2025
Journal Articles
An Intermediation-Based Model of Exchange Rates
The Review of Financial Studies. 2025. DOI : 10.1093/rfs/hhaf037.Asset Pricing with Costly Short Sales
Management Science. 2025. Vol. 71, num. 5, p. 3768 – 3789. DOI : 10.1287/mnsc.2023.01887.Relationship Capital and Financing Decisions
Management Science. 2025. DOI : 10.1287/mnsc.2023.02415.Ensemble learning for portfolio valuation and risk management
QUANTITATIVE FINANCE. 2025. DOI : 10.1080/14697688.2024.2430299.The effect of macroprudential policies on homeownership: Evidence from Switzerland
Journal of Urban Economics. 2025. Vol. 146. DOI : 10.1016/j.jue.2025.103749.Global currency hedging with ambiguity
Journal of Banking and Finance. 2025. Vol. 172, p. 107366. DOI : 10.1016/j.jbankfin.2024.107366.Adaptive Joint Distribution Learning
SIAM JOURNAL ON MATHEMATICS OF DATA SCIENCE. 2025. Vol. 7, num. 1, p. 28 – 54. DOI : 10.1137/24M1629900.Conference Papers
Solar Multimodal Transformer: Intraday Solar Irradiance Predictor Using Public Cameras and Time Series
2025. 2025 IEEE/CVF Winter Conference on Applications of Computer Vision (WACV), Tucson, AZ, USA, 2025-02-26 – 2025-03-06. p. 5051 – 5060. DOI : 10.1109/wacv61041.2025.00494.Theses
Machine Learning Applications to Conditional Asset Pricing: Attention, CNNs, and Neural Tangent Kernels
Lausanne, EPFL, 2025.Essays in FinTech
Lausanne, EPFL, 2025.Beyond the Balance Sheet: The Valuation and Strategic Impact of Intangible Assets in Private and Public Markets
Lausanne, EPFL, 2025.Parsimonious Online Learning with Kernels and Random Features with Applications to Stochastic Optimal Control
Lausanne, EPFL, 2025.Working Papers
Consumer Preferences and Green Transition
2025
Artificial Intelligence Asset Pricing Models
2025
2024
Journal Articles
Stripping the Swiss discount curve using kernel ridge regression
European Actuarial Journal. 2024. DOI : 10.1007/s13385-024-00386-4.StockTwits classified sentiment and stock returns
Digital Finance. 2024. Vol. 6, num. 2, p. 249 – 281. DOI : 10.1007/s42521-023-00102-z.Tail Recovery
Journal of Financial Data Science. 2024. Vol. 6, num. 3, p. 115 – 146. DOI : 10.3905/jfds.2024.1.160.The Dynamics of Loan Sales and Lender Incentives
Review Of Financial Studies. 2024. DOI : 10.1093/rfs/hhae021.Biases in Information Selection and Processing: Survey Evidence from the Pandemic
Review of Economics and Statistics. 2024. Vol. 106, num. 3, p. 829 – 847. DOI : 10.1162/rest_a_01187.Nonstandard Errors
Journal Of Finance. 2024. DOI : 10.1111/jofi.13337.Flood, farms and credit: The role of branch banking in the era of climate change
Journal Of Corporate Finance. 2024. Vol. 85, p. 102544. DOI : 10.1016/j.jcorpfin.2024.102544.Asset life, leverage, and debt maturity matching
Journal Of Financial Economics. 2024. Vol. 154, p. 103796. DOI : 10.1016/j.jfineco.2024.103796.Takeover Protections and Asset Prices
Management Science. 2024. DOI : 10.1287/mnsc.2022.03111.Portfolio Construction with Hierarchical Momentum
Journal Of Portfolio Management. 2024. Vol. 50, num. 4, p. 136 – 159.How Integrated are Credit and Equity Markets? Evidence from Index Options
Journal Of Finance. 2024. DOI : 10.1111/jofi.13300.Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment
Journal of Monetary Economics. 2024. p. 103614. DOI : 10.1016/j.jmoneco.2024.103614.The TimeâVarying Price of Financial Intermediation in the Mortgage Market
The Journal of Finance. 2024. DOI : 10.1111/jofi.13358.Theses
Essays in Government Bond Pricing and Inflation
Lausanne, EPFL, 2024.Machine Learning for Modeling Stock Returns
Lausanne, EPFL, 2024.Function Learning with Financial Applications
Lausanne, EPFL, 2024.2023
Journal Articles
The Virtue of Complexity in Return Prediction
Journal Of Finance. 2023. Vol. 79, num. 1, p. 459 – 503. DOI : 10.1111/jofi.13298.Discount models
Finance And Stochastics. 2023. Vol. 27, num. 4, p. 933 – 946. DOI : 10.1007/s00780-023-00514-0.Asset purchases, limited asset markets participation and inequality
Journal Of Economic Dynamics & Control. 2023. Vol. 154, p. 104721. DOI : 10.1016/j.jedc.2023.104721.Liquidity, Volume, and Order Imbalance Volatility
Journal Of Finance. 2023. DOI : 10.1111/jofi.13248.Greening the Swiss National Bank’s Portfolio
Review Of Corporate Finance Studies. 2023. DOI : 10.1093/rcfs/cfad011.International Portfolio Choice with Frictions: Evidence from Mutual Funds
Review Of Financial Studies. 2023. DOI : 10.1093/rfs/hhad027.Exchange options with stochastic liquidity risk
Expert Systems With Applications. 2023. Vol. 223, p. 119915. DOI : 10.1016/j.eswa.2023.119915.Analysis of Large Market Data Using Neural Networks: A Causal Approach
IEEE Journal on Selected Areas in Information Theory. 2023. Vol. 4, p. 833 – 847. DOI : 10.1109/JSAIT.2024.3351549.CEO networks and the labor market for directors?
Journal Of Empirical Finance. 2023. Vol. 70, p. 1 – 21. DOI : 10.1016/j.jempfin.2022.11.001.Theses
Demand-based Asset Pricing: Theory, Estimation and Applications
Lausanne, EPFL, 2023.Closed form approximation methods for portfolio valuation and risk management
Lausanne, EPFL, 2023.Essays in macro-finance and deep learning
Lausanne, EPFL, 2023.Book Chapters
Survey experiments on economic expectations
Handbook of Economic Expectations; Academic Press, 2023.Mortgage-backed securities
Research Handbook of Financial Markets; Edward Elgar, 2023.2022
Journal Articles
Principal Portfolios
Journal Of Finance. 2022. DOI : 10.1111/jofi.13199.Illiquidity and Higher Cumulants
Review Of Financial Studies. 2022. DOI : 10.1093/rfs/hhac069.Are green bonds priced lower than their conventional peers?
