SFI Publications

2024

Journal Articles

Asset life, leverage, and debt maturity matching

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

Journal Of Financial Economics. 2024-02-09. Vol. 154, p. 103796. DOI : 10.1016/j.jfineco.2024.103796.

Silicon microresonator arrays: A comprehensive study on fabrication techniques and pH-controlled stress-induced variations in cantilever stiffness

G. Brunetti; A. De Pastina; C. Rotella; V. Usov; G. Villanueva et al. 

Microelectronic Engineering. 2024-02-08. Vol. 287, p. 112154. DOI : 10.1016/j.mee.2024.112154.

Takeover Protections and Asset Prices

A. Eisdorfer; E. Morellec; A. Zhdanov 

Management Science. 2024-02-08. DOI : 10.1287/mnsc.2022.03111.

High-throughput determination of Hubbard U and Hund J values for transition metal oxides via the linear response formalism

G. C. Moore; M. K. Horton; E. B. Linscott; A. M. Ganose; M. Siron et al. 

Physical Review Materials. 2024-01-29. Vol. 8, num. 1, p. 014409. DOI : 10.1103/PhysRevMaterials.8.014409.

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

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

Journal Of Finance. 2024-01-09. DOI : 10.1111/jofi.13300.

2023

Journal Articles

Probing Small Bjorken-x Nuclear Gluonic Structure via Coherent J/ψ Photoproduction in Ultraperipheral Pb-Pb Collisions at √sNN=5.02 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-12-28. Vol. 131, num. 26, p. 262301. DOI : 10.1103/PhysRevLett.131.262301.

The Virtue of Complexity in Return Prediction

B. Kelly; S. Malamud; K. Zhou 

Journal Of Finance. 2023-12-21. Vol. 79, num. 1, p. 459-503. DOI : 10.1111/jofi.13298.

Search for physics beyond the standard model in top quark production with additional leptons in the context of effective field theory

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Journal Of High Energy Physics. 2023-12-12. num. 12, p. 68. DOI : 10.1007/JHEP12(2023)068.

Search for Z′ bosons decaying to pairs of heavy Majorana neutrinos in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-11-24. num. 11, p. 181. DOI : 10.1007/JHEP11(2023)181.

Measurement of the t(t)over-bar charge asymmetry in events with highly Lorentz-boosted in collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physics Letters B. 2023-11-10. Vol. 846, p. 137703. DOI : 10.1016/j.physletb.2023.137703.

Search for the Higgs boson decay to a pair of electrons in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physics Letters B. 2023-11-10. Vol. 846, p. 137783. DOI : 10.1016/j.physletb.2023.137783.

GROWTH, HOUSING, AND GLOBAL IMBALANCES

L. Franjo; L. Lambertini; S. Stepanchuk 

International Economic Review. 2023-10-28. DOI : 10.1111/iere.12674.

Measurement of the top quark mass using a profile likelihood approach with the lepton plus jets final states in proton-proton collisions at √s=13TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-10-25. Vol. 83, num. 10, p. 963. DOI : 10.1140/epjc/s10052-023-12050-4.

Measurements of the azimuthal anisotropy of prompt and nonprompt charmonia in PbPb collisions at √sNN=5.02 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-10-19. num. 10, p. 115. DOI : 10.1007/JHEP10(2023)115.

A search for decays of the Higgs boson to invisible particles in events with a top-antitop quark pair or a vector boson in proton-proton collisions at √s=13TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-10-16. Vol. 83, num. 10, p. 933. DOI : 10.1140/epjc/s10052-023-11952-7.

Search for the lepton-flavor violating decay of the Higgs boson and additional Higgs bosons in the eμ final state in proton-proton collisions at √s=13 TeV

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Physical Review D. 2023-10-10. Vol. 108, num. 7, p. 072004. DOI : 10.1103/PhysRevD.108.072004.

Search for a high-mass dimuon resonance produced in association with b quark jets at √s=13 TeV

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Journal Of High Energy Physics. 2023-10-06. num. 10, p. 43. DOI : 10.1007/JHEP10(2023)043.

Search for new physics in multijet events with at least one photon and large missing transverse momentum in proton-proton collisions at 13 TeV

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Journal Of High Energy Physics. 2023-10-06. num. 10, p. 046. DOI : 10.1007/JHEP10(2023)046.

Search for supersymmetry in final states with a single electron or muon using angular correlations and heavy-object identification in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-09-22. num. 9, p. 149. DOI : 10.1007/JHEP09(2023)149.

Sparse and stable international portfolio optimization and currency risk management

R. Burkhardt; U. Ulrych 

Journal Of International Money And Finance. 2023-09-15. Vol. 139, p. 102949. DOI : 10.1016/j.jimonfin.2023.102949.

