. Collin-Dufresne; J. Hugonnier 

Excessive Volatility is Also a Feature of Individual Level Forecasts

A. Nursimulu; P. Bossaerts 

Trade policy: Home market effect versus terms-of-trade externality

A. Campolmi; H. Fadinger; C. Forlati 

The Swaption Cube

A. B. Trolle; E. S. Schwartz 

The Endowment Effect

K. M. Marzilli Ericson; A. Fuster 

Three Essays on Asset Pricing

Essays in Corporate Finance

Commodity Spread Option Pricing and the Economic Fundamentals of Crack Spreads

Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective

Essays in Asset Pricing with Search Frictions

Efficient Pricing of Energy Derivatives

A. B. Trolle 

Capital Goods, Measured TFP and Growth: The Case of Spain

A. Diaz; L. Franjo 

CEO contract design: How do strong principals do it?

H. Cronqvist; R. Fahlenbrach 

Health and (Other) Asset Holdings

J. Hugonnier; F. Pelgrin; P. St-Amour 

The Rising Gap between Primary and Secondary Mortgage Rates

A. Fuster; L. Goodman; D. Lucca; L. Madar; L. Molloy et al. 

What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting

J. Beshears; J. J. Choi; A. Fuster; D. Laibson; B. C. Madrian 

Leaning Against Boom-Bust Cycles in Credit and Housing Prices

L. Lambertini; C. Mendicino; M. T. Punzi 

Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data

L. Lambertini; C. Mendicino; M. T. Punzi 

Optimal incentives and securitization of defaultable assets

S. Malamud; H. Rui; A. Whinston 

Density approximations for multivariate affine jump-diffusion processes

D. Filipovic; E. Mayerhofer; P. Schneider 

Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

C. Ravanelli; G. Svindland 

Indifference pricing for CRRA utilities

S. Malamud; E. Trubowitz; M. V. Wüthrich 

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

L. Gaul; P. Uysal 

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

L. Mancini; A. Ranaldo; J. Wrampelmeyer 

The term structure of interbank risk

D. Filipovic; A. B. Trolle 

Essays in Information-Based Asset Pricing

Essays on asset pricing with preference heterogeneity

Essays in Equilibrium Asset Pricing

On the Benefits of a Monetary Union: Does it Pay to Be Bigger?

C. Forlati 

Capital Supply Uncertainty, Cash Holdings, and Investment

J. N. Hugonnier; S. Malamud; E. Morellec 

Trade Policy: Home Market Effect versus Terms-of-Trade Externality

A. Campolmi; H. Fadinger; C. Forlati 

Moral Hazard, Informed Trading and Equilibrium Prices

P. Collin-Dufresne; F. Vyachelsav 

Cash Holdings and Competition

E. Morellec; B. Nikolov; F. M. Zucchi 

Trust-preferred securities and regulatory arbitrage

N. Boyson; R. Fahlenbrach; R. Stulz 

Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data.

L. Lambertini; C. Mendicino; M. T. Punzi 

This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis

R. Fahlenbrach; R. Prilmeier; R. M. Stulz 

Incomplete information, idiosyncratic volatility and stock returns

T. Berrada; J. Hugonnier 

Real options and risk aversion

J. N. Hugonnier; E. Morellec 

Rational asset pricing bubbles and portfolio constraints

J. Hugonnier 

Multi-stock portfolio optimization under prospect theory

T. A. Pirvu; K. Schulze 

Institutional Investors and Mutual Fund Governance: Evidence from Retail-Institutional Fund Twins

R. B. Evans; R. Fahlenbrach 

Corporate governance and capital structure dynamics

E. Morellec; B. Nikolov; N. Schuerhoff 

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

P. Collin-Dufresne; R. S. Goldstein; F. Yang 

Conditional Density Models for Asset Pricing

D. Filipovic; L. P. Hughston; A. Macrina 

Understanding, modelling and managing longevity risk: key issues and main challenges

P. Barrieu; H. Bensusan; N. El Karoui; C. Hillairet; S. Loisel et al. 

The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1

D. Filipovic; G. Svindland 

Approaches to Conditional Risk

D. Filipovic; M. Kupper; N. Vogelpoth 

Financial Markets Equilibrium with Heterogeneous Agents

J. Cvitanic; E. Jouini; S. Malamud; C. Napp 

Endogenous Completeness of Diffusion Driven Equilibrium Markets

J. Hugonnier; S. Malamud; E. Trubowitz 

Affine Variance Swap Curve Models

D. Filipovic 

Essays in Financial Economics

Sentiment, Asset Prices, and Systemic Risk

G. Barone-Adesi; L. Mancini; H. M. Shefrin 

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

A. Fuster; B. Hebert; D. Laibson 

Financing Investment: The Choice between Public and Private Debt

E. Morellec; P. Valta; A. Zhdanov 

Do Prices Reveal the Presence of Informed Trading ?

P. Collin-Dufresne; V. Fos 

Parameter Learning in General Equilibrium: The Asset Pricing Implications

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

CEO Contract Design: How Do Strong Principals Do It?

