2023
Journal Articles
Asset purchases, limited asset markets participation and inequality
Journal Of Economic Dynamics & Control. 2023-09-01. Vol. 154, p. 104721. DOI : 10.1016/j.jedc.2023.104721.Liquidity, Volume, and Order Imbalance Volatility
Journal Of Finance. 2023-06-05. DOI : 10.1111/jofi.13248.Greening the Swiss National Bank’s Portfolio
Review Of Corporate Finance Studies. 2023-05-03. DOI : 10.1093/rcfs/cfad011.International Portfolio Choice with Frictions: Evidence from Mutual Funds
Review Of Financial Studies. 2023-04-17. DOI : 10.1093/rfs/hhad027.Exchange options with stochastic liquidity risk
Expert Systems With Applications. 2023-03-21. Vol. 223, p. 119915. DOI : 10.1016/j.eswa.2023.119915.Accelerated American option pricing with deep neural networks
Quantitative Finance And Economics. 2023-01-01. Vol. 7, num. 2, p. 207-228. DOI : 10.3934/QFE.2023011.CEO networks and the labor market for directors?
Journal Of Empirical Finance. 2023-01-01. Vol. 70, p. 1-21. DOI : 10.1016/j.jempfin.2022.11.001.Theses
Essays in macro-finance and deep learning
Lausanne, EPFL, 2023.Demand-based Asset Pricing: Theory, Estimation and Applications
Lausanne, EPFL, 2023.Book Chapters
Survey experiments on economic expectations
Handbook of Economic Expectations; Academic Press, 2023.2022
Journal Articles
Principal Portfolios
Journal Of Finance. 2022-12-27. DOI : 10.1111/jofi.13199.Illiquidity and Higher Cumulants
Review Of Financial Studies. 2022-09-14. DOI : 10.1093/rfs/hhac069.Are green bonds priced lower than their conventional peers?
Emerging Markets Review. 2022-09-01. Vol. 52, p. 100909. DOI : 10.1016/j.ememar.2022.100909.How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock?
Review Of Corporate Finance Studies. 2022-08-23. DOI : 10.1093/rcfs/cfac024.Understanding Cash Flow Risk
Review Of Financial Studies. 2022-07-18. Vol. 35, num. 8, p. 3922-3973. DOI : 10.1093/rfs/hhab127.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022-07-01. Vol. 17, num. 3, p. 1313-1356. DOI : 10.3982/TE4796.Skew-Brownian motion and pricing European exchange options br
International Review Of Financial Analysis. 2022-07-01. Vol. 82, p. 102120. DOI : 10.1016/j.irfa.2022.102120.Insider trading with penalties
Journal Of Economic Theory. 2022-07-01. Vol. 203, p. 105461. DOI : 10.1016/j.jet.2022.105461.Impact and implications of mixed plaque class in automated characterization of complex atherosclerotic lesions
Computerized Medical Imaging And Graphics. 2022-04-01. Vol. 97, p. 102051. DOI : 10.1016/j.compmedimag.2022.102051.A contagion process with self-exciting jumps in credit risk applications
Stochastics-An International Journal Of Probability And Stochastic Processes. 2022-02-26. DOI : 10.1080/17442508.2022.2041641.Monetary Independence And Rollover Crises
Quarterly Journal Of Economics. 2022-02-01. Vol. 137, num. 1, p. 435-491. DOI : 10.1093/qje/qjab025.Scale effects on efficiency and profitability in the Swiss banking sector
Swiss Journal of Economics and Statistics. 2022. Vol. 158, num. 12. DOI : 10.1186/s41937-022-00091-7.Online appendix to: Debt dynamics with fixed issuance costs
Journal of Financial Economics. 2022. Vol. 146, num. 2, p. 385-402. DOI : 10.1016/j.jfineco.2022.07.006.Valuing Life as an Asset, as a Statistic and at Gunpoint
The Economic Journal. 2022. Vol. 132, num. 643, p. 1095-1122. DOI : 10.1093/ej/ueab072.FinTech Lending
Annual Review Of Financial Economics. 2022-01-01. Vol. 14, p. 187-207. DOI : 10.1146/annurev-financial-101521-112042.Can Corporate Debt Foster Innovation and Growth?