Emerging Markets Review. 2022. Vol. 52, p. 100909. DOI : 10.1016/j.ememar.2022.100909.A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Mathematical Finance. 2022. Vol. 32, num. 4, p. 982 – 1019. DOI : 10.1111/mafi.12358.Understanding Cash Flow Risk
Review Of Financial Studies. 2022. Vol. 35, num. 8, p. 3922 – 3973. DOI : 10.1093/rfs/hhab127.Insider trading with penalties
Journal Of Economic Theory. 2022. Vol. 203, p. 105461. DOI : 10.1016/j.jet.2022.105461.Skew-Brownian motion and pricing European exchange options br
International Review Of Financial Analysis. 2022. Vol. 82, p. 102120. DOI : 10.1016/j.irfa.2022.102120.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. Vol. 17, num. 3, p. 1313 – 1356. DOI : 10.3982/TE4796.Impact and implications of mixed plaque class in automated characterization of complex atherosclerotic lesions
Computerized Medical Imaging And Graphics. 2022. 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. DOI : 10.1080/17442508.2022.2041641.Monetary Independence And Rollover Crises
Quarterly Journal Of Economics. 2022. Vol. 137, num. 1, p. 435 – 491. DOI : 10.1093/qje/qjab025.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.Predicting the stressed expected loss of large US banks
Journal Of Banking & Finance. 2022. Vol. 134, p. 106321. DOI : 10.1016/j.jbankfin.2021.106321.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.FinTech Lending
Annual Review Of Financial Economics. 2022. Vol. 14, p. 187 – 207. DOI : 10.1146/annurev-financial-101521-112042.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.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.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.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.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.Dominant currency debt
Journal of Financial Economics. 2022. Vol. 144, num. 2, p. 571 – 589. DOI : 10.1016/j.jfineco.2021.06.023.Theses
Essays in Financial Economics
Lausanne, EPFL, 2022.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022.Financial Risk Management with Machine Learning
Lausanne, EPFL, 2022.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022.Working Papers
Consumer Privacy and Value of Consumer Data
2022
2021
Journal Articles
Optimal financing with tokens
Journal Of Financial Economics. 2021. 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. 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. 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. Vol. 117, p. 102440. DOI : 10.1016/j.jimonfin.2021.102440.Stress tests and loan pricingâEvidence from syndicated loans
Finance Research Letters. 2021. 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. 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. Vol. 13, num. 2, p. 254 – 291. DOI : 10.1257/mac.20180116.Special Issue on Dimensionality Reduction, Learning, and Machines
Journal Of Financial Econometrics. 2021. Vol. 19, num. 2, p. 235 – 235. DOI : 10.1093/jjfinec/nbab013.Some Properties of the Kilbas-Saigo Function
Mathematics. 2021. Vol. 9, num. 3, p. 217. DOI : 10.3390/math9030217.The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey
American Economic Journal: Economic Policy. 2021. Vol. 13, num. 1, p. 231 – 265. DOI : 10.1257/pol.20150337.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.ICO investors
Financial Markets And Portfolio Management. 2021. Vol. 35, p. 1 – 59. DOI : 10.1007/s11408-020-00366-0.Conference Papers
Liquidations: DeFi on a Knife-Edge
2021. 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.A Game-Theoretic Analysis of Cross-ledger Swaps with Packetized Payments
2021. 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.A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs
2021. 41st IEEE International Conference on Distributed Computing Systems (ICDCS), ELECTR NETWORK, Jul 07-10, 2021. p. 584 – 594. DOI : 10.1109/ICDCS51616.2021.00062.Theses
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.Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19
Lausanne, EPFL, 2021.Working Papers
Stress tests and loan pricingâEvidence from syndicated loans
2021
Mean-Covariance Robust Risk Measurement
2021
2020
Journal Articles
Regional Effects of Exchange Rate Fluctuations
Journal Of Money Credit And Banking. 2020. Vol. 52, p. 429 – 463. DOI : 10.1111/jmcb.12758.Linear Stochastic Dividend Model
International Journal Of Theoretical And Applied Finance. 2020. Vol. 23, num. 7, p. 2050044. DOI : 10.1142/S0219024920500442.Silicon Nanowire Arrays Coated with Ag and Au Dendrites for Surface-Enhanced Raman Scattering
Mrs Advances. 2020. Vol. 5, num. 39, p. 2023 – 2032. DOI : 10.1557/adv.2020.332.Lifetime investment and consumption with recursive preferences and small transaction costs
Mathematical Finance. 2020. Vol. 30, num. 3, p. 1135 – 1167. DOI : 10.1111/mafi.12245.Short-term debt and incentives for risk-taking
Journal Of Financial Economics. 2020. 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. Vol. 75, num. 5, p. 2719 – 2763. DOI : 10.1111/jofi.12953.A term structure model for dividends and interest rates
Mathematical Finance. 2020. Vol. 30, num. 4, p. 1461 – 1496. DOI : 10.1111/mafi.12279.Agency conflicts and short- versus long-termism in corporate policies
Journal Of Financial Economics. 2020. Vol. 136, num. 3, p. 718 – 742. DOI : 10.1016/j.jfineco.2019.12.003.Liquidity regimes and optimal dynamic asset allocation
Journal Of Financial Economics. 2020. Vol. 136, num. 2, p. 379 – 406. DOI : 10.1016/j.jfineco.2019.09.011.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020. Vol. 87, num. 3, p. 1432 – 1469. DOI : 10.1093/restud/rdz037.Markov cubature rules for polynomial processes
Stochastic Processes And Their Applications. 2020. Vol. 130, num. 4, p. 1947 – 1971. DOI : 10.1016/j.spa.2019.06.010.Does protectionist anti-takeover legislation lead to managerial entrenchment?
Journal Of Financial Economics. 2020. 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. 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. Vol. 55, num. 1, p. 47 – 75. DOI : 10.1017/S0022109018001394.Systemic Risk in Networks with a Central Node
Siam Journal On Financial Mathematics. 2020. Vol. 11, num. 1, p. 60 – 98. DOI : 10.1137/18M1184667.Linear credit risk models
Finance And Stochastics. 2020. Vol. 24, p. 169 – 214. DOI : 10.1007/s00780-019-00409-z10.2139/ssrn.2782455.Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market
North American Actuarial Journal. 2020. Vol. 24, num. 1, p. 36 – 56. DOI : 10.1080/10920277.2019.1585881.Managing inventory with proportional transaction costs
Mathematics And Financial Economics. 2020. Vol. 14, num. 1, p. 121 – 138. DOI : 10.1007/s11579-019-00248-8.Monopsony with nominal rigidities: An inverted Phillips Curve
Economics Letters. 2020. Vol. 191, p. 109124. DOI : 10.1016/j.econlet.2020.109124.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.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.Polynomial Jump-Diffusion Models
Stochastic Systems. 2020. Vol. 10, num. 1, p. 71 – 97. DOI : 10.2139/ssrn.3075520.Theses
Essays in Financial Economics
Lausanne, EPFL, 2020.Essays in Financial Economics
Lausanne, EPFL, 2020.Trading mechanisms in over-the-counter markets
Lausanne, EPFL, 2020.Working Papers
Ambiguous labor market reforms
2020
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, Wage Bargaining and the Phillips Curve
2020
Patents
System and method for user data input to modify operating mode configurations
WO2020228929.