H. Cronqvist; R. Fahlenbrach 

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

R. S. Goldstein; F. Belo; P. Collin-Dufresne 

Credit Market Frictions and Capital Structure Dynamics

J. N. Hugonnier; S. Malamud; E. Morellec 

Insider Trading, Stochastic Liquidity and Equilibrium Prices

P. Collin-Dufresne; V. Fos 

On Bounding Credit Event Risk Premia

J. Bai; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Mortgage Amortization and Amplification

C. Forlati; L. Lambertini 

Spatiotemporal Brain Signatures of Risk and Reward

A. Nursimulu; U. Toepel; P. Bossaerts; M. M. Murray 

Risikobarometer im Interbankenmarkt

D. Filipovic 

Expectations as Endowments: Evidence on Reference-Dependent Preferences from Exchange and Valuation Experiments

K. M. Marzilli Ericson; A. Fuster 

Insuring Consumption Using Income-Linked Assets

A. Fuster; P. S. Willen 

Risk, Unexpected Uncertainty, and Estimation Uncertainty: Bayesian Learning in Unstable Settings

E. Payzan-LeNestour; P. Bossaerts 

Price impact and portfolio impact

J. Cvitanic; S. Malamud 

Neural Coding of Outcome Uncertainty

P. Bossaerts; K. Preuschoff; C. Camerer; M. Hsu; C. Fiorillo et al. 

Former CEO Directors: Lingering CEOs or Valuable Resources?

R. Fahlenbrach; B. A. Minton; C. H. Pan 

Corporate investment and financing under asymmetric information

E. Morellec; N. Schuerhoff 

Robust Value at Risk Prediction

L. Mancini; F. Trojani 

Hedging Your Bets by Learning Reward Correlations in the Human Brain

K. Wunderlich; M. Symmonds; P. Bossaerts; R. J. Dolan 

The human prefrontal cortex mediates integration of potential causes behind observed outcomes

K. Wunderlich; U. R. Beierholm; P. Bossaerts; J. P. O’Doherty 

Risky Mortgages in a DSGE Model

C. Forlati; L. Lambertini 

Bank CEO incentives and the credit crisis

R. Fahlenbrach; R. M. Stulz 

Convexity bounds for BSDE solutions, with applications to indifference valuation

C. Frei; S. Malamud; M. Schweizer 

The impact of disappointment in decision making: inter-individual differences and electrical neuroimaging

H. Tzieropoulos; R. G. de Peralta; P. Bossaerts; S. L. G. Andino 

Explaining asset pricing puzzles associated with the 1987 market crash

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein 

MAOA-L carriers are better at making optimal financial decisions under risk

C. Frydman; C. Camerer; P. Bossaerts; A. Rangel 

Dual Representation Of Monotone Convex Functions On L-0

M. Kupper; G. Svindland 

Affine Processes On Positive Semidefinite Matrices

C. Cuchiero; D. Filipovic; E. Mayerhofer; J. Teichmann 

Separate encoding of model-based and model-free valuations in the human brain

U. R. Beierholm; C. Anen; S. Quartz; P. Bossaerts 

Estimating the Effects of Large Shareholders Using a Geographic Instrument

B. Becker; H. Cronqvist; R. Fahlenbrach 

Dynamic CDO Term Structure Modeling

D. Filipovic; L. Overbeck; T. Schmidt 

Doubly Stochastic CDO Term Structures

D. Filipovic; L. Overbeck; T. Schmidt 

Demystifying Rational Financial Decision-Making : Insights from Neurofinance

Modeling Price Pressure in Financial Markets

P. Bossaerts; E. Asparouhova 

Prices and Allocations in Dynamically Complete Markets: Experimental Evidence

P. Bossaerts; D. Meloso; W. R. Zame 

Deep Habits, Price Rigidities and the Consumption Response to Government Spending

P. Jacob 

Categorization of Monetary Gambles in the Human Brain

P. Bossaerts; A. Bruguier; J. Grinband; B. Figner; H. Bayer et al. 

Modeling Credit Contagion Via the Updating of Fragile Beliefs

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Trade Liberalization, Firm Heterogeneity, and Labor Layoffs: An Empirical Investigation

P. Uysal; Y. Yotov 

Promoting Intellectual Discovery: Patents vs. Markets

P. Bossaerts 

Modeling Decision Making Under Ambiguity

P. Bossaerts; K. Preuschoff 

Delegated Portfolio Management: Experiments

P. Bossaerts; E. Asparouhova; J. Copic; B. Cornell; J. Cvitanic et al. 

Exploring the Nature of ‘Trading Intuition’

P. Bossaerts; A. Bruguier; S. Quartz 

The Dorsal Striatum Encodes and Integrates Marginal Utility with Other Subcomponents of Value to Drive Choice

P. Bossaerts; A. Pine; B. Seymour; J. Roiser; H. Curran et al. 

Disaggregating Real Exchange Rate Dynamics: A Structural Approach

P. Jacob 

Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model

P. Jacob; P. Gert 

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

L. Gaul; P. Uysal 

How to Predict Risk: Theory and Simulation

P. Bossaerts; M. D’Acremont 

Neuronal Correlates of Basic Choice Parameters Predict Decisions under Uncertainty

P. Bossaerts; Y. Christopoulos; P. Tobler; R. Dolan; W. Schultz 

Natural Expectations and Macroeconomic Fluctuations

A. Fuster; D. Laibson; B. Mendel 

The relative contributions of private information sharing and public information releases to information aggregation

D. Duffie; S. Malamud; G. Manso 

Ambiguity in Asset Markets: Theory and Experiment

P. Bossaerts; P. Ghirardato; S. Guarnaschelli; W. R. Zame 

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity

D. Filipovic; S. Tappe; J. Teichmann 

A Note On The Dai-Singleton Canonical Representation Of Affine Term Structure Models

P. Cheridito; D. Filipovic; R. L. Kimmel 

Exploring the Nature of “Trader Intuition”

A. J. Bruguier; S. R. Quartz; P. Bossaerts 

Risk and risk prediction error signals in anterior insula

P. Bossaerts 

Essays on Equilibrium Asset Pricing

Pricing expropriation risk in natural resource contracts – A real options approach

E. S. Schwartz; A. Trolle 

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Expectations-Driven Cycles in the Housing Market

L. Lambertini; C. Mendicino; M. T. Punzi 

Credit Supply and Corporate Policies

E. Morellec