Review Of Financial Studies. 2022. Vol. 35, num. 9, p. 4152–4200. DOI : 10.1093/rfs/hhab129.Optimal fund menus
Mathematical Finance. 2022. Vol. 32, num. 2, p. 455-516. DOI : 10.1111/mafi.12341.Expectations with Endogenous Information Acquisition: An Experimental Investigation
The Review of Economics and Statistics. 2022. Vol. 104, num. 5, p. 1059–1078. DOI : 10.1162/rest_a_00994.Predictably Unequal? The Effects of Machine Learning on Credit Markets
The Journal of Finance. 2022. Vol. 77, num. 1, p. 5-47. DOI : 10.1111/jofi.13090.Dominant currency debt
Journal of Financial Economics. 2022. Vol. 144, num. 2, p. 571-589. DOI : 10.1016/j.jfineco.2021.06.023.The Pass-through of Bank Capital Requirements to Corporate Lending Spreads
Journal of Financial Stability. 2022. Vol. 58, p. 100910. DOI : 10.1016/j.jfs.2021.100910.Theses
Financial Risk Management with Machine Learning
Lausanne, EPFL, 2022.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022.Essays in Financial Economics
Lausanne, EPFL, 2022.Working Papers
Consumer Privacy and Value of Consumer Data
2022-08-19
2021
Journal Articles
Optimal financing with tokens
Journal Of Financial Economics. 2021-12-01. Vol. 142, num. 3, p. 1038-1067. DOI : 10.1016/j.jfineco.2021.05.004.Machine learning with kernels for portfolio valuation and risk management
Finance And Stochastics. 2021-11-22. Vol. 26, p. 131–172. DOI : 10.1007/s00780-021-00465-4.How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis
Review Of Financial Studies. 2021-11-01. Vol. 34, num. 11, p. 5474-5521. DOI : 10.1093/rfs/hhaa134.Acquirers and Financial Constraints – Theory and Evidence from Emerging Markets
Journal Of International Money And Finance. 2021-10-01. Vol. 117, p. 102440. DOI : 10.1016/j.jimonfin.2021.102440.Risk Premia and Levy Jumps: Theory and Evidence*
Journal Of Financial Econometrics. 2021-08-25. p. nbab020. DOI : 10.1093/jjfinec/nbab020.Stress tests and loan pricing—Evidence from syndicated loans
Finance Research Letters. 2021-07-21. p. 102349. DOI : 10.1016/j.frl.2021.102349.What Would You Do with $500? Spending Responses to Gains, Losses, News, and Loans
The Review of Economic Studies. 2021-07-01. Vol. 88, num. 4, p. 1760-1795. DOI : 10.1093/restud/rdaa076.How Do Mortgage Refinances Affect Debt, Default, and Spending? Evidence from HARP
American Economic Journal: Macroeconomics. 2021-04. Vol. 13, num. 2, p. 254-291. DOI : 10.1257/mac.20180116.The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey
American Economic Journal: Economic Policy. 2021-02. Vol. 13, num. 1, p. 231-265. DOI : 10.1257/pol.20150337.Some Properties of the Kilbas-Saigo Function
Mathematics. 2021-02-01. Vol. 9, num. 3, p. 217. DOI : 10.3390/math9030217.ICO investors
Financial Markets And Portfolio Management. 2021. Vol. 35, p. 1–59. DOI : 10.1007/s11408-020-00366-0.Informed Trading in the Stock Market and Option Price Discovery
Journal of Financial and Quantitative Analysis. 2021. Vol. 56, num. 6, p. 1945-1984. DOI : 10.1017/S0022109020000629.Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch
Journal of Financial Economics. 2021. Vol. 139, num. 3, p. 922-949. DOI : 10.1016/j.jfineco.2020.08.009.Conference Papers
A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs
2021-01-01. 41st IEEE International Conference on Distributed Computing Systems (ICDCS), ELECTR NETWORK, Jul 07-10, 2021. p. 584-594. DOI : 10.1109/ICDCS51616.2021.00062.A Game-Theoretic Analysis of Cross-ledger Swaps with Packetized Payments
2021-01-01. Conference on Financial Cryptography and Data Security (FC), ELECTR NETWORK, Mar 05, 2021. p. 177-187. DOI : 10.1007/978-3-662-63958-0_16.Liquidations: DeFi on a Knife-Edge