Search for a vector-like quark T′→ tH via the diphoton decay mode of the Higgs boson in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-09-11. num. 9, p. 057. DOI : 10.1007/JHEP09(2023)057.

Proton reconstruction with the CMS-TOTEM Precision Proton Spectrometer

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of Instrumentation. 2023-09-01. Vol. 18, num. 9. DOI : 10.1088/1748-0221/18/09/P09009.

Observation of Same-Sign WW Production from Double Parton Scattering in Proton-Proton Collisions at √s =13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-09-01. Vol. 131, num. 9, p. 091803. DOI : 10.1103/PhysRevLett.131.091803.

Observation of the Rare Decay of the η Meson to Four Muons

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Physical Review Letters. 2023-09-01. Vol. 131, num. 9, p. 091903. DOI : 10.1103/PhysRevLett.131.091903.

Asset purchases, limited asset markets participation and inequality

S. Tsiaras 

Journal Of Economic Dynamics & Control. 2023-09-01. Vol. 154, p. 104721. DOI : 10.1016/j.jedc.2023.104721.

First measurement of the top quark pair production cross section in proton-proton collisions at √s=13.6 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-08-30. num. 8, p. 204. DOI : 10.1007/JHEP08(2023)204.

Measurements of jet multiplicity and jet transverse momentum in multijet events in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-08-22. Vol. 83, num. 8, p. 742. DOI : 10.1140/epjc/s10052-023-11753-y.

Azimuthal correlations in Z plus jets events in proton-proton collisions at √s=13TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-08-11. Vol. 83, num. 8, p. 722. DOI : 10.1140/epjc/s10052-023-11833-z.

Measurements of inclusive and differential cross sections for the Higgs boson production and decay to four-leptons in proton-proton collisions at √s=13 TeV

A. Hayrapetyan; A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer et al. 

Journal Of High Energy Physics. 2023-08-09. num. 8, p. 40. DOI : 10.1007/JHEP08(2023)040.

Search for Higgs Boson Decay to a Charm Quark-Antiquark Pair in Proton-Proton Collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-08-07. Vol. 131, num. 6, p. 061801. DOI : 10.1103/PhysRevLett.131.061801.

Azimuthal Correlations within Exclusive Dijets with Large Momentum Transfer in Photon-Lead Collisions

A. Tumasyan; W. Adam; T. Bergauer; M. Dragicevic; A. E. Del Valle et al. 

Physical Review Letters. 2023-08-01. Vol. 131, num. 5, p. 051901. DOI : 10.1103/PhysRevLett.131.051901.

Search for high-mass exclusive γγ → WW and γγ → ZZ production in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-31. num. 7, p. 229. DOI : 10.1007/JHEP07(2023)229.

Measurement of the cross section of top quark-antiquark pair production in association with a W boson in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-28. num. 7, p. 219. DOI : 10.1007/JHEP07(2023)219.

Combination of inclusive top-quark pair production cross-section measurements using ATLAS and CMS data at √s=7 and 8 TeV

G. Aad; B. Abbott; D. C. Abbott; A. Abed Abud; K. Abeling et al. 

Journal Of High Energy Physics. 2023-07-27. num. 7, p. 213. DOI : 10.1007/JHEP07(2023)213.

Two-particle azimuthal correlations in γp interactions using pPb collisions at √sNN=8.16 TeV

A. Tumasyan; W. Adam; T. Bergauer; M. Dragicevic; A. E. Del Valle et al. 

Physics Letters B. 2023-07-27. Vol. 844, p. 137905. DOI : 10.1016/j.physletb.2023.137905.

Search for long-lived particles using out-of-time trackless jets in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-27. num. 7, p. 210. DOI : 10.1007/JHEP07(2023)210.

Measurements of the Higgs boson production cross section and couplings in the W boson pair decay channel in proton-proton collisions at √s=13TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-07-26. Vol. 83, num. 7, p. 667. DOI : 10.1140/epjc/s10052-023-11632-6.

Search for Higgs boson and observation of Z boson through their decay into a charm quark-antiquark pair in boosted topologies in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-07-26. Vol. 131, num. 4, p. 041801. DOI : 10.1103/PhysRevLett.131.041801.

Search for Nonresonant Pair Production of Highly Energetic Higgs Bosons Decaying to Bottom Quarks

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-07-25. Vol. 131, num. 4, p. 041803. DOI : 10.1103/PhysRevLett.131.041803.