2020.2019
Journal Articles
Insurance: models, digitalization, and data science
European Actuarial Journal. 2019. Vol. 9, num. 2, p. 349 – 360. DOI : 10.1007/s13385-019-00209-x.Product Market Competition and Option Prices
Review Of Financial Studies. 2019. Vol. 32, num. 11, p. 4343 – 4386. DOI : 10.1093/rfs/hhz027.Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)
Geneva Papers On Risk And Insurance-Issues And Practice. 2019. Vol. 44, num. 4, p. 549 – 568. DOI : 10.1057/s41288-019-00142-w.Understanding Mortgage Spreads
The Review of Financial Studies. 2019. Vol. 32, num. 10, p. 3799 – 3850. DOI : 10.1093/rfs/hhz004.Dampened expectations in the Phillips Curve: A note
Economics Letters. 2019. Vol. 184, p. 108642. DOI : 10.1016/j.econlet.2019.108642.Does Austerity Go Along With Internal Devaluations?
IMF Economic Review. 2019. 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. Vol. 86, num. 4, p. 1371 – 1410. DOI : 10.1093/restud/rdy038.The CDS-bond basis
Financial Management. 2019. Vol. 48, num. 2, p. 417 – 439. DOI : 10.1111/fima.12252.The sources of sovereign risk: a calibration based on Levy stochastic processes
Journal Of International Economics. 2019. Vol. 118, p. 31 – 43. DOI : 10.1016/j.jinteco.2019.02.003.Liquidity, Innovation, And Endogenous Growth
Journal of Financial Economics. 2019. Vol. 132, num. 2, p. 519 – 541. DOI : 10.1016/j.jfineco.2018.11.002.The Role of Technology in Mortgage Lending
The Review of Financial Studies. 2019. Vol. 32, num. 5, p. 1854 – 1899. DOI : 10.1093/rfs/hhz018.Asian option pricing with orthogonal polynomials
Quantitative Finance. 2019. Vol. 19, num. 4, p. 605 – 618. DOI : 10.1080/14697688.2018.1526396.Regional Heterogeneity and the Refinancing Channel of Monetary Policy
The Quarterly Journal of Economics. 2019. Vol. 134, num. 1, p. 109 – 183. DOI : 10.1093/qje/qjy021.A New Approach For American Option Pricing: The Dynamic Chebyshev Method
Siam Journal On Scientific Computing. 2019. Vol. 41, num. 1, p. B153 – B180. DOI : 10.1137/18M1193001.Unspanned stochastic volatility in the multifactor CIR model
Mathematical Finance. 2019. Vol. 29, num. 3, p. 827 – 836. DOI : 10.1111/mafi.12193.On the relation between linearity-generating processes and linear-rational models
Mathematical Finance. 2019. Vol. 29, num. 3, p. 804 – 826. DOI : 10.1111/mafi.12198.Conference Papers
The Anatomy of a Cryptocurrency Pump-and-Dump Scheme
2019. 28th USENIX Security Symposium, Santa Clara, CA, Aug 14-16, 2019. p. 1609 – 1625.Theses
Three Problems of Liquidity under Asymmetric Information
Lausanne, EPFL, 2019.Essays in Financial Economics
Lausanne, EPFL, 2019.Three Essays in Banking and Finance
Lausanne, EPFL, 2019.Pricing interest rate, dividend, and equity risk
Lausanne, EPFL, 2019.Working Papers
The Pass-through of Bank Capital Requirements to Corporate Lending Spreads
2019
Does Austerity Go Along with Internal Devaluations?
2019
Job turnover, expectations, and the Phillips Curve
2019
2018
Journal Articles
Hedge or Rebalance: Optimal Risk Management with Transaction Costs
Risks. 2018. Vol. 6, num. 4, p. 112. DOI : 10.3390/risks6040112.Investment Dynamics with Natural Expectations
International Journal of Central Banking. 2018. Vol. 8, num. 1, p. 243 – 265.Non-myopic betas
Journal of Financial Economics. 2018. Vol. 129, num. 2, p. 357 – 381. DOI : 10.1016/j.jfineco.2018.05.004.The Jacobi stochastic volatility model
Finance and Stochastics. 2018. Vol. 22, num. 3, p. 667 – 700. DOI : 10.1007/s00780-018-0364-8.Asset-liability management for long-term insurance business
European Actuarial Journal. 2018. Vol. 8, num. 1, p. 9 – 25. DOI : 10.1007/s13385-018-0167-5.On the American swaption in the linear-rational framework
Quantitative Finance. 2018. p. 1 – 12. DOI : 10.1080/14697688.2018.1446547.Why Does Fast Loan Growth Predict Poor Performance for Banks?
The Review of Financial Studies. 2018. Vol. 31, num. 3, p. 1014 – 1063. DOI : 10.1093/rfs/hhx109.Exact Smooth Term Structure Estimation
SIAM Journal on Financial Mathematics. 2018. Vol. 9, num. 3, p. 907 – 929. DOI : 10.2139/ssrn.2794083.Agency conflicts around the world
Review of Financial Studies. 2018. Vol. 31, num. 11, p. 4232 – 4287. DOI : 10.1093/rfs/hhy018.Exact Smooth Term-Structure Estimation
Siam Journal On Financial Mathematics. 2018. Vol. 9, num. 3, p. 907 – 929. DOI : 10.1137/16M1080276.Replicating portfolio approach to capital calculation
Finance and Stochastics. 2018. Vol. 22, num. 1, p. 181 – 203. DOI : 10.1007/s00780-017-0347-1.Tracking and Stress-Testing U.S. Household Leverage
FRBNY Economic Policy Review. 2018. Vol. 24, num. 1, p. 35 – 63.Small-cost asymptotics for long-term growth rates in incomplete markets
MATHEMATICAL FINANCE. 2018. Vol. 28, num. 2, p. 668 – 711. DOI : 10.1111/mafi.12152.Equilibrium commodity prices with irreversible investment and non-linear technologies
Journal of Banking and Finance. 2018. Vol. 95, p. 128 – 147. DOI : 10.1016/j.jbankfin.2018.04.001.Activism, Strategic Trading, and Liquidity
Econometrica. 2018. Vol. 86, num. 4, p. 1431 – 1463. DOI : 10.3982/ECTA14917.Theses
Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance
Lausanne, EPFL, 2018.Equilibrium Models for Derivatives Markets with Frictions
Lausanne, EPFL, 2018.Essays in Corporate Finance
Lausanne, EPFL, 2018.Working Papers
Quantifying the Benefits of Labor Mobility in a Currency Union
2018
A General Equilibrium Model of Oil Prices and Convenience yields
2018
2017
Journal Articles
Payment Size, Negative Equity, and Mortgage Default
American Economic Journal: Economic Policy. 2017. Vol. 9, num. 4, p. 167 – 191. DOI : 10.1257/pol.20150007.Stochastic impulse control with regime-switching dynamics
European Journal Of Operational Research. 2017. Vol. 260, num. 3, p. 1024 – 1042. DOI : 10.1016/j.ejor.2016.12.029.Mortgage Default in an Estimated Model of the U.S. Housing Market
Journal of Economic Dynamics and Control. 2017. Vol. 76, p. 171 – 201. DOI : 10.1016/j.jedc.2017.01.007.Linear-Rational Term Structure Models
Journal Of Finance. 2017. Vol. 72, num. 2, p. 655 – 704. DOI : 10.1111/jofi.12488.Bank capital, liquid reserves, and insolvency risk
Journal of Financial Economics. 2017. Vol. 125, num. 2, p. 266 – 285. DOI : 10.1016/j.jfineco.2017.05.006.Do exogenous changes in passive institutional ownership affect corporate governance and firm value?