2021-01-01. 25th International Conference on Financial Cryptography and Data Security (FC), ELECTR NETWORK, Mar 01-05, 2021. p. 457-476. DOI : 10.1007/978-3-662-64331-0_24.Theses
Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19
Lausanne, EPFL, 2021.Essays in Banking and Financial Regulation
Lausanne, EPFL, 2021.Empirical Evidence on the Effectiveness of Shareholder Democracy
Lausanne, EPFL, 2021.Informational frictions in financial markets
Lausanne, EPFL, 2021.Working Papers
Stress tests and loan pricing—Evidence from syndicated loans
2021-07-21
2020
Journal Articles
Regional Effects of Exchange Rate Fluctuations
Journal Of Money Credit And Banking. 2020-12-01. Vol. 52, p. 429-463. DOI : 10.1111/jmcb.12758.Silicon Nanowire Arrays Coated with Ag and Au Dendrites for Surface-Enhanced Raman Scattering
Mrs Advances. 2020-09-01. Vol. 5, num. 39, p. 2023-2032. DOI : 10.1557/adv.2020.332.Short-term debt and incentives for risk-taking
Journal Of Financial Economics. 2020-07-01. Vol. 137, num. 1, p. 179-203. DOI : 10.1016/j.jfineco.2019.07.008.Market Structure and Transaction Costs of Index CDSs
Journal Of Finance. 2020-06-17. Vol. 75, num. 5, p. 2719-2763. DOI : 10.1111/jofi.12953.Agency conflicts and short- versus long-termism in corporate policies
Journal Of Financial Economics. 2020-06-01. Vol. 136, num. 3, p. 718-742. DOI : 10.1016/j.jfineco.2019.12.003.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020-05-01. Vol. 87, num. 3, p. 1432-1469. DOI : 10.1093/restud/rdz037.Liquidity regimes and optimal dynamic asset allocation
Journal Of Financial Economics. 2020-05-01. Vol. 136, num. 2, p. 379-406. DOI : 10.1016/j.jfineco.2019.09.011.Does protectionist anti-takeover legislation lead to managerial entrenchment?
Journal Of Financial Economics. 2020-04-01. Vol. 136, num. 1, p. 106-136. DOI : 10.1016/j.jfineco.2019.03.014.High-Frequency Jump Analysis of the Bitcoin Market
Journal Of Financial Econometrics. 2020-03-01. Vol. 18, num. 2, p. 209-232. DOI : 10.1093/jjfinec/nby013.Signaling in OTC Markets: Benefits and Costs of Transparency
Journal Of Financial And Quantitative Analysis. 2020-02-01. Vol. 55, num. 1, p. 47-75. DOI : 10.1017/S0022109018001394.Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market
North American Actuarial Journal. 2020-01-01. Vol. 24, num. 1, p. 36-56. DOI : 10.1080/10920277.2019.1585881.Fiscal Policy, Relative Prices and Net Exports in a Currency Union
2020.Mortgage Supply and Capital Regulation in a Low Interest Rate Environment
2020.Monopsony with nominal rigidities: An inverted Phillips Curve
Economics Letters. 2020. Vol. 191, p. 109124. DOI : 10.1016/j.econlet.2020.109124.Managing inventory with proportional transaction costs
Mathematics And Financial Economics. 2020-01-01. Vol. 14, num. 1, p. 121-138. DOI : 10.1007/s11579-019-00248-8.Closing down the shop: Optimal health and wealth dynamics near the end of life
Health Economics. 2020. Vol. 29, num. 2, p. 138-153. DOI : 10.1002/hec.3960.Option pricing with orthogonal polynomial expansions
Mathematical Finance. 2020. Vol. 30, num. 1, p. 47-84. DOI : 10.1111/mafi.12226.Austerity in the Aftermath of the Great Recession
Journal of Monetary Economics. 2020. Vol. 115, p. 37-63. DOI : 10.1016/j.jmoneco.2019.05.004.Theses
Trading mechanisms in over-the-counter markets
Lausanne, EPFL, 2020.Essays in Financial Economics
Lausanne, EPFL, 2020.Essays in Financial Economics
Lausanne, EPFL, 2020.Working Papers
Monopsony, Wage Bargaining and the Phillips Curve
2020
Ambiguous labor market reforms
2020
Patents
System and method for user data input to modify operating mode configurations
WO2020228929.