Search for medium effects using jets from bottom quarks in PbPb collisions at √sNN = 5.02 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physics Letters B. 2023-07-24. Vol. 844, p. 137849. DOI : 10.1016/j.physletb.2023.137849.

Search for new heavy resonances decaying to WW, WZ, ZZ, WH, or ZH boson pairs in the all-jets final state in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physics Letters B. 2023-07-21. Vol. 844, p. 137813. DOI : 10.1016/j.physletb.2023.137813.

Search for resonant and nonresonant production of pairs of dijet resonances in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-21. num. 7, p. 161. DOI : 10.1007/JHEP07(2023)161.

Search for the exotic decay of the Higgs boson into two light pseudoscalars with four photons in the final state in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-19. num. 7, p. 148. DOI : 10.1007/JHEP07(2023)148.

Search for direct pair production of supersymmetric partners of τ leptons in the final state with two hadronically decaying τ leptons and missing transverse momentum in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review D. 2023-07-19. Vol. 108, num. 1, p. 012011. DOI : 10.1103/PhysRevD.108.012011.

Azimuthal anisotropy of dijet events in PbPb collisions at √sNN=5.02 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-17. num. 7, p. 139. DOI : 10.1007/JHEP07(2023)139.

Search for top squark pair production in a final state with at least one hadronically decaying tau lepton in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-13. num. 7, p. 110. DOI : 10.1007/JHEP07(2023)110.

Search for Higgs boson pairs decaying to WW*WW*, WW*ττ, and ττττ in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-12. num. 7, p. 095. DOI : 10.1007/JHEP07(2023)095.

Search for CP violation in t(t)over-bar H and tH production in multilepton channels in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-12. num. 7, p. 092. DOI : 10.1007/JHEP07(2023)092.

Measurement of the Higgs boson inclusive and differential fiducial production cross sections in the diphoton decay channel with pp collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-12. num. 7, p. 091. DOI : 10.1007/JHEP07(2023)091.

CMS PYTHIA 8 colour reconnection tunes based on underlying-event data

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-07-10. Vol. 83, num. 7, p. 587. DOI : 10.1140/epjc/s10052-023-11630-8.

Measurement of the top quark pole mass using t(t)over-bar+jet events in the dilepton final state in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-10. num. 7, p. 077. DOI : 10.1007/JHEP07(2023)077.

Searches for additional Higgs bosons and for vector leptoquarks in ττ final states in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-10. num. 7, p. 73. DOI : 10.1007/JHEP07(2023)073.

Probing Heavy Majorana Neutrinos and the Weinberg Operator through Vector Boson Fusion Processes in Proton-Proton Collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Physical Review Letters. 2023-07-06. Vol. 131, num. 1, p. 011803. DOI : 10.1103/PhysRevLett.131.011803.

Measurement of inclusive and differential cross sections for single top quark production in association with a W boson in proton-proton collisions at √s=13TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-06. num. 7, p. 46. DOI : 10.1007/JHEP07(2023)046.

Search for CP violating top quark couplings in pp collisions at √s=13 TeV

A. Tumasyan; W. Adam; T. Bergauer; M. Dragicevic; A. Escalante Del Valle et al. 

Journal Of High Energy Physics. 2023-07-04. num. 7, p. 23. DOI : 10.1007/JHEP07(2023)023.

Measurement of the differential t(t)over-bar production cross section as a function of the jet mass and extraction of the top quark mass in hadronic decays of boosted top quarks

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

European Physical Journal C. 2023-07-03. Vol. 83, num. 7, p. 560. DOI : 10.1140/epjc/s10052-023-11587-8.

Search for pair production of vector-like quarks in leptonic final states in proton-proton collisions at √s=13 TeV

A. Tumasyan; W. Adam; J. W. Andrejkovic; T. Bergauer; S. Chatterjee et al. 

Journal Of High Energy Physics. 2023-07-03. num. 7, p. 020. DOI : 10.1007/JHEP07(2023)020.

Liquidity, Volume, and Order Imbalance Volatility

V. Bogousslavsky; P. Collin-Dufresne 

Journal Of Finance. 2023-06-05. DOI : 10.1111/jofi.13248.

Greening the Swiss National Bank’s Portfolio

R. Fahlenbrach; E. Jondeau 

Review Of Corporate Finance Studies. 2023-05-03. DOI : 10.1093/rcfs/cfad011.

International Portfolio Choice with Frictions: Evidence from Mutual Funds

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

Review Of Financial Studies. 2023-04-17. DOI : 10.1093/rfs/hhad027.

Exchange options with stochastic liquidity risk

P. Pasricha; X-J. He 

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

D. Anderson; U. Ulrych 

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?