Journal Of Financial Economics. 2017. Vol. 124, num. 2, p. 285 – 306. DOI : 10.1016/j.jfineco.2017.01.005.Do Independent Director Departures Predict Future Bad Events?
Review of Financial Studies. 2017. Vol. 30, num. 7, p. 2313 – 2358. DOI : 10.1093/rfs/hhx009.Asset Pricing When ‘This Time Is Different’
Review Of Financial Studies. 2017. Vol. 30, num. 2, p. 505 – 538. DOI : 10.1093/rfs/hhw084.Debt enforcement, investment, and risk taking across countries
Journal of Financial Economics. 2017. Vol. 123, num. 1, p. 22 – 41. DOI : 10.1016/j.jfineco.2016.09.002.Trust, integrated information technology and new product success
European Journal Of Innovation Management. 2017. Vol. 20, num. 3, p. 406 – 427. DOI : 10.1108/Ejim-12-2015-0128.Model Uncertainty And Scenario Aggregation
Mathematical Finance. 2017. Vol. 27, num. 2, p. 534 – 567. DOI : 10.1111/mafi.12097.Expectations-driven cycles in the housing market
Economic Modelling. 2017. Vol. 60, p. 297 – 312. DOI : 10.1016/j.econmod.2016.10.004.Corporate policies with permanent and transitory shocks
Review of Financial Studies. 2017. Vol. 30, num. 1, p. 162 – 210. DOI : 10.1093/rfs/hhw078.Theses
Polynomial models in finance
Lausanne, EPFL, 2017.Essays in Financial Economics
Lausanne, EPFL, 2017.Three Essays on Corporate Disclosure
Lausanne, EPFL, 2017.Essays in Bank Financing
Lausanne, EPFL, 2017.Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns
Lausanne, EPFL, 2017.Working Papers
AUSTERITY IN THE AFTERMATH OF THE GREAT RECESSION
2017
2016
Journal Articles
To Buy or Not to Buy: Consumer Constraints in the Housing Market
American Economic Review. 2016. Vol. 106, num. 5, p. 636 – 640. DOI : 10.1257/aer.p20161086.Insider Trading, Stochastic Liquidity, And Equilibrium Prices
Econometrica. 2016. Vol. 84, num. 4, p. 1441 – 1475. DOI : 10.3982/Ecta10789.Parameter Learning in General Equilibrium: The Asset Pricing Implications
American Economic Review. 2016. Vol. 106, num. 3, p. 664 – 698. DOI : 10.1257/aer.20130392.The Euro Interbank Repo Market
Review Of Financial Studies. 2016. Vol. 29, num. 7, p. 1747 – 1779. DOI : 10.1093/rfs/hhv056.Quadratic variance swap models
Journal Of Financial Economics. 2016. Vol. 119, num. 1, p. 44 – 68. DOI : 10.1016/j.jfineco.2015.08.015.Uniqueness of equilibrium in a payment system with liquidation costs
Operations Research Letters. 2016. Vol. 44, num. 1, p. 1 – 5. DOI : 10.1016/j.orl.2015.10.005.Old-age provision: past, present, future
European Actuarial Journal. 2016. Vol. 6, num. 2, p. 287 – 306. DOI : 10.1007/s13385-016-0136-9.Fed funds futures variance futures
Quantitative Finance. 2016. Vol. 16, num. 9, p. 1413 – 1422. DOI : 10.1080/14697688.2016.1152391.Infrequent Rebalancing, Return Autocorrelation, and Seasonality
Journal Of Finance. 2016. Vol. 71, num. 6, p. 2967 – 3006. DOI : 10.1111/jofi.12436.Optimal exchange rate flexibility with large labor unions
Journal of International Money and Finance. 2016. Vol. 63, p. 112 – 136. DOI : 10.1016/j.jimonfin.2016.01.001.Capital goods, measured TFP and growth: The case of Spain
European Economic Review. 2016. Vol. 83, p. 19 – 39. DOI : 10.1016/j.euroecorev.2015.11.009.The total benefit of alternative assets to pension fund portfolios
Journal Of Financial Markets. 2016. Vol. 31, p. 25 – 42. DOI : 10.1016/j.finmar.2016.06.002.Polynomial diffusions and applications in finance
Finance And Stochastics. 2016. Vol. 20, num. 4, p. 931 – 972. DOI : 10.1007/s00780-016-0304-4.Elliptical tempered stable distribution
Quantitative Finance. 2016. Vol. 16, num. 7, p. 1069 – 1087. DOI : 10.1080/14697688.2015.1111522.To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Operations Research. 2016. Vol. 64, num. 5, p. 1135 – 1142. DOI : 10.1287/opre.2015.1414.Optimal reinsurance with multiple tranches
Journal Of Mathematical Economics. 2016. Vol. 65, p. 71 – 82. DOI : 10.1016/j.jmateco.2016.05.006.Resilience To Contagion In Financial Networks
Mathematical Finance. 2016. Vol. 26, num. 2, p. 329 – 365. DOI : 10.1111/mafi.12051.Scientific research measures
Journal Of The Association For Information Science And Technology. 2016. Vol. 67, num. 12, p. 3051 – 3063. DOI : 10.1002/asi.23530.Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities
Review Of Financial Studies. 2016. Vol. 29, num. 7, p. 1821 – 1859. DOI : 10.1093/rfs/hhw007.Theses
Essays on the Market Structure and Pricing of Credit Derivatives
Lausanne, EPFL, 2016.Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior
Lausanne, EPFL, 2016.Essays on Capital Calculation in Insurance
Lausanne, EPFL, 2016.Essays in Financial Economics
Lausanne, EPFL, 2016.2015
Journal Articles
The Rescue of Fannie Mae and Freddie Mac
Journal of Economic Perspectives. 2015. Vol. 29, num. 2, p. 25 – 52. DOI : 10.1257/jep.29.2.25.Approximating Functions On Stratified Sets
Transactions Of The American Mathematical Society. 2015. Vol. 367, num. 1, p. 725 – 749. DOI : 10.1090/S0002-9947-2014-06412-X.Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation
Journal Of Risk And Insurance. 2015. Vol. 82, num. 2, p. 261 – 288. DOI : 10.1111/jori.12021.Portfolio and welfare consequences of debt market dominance
Journal Of Monetary Economics. 2015. Vol. 74, p. 89 – 101. DOI : 10.1016/j.jmoneco.2015.06.005.Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)
Journal Of Economic Theory. 2015. Vol. 158, p. 838 – 869. DOI : 10.1016/j.jet.2014.11.014.Default And Systemic Risk In Equilibrium
Mathematical Finance. 2015. Vol. 25, num. 1, p. 51 – 76. DOI : 10.1111/mafi.12009.Capital supply uncertainty, cash holdings, and investment
Review of Financial Studies. 2015. Vol. 28, num. 2, p. 391 – 445. DOI : 10.1093/rfs/hhu081.Informational Efficiency under Short Sale Constraints
Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 804 – 824. DOI : 10.1137/140963522.International portfolios: A comparison of solution methods
Journal Of International Economics. 2015. Vol. 97, num. 2, p. 404 – 422. DOI : 10.1016/j.jinteco.2015.08.001.Investment timing, debt structure, and financing constraints