2020.2019
Journal Articles
Product Market Competition and Option Prices
Review Of Financial Studies. 2019-11-01. Vol. 32, num. 11, p. 4343-4386. DOI : 10.1093/rfs/hhz027.Understanding Mortgage Spreads
The Review of Financial Studies. 2019-10-01. Vol. 32, num. 10, p. 3799-3850. DOI : 10.1093/rfs/hhz004.Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)
Geneva Papers On Risk And Insurance-Issues And Practice. 2019-10-01. Vol. 44, num. 4, p. 549-568. DOI : 10.1057/s41288-019-00142-w.Dampened expectations in the Phillips Curve: A note
Economics Letters. 2019-08-23. Vol. 184, p. 108642. DOI : 10.1016/j.econlet.2019.108642.Does Austerity Go Along With Internal Devaluations?
IMF Economic Review. 2019-08-13. Vol. 67, num. 3, p. 618–656. DOI : 10.1057/s41308-019-00086-0.Home Price Expectations and Behaviour: Evidence from a Randomized Information Experiment
The Review of Economic Studies. 2019-07-01. Vol. 86, num. 4, p. 1371-1410. DOI : 10.1093/restud/rdy038.The CDS-bond basis
Financial Management. 2019-06-01. Vol. 48, num. 2, p. 417-439. DOI : 10.1111/fima.12252.The Role of Technology in Mortgage Lending
The Review of Financial Studies. 2019-05-01. Vol. 32, num. 5, p. 1854-1899. DOI : 10.1093/rfs/hhz018.The sources of sovereign risk: a calibration based on Levy stochastic processes
Journal Of International Economics. 2019-05-01. Vol. 118, p. 31-43. DOI : 10.1016/j.jinteco.2019.02.003.Liquidity, Innovation, And Endogenous Growth
Journal of Financial Economics. 2019-05-01. Vol. 132, num. 2, p. 519-541. DOI : 10.1016/j.jfineco.2018.11.002.Regional Heterogeneity and the Refinancing Channel of Monetary Policy
The Quarterly Journal of Economics. 2019-02-01. Vol. 134, num. 1, p. 109-183. DOI : 10.1093/qje/qjy021.Conference Papers
The Anatomy of a Cryptocurrency Pump-and-Dump Scheme
2019-01-01. 28th USENIX Security Symposium, Santa Clara, CA, Aug 14-16, 2019. p. 1609-1625.Theses
Pricing interest rate, dividend, and equity risk
Lausanne, EPFL, 2019.Three Essays in Banking and Finance
Lausanne, EPFL, 2019.Three Problems of Liquidity under Asymmetric Information
Lausanne, EPFL, 2019.Working Papers
The Pass-through of Bank Capital Requirements to Corporate Lending Spreads
2019-05-27
Does Austerity Go Along with Internal Devaluations?
2019-01-15
Job turnover, expectations, and the Phillips Curve
2019