H. Kim; R. Fahlenbrach; A. Low 

Journal Of Empirical Finance. 2023-01-01. Vol. 70, p. 1-21. DOI : 10.1016/j.jempfin.2022.11.001.

Theses

Closed form approximation methods for portfolio valuation and risk management

L. Boudabsa / D. Filipovic (Dir.)  

Lausanne, EPFL, 2023. 

Essays in macro-finance and deep learning

G. Gopalakrishna / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2023. 

Demand-based Asset Pricing: Theory, Estimation and Applications

P. van der Beck / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2023. 

Book Chapters

Mortgage-backed securities

A. Fuster; D. Lucca; J. Vickery 

Research Handbook of Financial Markets; Edward Elgar, 2023.

Survey experiments on economic expectations

A. Fuster; B. Zafar 

Handbook of Economic Expectations; Academic Press, 2023.

2022

Journal Articles

Principal Portfolios

B. Kelly; S. Malamud; L. H. Pedersen 

Journal Of Finance. 2022-12-27. DOI : 10.1111/jofi.13199.

Illiquidity and Higher Cumulants

S. Glebkin; S. Malamud; A. Teguia 

Review Of Financial Studies. 2022-09-14. DOI : 10.1093/rfs/hhac069.

Are green bonds priced lower than their conventional peers?

Y. Wu 

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?

M. Efing; R. Fahlenbrach; C. Herpfer; P. Krueger 

Review Of Corporate Finance Studies. 2022-08-23. DOI : 10.1093/rcfs/cfac024.

Understanding Cash Flow Risk

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

Review Of Financial Studies. 2022-07-18. Vol. 35, num. 8, p. 3922-3973. DOI : 10.1093/rfs/hhab127.

Heterogeneity in decentralized asset markets

J. Hugonnier; B. Lester; P-O. Weill 

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

P. Pasricha; X-J. He 

International Review Of Financial Analysis. 2022-07-01. Vol. 82, p. 102120. DOI : 10.1016/j.irfa.2022.102120.

Insider trading with penalties

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

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

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

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

P. Pasricha; D. Selvamuthu; S. Natarajan 

Stochastics-An International Journal Of Probability And Stochastic Processes. 2022-02-26. DOI : 10.1080/17442508.2022.2041641.

Monetary Independence And Rollover Crises

J. Bianchi; J. Mondragon 

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

M. Blatter; A. Fuster 

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

J. Hugonnier 

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

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

The Economic Journal. 2022. Vol. 132, num. 643, p. 1095-1122. DOI : 10.1093/ej/ueab072.

FinTech Lending

T. Berg; A. Fuster; M. Puri 

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?

T. Geelen; J. Hajda; E. Morellec 

Review Of Financial Studies. 2022. Vol. 35, num. 9, p. 4152–4200. DOI : 10.1093/rfs/hhab129.

Optimal fund menus

J. Cvitanic; J. Hugonnier 

Mathematical Finance. 2022. Vol. 32, num. 2, p. 455-516. DOI : 10.1111/mafi.12341.

Expectations with Endogenous Information Acquisition: An Experimental Investigation

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

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

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

The Journal of Finance. 2022. Vol. 77, num. 1, p. 5-47. DOI : 10.1111/jofi.13090.

Dominant currency debt

E. Eren; S. Malamud 

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

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

Journal of Financial Stability. 2022. Vol. 58, p. 100910. DOI : 10.1016/j.jfs.2021.100910.

Theses

Financial Risk Management with Machine Learning

M-A. A. Divernois / D. Filipovic (Dir.)  

Lausanne, EPFL, 2022. 

Essays in Monetary Policy and Asset Pricing

B. V. S. Cornet / J. Hugonnier; P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2022. 

Essays in Empirical Asset Pricing

A. A. Marchal / P. Collin Dufresne; J. Hugonnier (Dir.)  

Lausanne, EPFL, 2022. 

Asset Pricing and Monetary Policy

N. Gauderon / J. Hugonnier (Dir.)  

Lausanne, EPFL, 2022. 

Essays in Financial Economics

K. M. Rageth / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2022. 

Working Papers

Consumer Privacy and Value of Consumer Data

M. Canayaz; I. Kantorovitch; R. Mihet 

2022-08-19

2021

Journal Articles

Optimal financing with tokens

S. Gryglewicz; S. Mayer; E. Morellec 

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

L. Boudabsa; D. Filipovic 

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

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

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

R. Mukherjee; C. Proebsting 

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*

H. Fallahgoul; J. Hugonnier; L. Mancini 

Journal Of Financial Econometrics. 2021-08-25.  p. nbab020. DOI : 10.1093/jjfinec/nbab020.