European Journal Of Operational Research. 2015. Vol. 241, num. 2, p. 513 – 526. DOI : 10.1016/j.ejor.2014.09.011.Control of Interbank Contagion Under Partial Information
Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 1195 – 1219. DOI : 10.1137/140981538.Investment-based financing constraints and debt renegotiation
Journal Of Banking & Finance. 2015. Vol. 51, p. 79 – 92. DOI : 10.1016/j.jbankfin.2014.11.005.Modeling Credit Contagion via the Updating of Fragile Beliefs
Review Of Financial Studies. 2015. Vol. 28, num. 7, p. 1960 – 2008. DOI : 10.1093/rfs/hhv018.Dividend Dynamics and the Term Structure of Dividend Strips
Journal Of Finance. 2015. Vol. 70, num. 3, p. 1115 – 1160. DOI : 10.1111/jofi.12242.Credit market frictions and capital structure dynamics
Journal of Economic Theory. 2015. Vol. 157, p. 1130 – 1158. DOI : 10.1016/j.jet.2014.09.021.Securitization and the Fixed-Rate Mortgage
The Review of Financial Studies. 2015. Vol. 28, num. 1, p. 176 – 211. DOI : 10.1093/rfs/hhu060.On Bounding Credit-Event Risk Premia
Review Of Financial Studies. 2015. Vol. 28, num. 9, p. 2608 – 2642. DOI : 10.1093/rfs/hhv022.Asset pricing with arbitrage activity
Journal of Financial Economics. 2015. Vol. 115, num. 2, p. 411 – 428. DOI : 10.1016/j.jfineco.2014.10.001.Detecting abnormal trading activities in option markets
Journal Of Empirical Finance. 2015. Vol. 33, p. 263 – 275. DOI : 10.1016/j.jempfin.2015.03.008.Marriage stability, taxation and aggregate labor supply in the U.S. vs. Europe
the Journal of Monetary Economics. 2015. Vol. 72, p. 1 – 20. DOI : 10.1016/j.jmoneco.2015.01.001.The effects of business cycle and debt maturity on a firm’s investment and default decisions
International Review Of Economics & Finance. 2015. Vol. 38, p. 326 – 351. DOI : 10.1016/j.iref.2015.02.031.Financing Investment: The choice between bonds and bank loans
Management Science. 2015. Vol. 61, num. 11, p. 2580 – 2602. DOI : 10.1287/mnsc.2014.2005.Do Prices Reveal the Presence of Informed Trading?
Journal Of Finance. 2015. Vol. 70, num. 4, p. 1555 – 1582. DOI : 10.1111/jofi.12260.Theses
Essays in Dynamic Corporate Finance
Lausanne, EPFL, 2015.Essays in Empirical Corporate Finance
Lausanne, EPFL, 2015.Working Papers
International Interest Rates and Housing Markets
2015
How Does Tax Progressivity and Household Heterogeneity Affect Laer Curves?
2015
Mortgage Default in an Estimated Model of the U.S. Housing Market
2015
2014
Journal Articles
Comonotone Pareto optimal allocations for law invariant robust utilities on L-1
Finance And Stochastics. 2014. Vol. 18, num. 1, p. 249 – 269. DOI : 10.1007/s00780-013-0214-7.Pricing and hedging of inflation-indexed bonds in an affine framework
Journal Of Computational And Applied Mathematics. 2014. Vol. 259, p. 452 – 463. DOI : 10.1016/j.cam.2013.10.023.Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics. 2014. Vol. 8, num. 1, p. 29 – 69. DOI : 10.1007/s11579-013-0107-8.Shortest-Weight Paths In Random Regular Graphs
Siam Journal On Discrete Mathematics. 2014. Vol. 28, num. 2, p. 656 – 672. DOI : 10.1137/120899534.The Swaption Cube
Review Of Financial Studies. 2014. Vol. 27, num. 8, p. 2307 – 2353. DOI : 10.1093/rfs/hhu015.Trade policy: Home market effect versus terms-of-trade externality
Journal Of International Economics. 2014. Vol. 93, num. 1, p. 92 – 107. DOI : 10.1016/j.jinteco.2013.12.010.Information percolation in segmented markets
Journal Of Economic Theory. 2014. Vol. 153, p. 1 – 32. DOI : 10.1016/j.jet.2014.05.006.Macroeconomic conditions and a firm’s investment decisions
Finance Research Letters. 2014. Vol. 11, num. 4, p. 398 – 409. DOI : 10.1016/j.frl.2014.08.002.The Endowment Effect
Annual Review of Economics. 2014. Vol. 6, num. 1, p. 555 – 579. DOI : 10.1146/annurev-economics-080213-041320.Bootstrap Percolation in Power-Law Random Graphs
Journal Of Statistical Physics. 2014. Vol. 155, num. 1, p. 72 – 92. DOI : 10.1007/s10955-014-0946-6.Invariant manifolds with boundary for jump-diffusions
Electronic Journal Of Probability. 2014. Vol. 19, p. 1 – 28. DOI : 10.1214/EJP.v19-2882.Excessive Volatility is Also a Feature of Individual Level Forecasts
Journal Of Behavioral Finance. 2014. Vol. 15, num. 1, p. 16 – 29. DOI : 10.1080/15427560.2014.877016.Filtration Shrinkage, Strict Local Martingales And The Follmer Measure
Annals Of Applied Probability. 2014. Vol. 24, num. 4, p. 1739 – 1766. DOI : 10.1214/13-Aap961.A two-period model with portfolio choice: Understanding results from different solution methods
Economics Letters. 2014. Vol. 124, num. 2, p. 239 – 242. DOI : 10.1016/j.econlet.2014.05.028.Risk and Reward Preferences under Time Pressure
Review Of Finance. 2014. Vol. 18, num. 3, p. 999 – 1022. DOI : 10.1093/rof/rft013.Theses
Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective
Lausanne, EPFL, 2014.Essays in Asset Pricing with Search Frictions
Lausanne, EPFL, 2014.Essays in Corporate Finance
Lausanne, EPFL, 2014.Three Essays on Asset Pricing
Lausanne, EPFL, 2014.Commodity Spread Option Pricing and the Economic Fundamentals of Crack Spreads
Lausanne, EPFL, 2014.Book Chapters
Efficient Pricing of Energy Derivatives
Energy Pricing Models; Palgrave Macmillan US, 2014.Working Papers
Capital Goods, Measured TFP and Growth: The Case of Spain
2014
2013
Journal Articles
Indifference pricing for CRRA utilities
Mathematics and Financial Economics. 2013. Vol. 7, num. 3, p. 247 – 280. DOI : 10.1007/s11579-013-0104-y.Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Journal Of Finance. 2013. Vol. 68, num. 5, p. 1805 – 1841. DOI : 10.1111/jofi.12053.The Rising Gap between Primary and Secondary Mortgage Rates
FRBNY Economic Policy Review. 2013. Vol. 19, num. 2, p. 17 – 39.What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting
American Economic Review. 2013. Vol. 103, num. 3, p. 570 – 574. DOI : 10.1257/aer.103.3.570.CEO contract design: How do strong principals do it?
Journal Of Financial Economics. 2013. Vol. 108, num. 3, p. 659 – 674. DOI : 10.1016/j.jfineco.2013.01.013.Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences
Finance and Stochastics. 2013. DOI : 10.2139/ssrn.1884108.Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data
Journal of Financial Stability. 2013. Vol. 9, num. 4, p. 518 – 529. DOI : 10.1016/j.jfs.2013.07.006.Leaning Against Boom-Bust Cycles in Credit and Housing Prices
Journal of Economic Dynamics and Control. 2013. Vol. 37, num. 8, p. 1500 – 1522. DOI : 10.1016/j.jedc.2013.03.008.Health and (Other) Asset Holdings
Review of Economic Studies. 2013. Vol. 80, num. 2, p. 663 – 710. DOI : 10.1093/restud/rds033.Optimal incentives and securitization of defaultable assets
Journal Of Financial Economics. 2013. Vol. 107, num. 1, p. 111 – 135. DOI : 10.1016/j.jfineco.2012.08.001.The term structure of interbank risk
Journal Of Financial Economics. 2013. Vol. 109, num. 3, p. 707 – 733. DOI : 10.1016/j.jfineco.2013.03.014.Can Equity Volatility Explain the Global Loan Pricing Puzzle?
Review Of Financial Studies. 2013. Vol. 26, num. 12, p. 3225 – 3265. DOI : 10.1093/rfs/hht069.Density approximations for multivariate affine jump-diffusion processes
Journal Of Econometrics. 2013. Vol. 176, num. 2, p. 93 – 111. DOI : 10.1016/j.jeconom.2012.12.003.Theses
Essays in Equilibrium Asset Pricing
Lausanne, EPFL, 2013.Essays on asset pricing with preference heterogeneity
Lausanne, EPFL, 2013.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013.Working Papers
Trade Policy: Home Market Effect versus Terms-of-Trade Externality
2013
Capital Supply Uncertainty, Cash Holdings, and Investment
2013
Trust-preferred securities and regulatory arbitrage
2013
Moral Hazard, Informed Trading and Equilibrium Prices
2013
Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data.
2013
Cash Holdings and Competition
2013
On the Benefits of a Monetary Union: Does it Pay to Be Bigger?
2013
2012
Journal Articles
Multi-stock portfolio optimization under prospect theory
Mathematics and Financial Economics. 2012. Vol. 6, num. 4, p. 337 – 362. DOI : 10.1007/s11579-012-0079-0.Financial Markets Equilibrium with Heterogeneous Agents
Review Of Finance. 2012. Vol. 16, p. 285 – 321. DOI : 10.1093/rof/rfr018.Corporate governance and capital structure dynamics
Journal of Finance. 2012. Vol. 67, p. 803 – 848. DOI : 10.1111/j.1540-6261.2012.01735.x.Approaches to Conditional Risk
SIAM Journal on Financial Mathematics. 2012. Vol. 3, p. 402 – 432. DOI : 10.2139/ssrn.1752851.Rational asset pricing bubbles and portfolio constraints
Journal Of Economic Theory. 2012. Vol. 147, num. 6, p. 2260 – 2302. DOI : 10.1016/j.jet.2012.05.003.The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1
Mathematical Finance. 2012. Vol. 22, p. 585 – 589. DOI : 10.1111/j.1467-9965.2012.00534.x.On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations
Journal Of Finance. 2012. Vol. 67, num. 6, p. 1983 – 2014. DOI : 10.1111/j.1540-6261.2012.01779.x.Understanding, modelling and managing longevity risk: key issues and main challenges
Scandinavian Actuarial Journal. 2012. num. 3, p. 203 – 231. DOI : 10.1080/03461238.2010.511034.Real options and risk aversion
Ambiguity, Real Options, Credit Risk and Insurance. 2012. Vol. 5, p. 52 – 65. DOI : 10.3233/978-1-61499-238-7-52.This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis
Journal Of Finance. 2012. Vol. 67, num. 6, p. 2139 – 2185. DOI : 10.1111/j.1540-6261.2012.01783.x.Incomplete information, idiosyncratic volatility and stock returns
Journal of Banking & Finance. 2012. Vol. 37, num. 2, p. 448 – 462. DOI : 10.1016/j.jbankfin.2012.09.004.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. Vol. 80, num. 3, p. 1249 – 1270. DOI : 10.3982/ECTA8783.Conditional Density Models for Asset Pricing
International Journal of Theoretical and Applied Finance. 2012. Vol. 15, p. 1 – 24. DOI : 10.2139/ssrn.1702871.Institutional Investors and Mutual Fund Governance: Evidence from Retail-Institutional Fund Twins
Review Of Financial Studies. 2012. Vol. 25, num. 12, p. 3530 – 3571. DOI : 10.1093/rfs/hhs105.Conference Papers
Affine Variance Swap Curve Models
2012. Seminar on Stochastic Analysis, Random Fields and Applications VII, Progress in Probability. DOI : 10.2139/ssrn.2033241.Theses
Essays in Financial Economics
Lausanne, EPFL, 2012.Book Chapters
Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
NBER Macroeconomics Annual 2011; University of Chicago Press, 2012.Sentiment, Asset Prices, and Systemic Risk
Handbook on Systemic Risk; Cambridge: Cambridge University Press, 2012.Working Papers
CEO Contract Design: How Do Strong Principals Do It?
2012
Spatiotemporal Brain Signatures of Risk and Reward
2012
Insider Trading, Stochastic Liquidity and Equilibrium Prices
2012
Credit Market Frictions and Capital Structure Dynamics
2012
On Bounding Credit Event Risk Premia
2012
Parameter Learning in General Equilibrium: The Asset Pricing Implications
2012
Financing Investment: The Choice between Public and Private Debt
2012
Mortgage Amortization and Amplification
2012
Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
2012
Do Prices Reveal the Presence of Informed Trading ?
2012
Reports
Risikobarometer im Interbankenmarkt
2012
2011
Journal Articles
Expectations as Endowments: Evidence on Reference-Dependent Preferences from Exchange and Valuation Experiments
The Quarterly Journal of Economics. 2011. Vol. 126, num. 4, p. 1879 – 1907. DOI : 10.1093/qje/qjr034.Insuring Consumption Using Income-Linked Assets
Review of Finance. 2011. Vol. 15, num. 4, p. 835 – 873. DOI : 10.1093/rof/rfr021.Risk, Unexpected Uncertainty, and Estimation Uncertainty: Bayesian Learning in Unstable Settings
PLoS Computational Biology. 2011. Vol. 7, num. 1, p. e1001048. DOI : 10.1371/journal.pcbi.1001048.Convexity bounds for BSDE solutions, with applications to indifference valuation
Probability Theory And Related Fields. 2011. Vol. 150, p. 219 – 255. DOI : 10.1007/s00440-010-0273-z.The human prefrontal cortex mediates integration of potential causes behind observed outcomes
Journal Of Neurophysiology. 2011. Vol. 106, p. 1558 – 1569. DOI : 10.1152/jn.01051.2010.Dual Representation Of Monotone Convex Functions On L-0
Proceedings Of The American Mathematical Society. 2011. Vol. 139, p. 4073 – 4086. DOI : 10.1090/S0002-9939-2011-10835-9.Hedging Your Bets by Learning Reward Correlations in the Human Brain
Neuron. 2011. Vol. 71, p. 1141 – 1152. DOI : 10.1016/j.neuron.2011.07.025.MAOA-L carriers are better at making optimal financial decisions under risk
Proceedings Of The Royal Society B-Biological Sciences. 2011. Vol. 278, p. 2053 – 2059. DOI : 10.1098/rspb.2010.2304.Affine Processes On Positive Semidefinite Matrices
Annals Of Applied Probability. 2011. Vol. 21, p. 397 – 463. DOI : 10.1214/10-AAP710.Explaining asset pricing puzzles associated with the 1987 market crash
Journal of Financial Economics. 2011. Vol. 101, num. 3, p. 552 – 573. DOI : 10.1016/j.jfineco.2011.01.008.The impact of disappointment in decision making: inter-individual differences and electrical neuroimaging
Frontiers In Human Neuroscience. 2011. Vol. 4, p. 235. DOI : 10.3389/fnhum.2010.00235.Risky Mortgages in a DSGE Model
International Journal of Central Banking. 2011. Vol. 7, num. 1, p. 285 – 335.Corporate investment and financing under asymmetric information
Journal of Financial Economics. 2011. Vol. 99, p. 262 – 288. DOI : 10.1016/j.jfineco.2010.09.003.Robust Value at Risk Prediction
Journal Of Financial Econometrics. 2011. Vol. 9, p. 281 – 313. DOI : 10.1093/jjfinec/nbq035.Dynamic CDO Term Structure Modeling
Mathematical Finance. 2011. Vol. 21, p. 53 – 71. DOI : 10.1111/j.1467-9965.2010.00421.x.Price impact and portfolio impact
Journal Of Financial Economics. 2011. Vol. 100, p. 201 – 225. DOI : 10.1016/j.jfineco.2010.11.001.Former CEO Directors: Lingering CEOs or Valuable Resources?
Review Of Financial Studies. 2011. Vol. 24, p. 3486 – 3518. DOI : 10.1093/rfs/hhr056.Separate encoding of model-based and model-free valuations in the human brain
Neuroimage. 2011. Vol. 58, p. 955 – 962. DOI : 10.1016/j.neuroimage.2011.06.071.Estimating the Effects of Large Shareholders Using a Geographic Instrument
Journal Of Financial And Quantitative Analysis. 2011. Vol. 46, p. 907 – 942. DOI : 10.1017/S0022109011000159.Bank CEO incentives and the credit crisis
Journal Of Financial Economics. 2011. Vol. 99, p. 11 – 26. DOI : 10.1016/j.jfineco.2010.08.010.Conference Papers
Doubly Stochastic CDO Term Structures
2011. 6th Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, SWITZERLAND, May 19-23, 2008. p. 413 – 428. DOI : 10.1007/978-3-0348-0021-1_23.Theses
Demystifying Rational Financial Decision-Making : Insights from Neurofinance
Lausanne, EPFL, 2011.Working Papers
Promoting Intellectual Discovery: Patents vs. Markets
2011
Deep Habits, Price Rigidities and the Consumption Response to Government Spending
2011
Prices and Allocations in Dynamically Complete Markets: Experimental Evidence
2011
Disaggregating Real Exchange Rate Dynamics: A Structural Approach
2011
Modeling Decision Making Under Ambiguity
2011
Can Equity Volatility Explain the Global Loan Pricing Puzzle?
2011
Exploring the Nature of ‘Trading Intuition’
2011
Modeling Price Pressure in Financial Markets
2011
Categorization of Monetary Gambles in the Human Brain
2011
How to Predict Risk: Theory and Simulation
2011
Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model
2011
The Dorsal Striatum Encodes and Integrates Marginal Utility with Other Subcomponents of Value to Drive Choice
2011
Delegated Portfolio Management: Experiments
2011
Modeling Credit Contagion Via the Updating of Fragile Beliefs
2011
Trade Liberalization, Firm Heterogeneity, and Labor Layoffs: An Empirical Investigation
2011
Neural Coding of Outcome Uncertainty
2011
Neuronal Correlates of Basic Choice Parameters Predict Decisions under Uncertainty
2011
2010
Journal Articles
Natural Expectations and Macroeconomic Fluctuations
Journal of Economic Perspectives. 2010. Vol. 24, num. 4, p. 67 – 84. DOI : 10.1257/jep.24.4.67.The relative contributions of private information sharing and public information releases to information aggregation
Journal Of Economic Theory. 2010. Vol. 145, p. 1574 – 1601. DOI : 10.1016/j.jet.2009.10.017.Variance Risk Premia in Energy Commodities
The Journal of Derivatives. 2010. Vol. 17, num. 3, p. 15 – 32. DOI : 10.3905/jod.2010.17.3.015.Jump-diffusions in Hilbert spaces: existence, stability and numerics
Stochastics-An International Journal Of Probability And Stochastic Processes. 2010. Vol. 82, p. 475 – 520. DOI : 10.1080/17442501003624407.Dynamic investment and financing under personal taxation
Review of Financial Studies. 2010. Vol. 23, p. 101 – 146. DOI : 10.1093/rfs/hhp062.Another Hidden Cost of Incentives: The Detrimental Effect on Norm Enforcement
Management Science. 2010. Vol. 56, num. 1, p. 57 – 70. DOI : 10.1287/mnsc.1090.1081.Why do firms appoint CEOs as outside directors?
Journal Of Financial Economics. 2010. Vol. 97, p. 12 – 32. DOI : 10.1016/j.jfineco.2010.01.003.Mutual fund portfolio choice in the presence of dynamic ïŹows
Mathematical Finance. 2010. Vol. 20, num. 2, p. 187 – 227. DOI : 10.1111/j.1467-9965.2010.00395.x.Continuity Properties of Law-Invariant (Quasi-)Convex Risk Functions on Lâ
Mathematics and Financial Economics. 2010. Vol. 3, num. 1, p. 39 – 43. DOI : 10.1007/s11579-010-0026-x.Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information
Review Of Financial Studies. 2010. Vol. 23, p. 1503 – 1543. DOI : 10.1093/rfs/hhp113.A Note On The Dai-Singleton Canonical Representation Of Affine Term Structure Models
Mathematical Finance. 2010. Vol. 20, p. 509 – 519. DOI : 10.1111/j.1467-9965.2010.00408.x.Exploring the Nature of “Trader Intuition”
Journal Of Finance. 2010. Vol. 65, p. 1703 – 1723. DOI : 10.1111/j.1540-6261.2010.01591.x.Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity
SIAM Journal on Financial Mathematics. 2010. Vol. 1, p. 523 – 554. DOI : 10.1137/090758593.A Behavioral and Neural Evaluation of Prospective Decision-Making under Risk
The Journal of neuroscience. 2010. Vol. 30, p. 14380 – 14389. DOI : 10.1523/JNEUROSCI.1459-10.2010.A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents
Swiss Finance Institute Research Paper No. 10-29. 2010. DOI : 10.2139/ssrn.1633342.Does information drive trading in option strategies?
Journal of Banking and Finance. 2010. Vol. 34, num. 10, p. 2370 – 2385. DOI : 10.1016/j.jbankfin.2010.02.027.Ambiguity in Asset Markets: Theory and Experiment
Review Of Financial Studies. 2010. Vol. 23, p. 1325 – 1359. DOI : 10.1013/rfs/hhp106.Conference Papers
Pricing and Hedging of CDOs: A Top Down Approach
2010. International Conference on Quantitative Methods in Finance, Sydney, AUSTRALIA, Dec, 2009. p. 231 – 253. DOI : 10.1007/978-3-642-03479-4_13.Mutual fund competition in the presence of dynamic flows
2010. Workshop on Dynamic Games in Management Science, Montreal, CANADA, May 02-03, 2008. p. 1176 – 1185. DOI : 10.1016/j.automatica.2010.04.006.Reviews
Risk and risk prediction error signals in anterior insula
Brain Structure & Function. 2010. Vol. 214, p. 645 – 653. DOI : 10.1007/s00429-010-0253-1.Theses
Essays on Equilibrium Asset Pricing
Lausanne, EPFL, 2010.Corporate Finance, Asset Returns, and Credit Risk
Lausanne, EPFL, 2010.Book Chapters
Pricing expropriation risk in natural resource contracts â A real options approach
The Natural Resource Trap: Private Investment without Public Commitment; MIT press, 2010.Working Papers
Expectations-Driven Cycles in the Housing Market
2010
Credit Supply and Corporate Policies
2010
The Dark Side of Outside Directors: Do They Quit When They are Most Needed?
2010
Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs
2010
2009
Journal Articles
Optimal Risk Sharing with Different Reference Probabilities
Insurance: Mathematics and Economics. 2009. Vol. 44, p. 426 – 433. DOI : 10.1016/j.insmatheco.2008.12.002.Relative Extinction of Heterogeneous Agents
B.E. Journal of Theoretical Economics. 2009. Vol. 10, num. 1, p. 4. DOI : 10.2202/1935-1704.1605.Modelling price pressure in financial markets
Journal Of Economic Behavior & Organization. 2009. Vol. 72, p. 119 – 130. DOI : 10.1016/j.jebo.2009.03.003.Information Percolation with Equilibrium Search Dynamics
Econometrica. 2009. Vol. 77, num. 5, p. 1513 – 1574. DOI : 10.3982/ECTA8160.Encoding of Marginal Utility across Time in the Human Brain
The Journal of neuroscience. 2009. Vol. 29, p. 9575 – 9581. DOI : 10.1523/JNEUROSCI.1126-09.2009.The impact of fiscal-monetary policy interactions on government size and macroeconomic performance
Economic Modelling. 2009. Vol. 26, p. 918 – 925. DOI : 10.1016/j.econmod.2009.02.014.Can interest rate volatility be extracted from the cross section of bond yields?â
Journal of Financial Economics. 2009. Vol. 94, num. 1, p. 47 – 66. DOI : 10.1016/j.jfineco.2008.06.007.Consistent Market Extensions under the Benchmark Approach
Mathematical Finance. 2009. Vol. 19, num. 1, p. 41 – 52. DOI : 10.1111/j.1467-9965.2008.00356.x.Conference Papers
Neural Basis Of Expected Utility And Mean-Variance Models Of Risk
2009. p. 109 – 109.Books
Term-Structure Models: A Graduate Course
Springer Finance, 2009.Working Papers
Equilibrium Driven by Discounted Dividend Volatility
2009
International monetary policy cooperation revisited: conservatism and non-atomistic wage setting
2009
On the Benefits of a Monetary Union: does it pay to be bigger?
2009
Risk Aversion and Equilibrium Optimal Portfolios in Large Markets
2009
Macroeconomic interdependence under collective wage bargaining
2009
Trade Policy: Home Market Effect vs Terms of Trade Externality
2009
Monetary-Labor Interactions, International Monetary Regimes, and Central Bank Conservatism
2009
The welfare effect of foreign monetary conservatism with non-atomistic wage setters
2009
Optimal Monetary and Fiscal Policy in the EMU: Does Fiscal Policy Coordination matter?
2009
Endogenous Completeness of Diffusion Driven Equilibrium Markets
2009
Optimal Exchange-Rate Targeting with Large Labor Unions
2009