2024
Journal Articles
Stripping the Swiss discount curve using kernel ridge regression
European Actuarial Journal. 2024. DOI : 10.1007/s13385-024-00386-4.Intraday solar irradiance forecasting using public cameras
Solar Energy. 2024. Vol. 275, p. 112600. DOI : 10.1016/j.solener.2024.112600.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.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 Time‐Varying Price of Financial Intermediation in the Mortgage Market
The Journal of Finance. 2024. DOI : 10.1111/jofi.13358.Theses
Machine Learning for Modeling Stock Returns
Lausanne, EPFL, 2024.Essays in Government Bond Pricing and Inflation
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.GROWTH, HOUSING, AND GLOBAL IMBALANCES
International Economic Review. 2023. DOI : 10.1111/iere.12674.Discount models
Finance And Stochastics. 2023. Vol. 27, num. 4, p. 933 – 946. DOI : 10.1007/s00780-023-00514-0.Sparse and stable international portfolio optimization and currency risk management
Journal Of International Money And Finance. 2023. Vol. 139, p. 102949. DOI : 10.1016/j.jimonfin.2023.102949.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.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.Accelerated American option pricing with deep neural networks
Quantitative Finance And Economics. 2023. Vol. 7, num. 2, p. 207 – 228. DOI : 10.3934/QFE.2023011.Theses
Essays in macro-finance and deep learning
Lausanne, EPFL, 2023.Demand-based Asset Pricing: Theory, Estimation and Applications
Lausanne, EPFL, 2023.Closed form approximation methods for portfolio valuation and risk management
Lausanne, EPFL, 2023.Book Chapters
Mortgage-backed securities
Research Handbook of Financial Markets; Edward Elgar, 2023.Survey experiments on economic expectations
Handbook of Economic Expectations; Academic Press, 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.How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock?
Review Of Corporate Finance Studies. 2022. DOI : 10.1093/rcfs/cfac024.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.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. 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. Vol. 82, p. 102120. DOI : 10.1016/j.irfa.2022.102120.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.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.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.Optimal fund menus
Mathematical Finance. 2022. Vol. 32, num. 2, p. 455 – 516. DOI : 10.1111/mafi.12341.Dominant currency debt
Journal of Financial Economics. 2022. Vol. 144, num. 2, p. 571 – 589. DOI : 10.1016/j.jfineco.2021.06.023.FinTech Lending
Annual Review Of Financial Economics. 2022. Vol. 14, p. 187 – 207. DOI : 10.1146/annurev-financial-101521-112042.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.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.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.Can Corporate Debt Foster Innovation and Growth?
Review Of Financial Studies. 2022. Vol. 35, num. 9, p. 4152 – 4200. DOI : 10.1093/rfs/hhab129.Theses
Essays in Financial Economics
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.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 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.Risk Premia and Levy Jumps: Theory and Evidence*
Journal Of Financial Econometrics. 2021. p. nbab020. DOI : 10.1093/jjfinec/nbab020.Stress tests and loan pricing—Evidence 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.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.Theses
Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19
Lausanne, EPFL, 2021.Informational frictions in financial markets
Lausanne, EPFL, 2021.Essays in Banking and Financial Regulation
Lausanne, EPFL, 2021.Empirical Evidence on the Effectiveness of Shareholder Democracy
Lausanne, EPFL, 2021.Working Papers
Stress tests and loan pricing—Evidence from syndicated loans
2021
Mean-Covariance Robust Risk Measurement
2021
2020
Journal Articles
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.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020. Vol. 87, num. 3, p. 1432 – 1469. DOI : 10.1093/restud/rdz037.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.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.Polynomial Jump-Diffusion Models
Stochastic Systems. 2020. Vol. 10, num. 1, p. 71 – 97. DOI : 10.2139/ssrn.3075520.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.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.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.Option pricing with orthogonal polynomial expansions
Mathematical Finance. 2020. Vol. 30, num. 1, p. 47 – 84. DOI : 10.1111/mafi.12226.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
Mortgage Supply and Capital Regulation in a Low Interest Rate Environment
2020
Fiscal Policy, Relative Prices and Net Exports in a Currency Union
2020
Patents
System and method for user data input to modify configurations
WO2020147986; EP3683741.
2020.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.Understanding Mortgage Spreads
The Review of Financial Studies. 2019. Vol. 32, num. 10, p. 3799 – 3850. DOI : 10.1093/rfs/hhz004.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.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.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.Theses
Essays in Financial Economics
Lausanne, EPFL, 2019.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.Numerical methods for option pricing: polynomial approximation and high dimensionality
Lausanne, EPFL, 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.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.Tracking and Stress-Testing U.S. Household Leverage
FRBNY Economic Policy Review. 2018. Vol. 24, num. 1, p. 35 – 63.Agency conflicts around the world
Review of Financial Studies. 2018. Vol. 31, num. 11, p. 4232 – 4287. DOI : 10.1093/rfs/hhy018.Activism, Strategic Trading, and Liquidity
Econometrica. 2018. Vol. 86, num. 4, p. 1431 – 1463. DOI : 10.3982/ECTA14917.Exact Smooth Term-Structure Estimation
Siam Journal On Financial Mathematics. 2018. Vol. 9, num. 3, p. 907 – 929. DOI : 10.1137/16M1080276.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.Theses
Equilibrium Models for Derivatives Markets with Frictions
Lausanne, EPFL, 2018.Essays in Corporate Finance
Lausanne, EPFL, 2018.Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance
Lausanne, EPFL, 2018.Working Papers
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.Model Uncertainty And Scenario Aggregation
Mathematical Finance. 2017. Vol. 27, num. 2, p. 534 – 567. DOI : 10.1111/mafi.12097.Asset Pricing When ‘This Time Is Different’
Review Of Financial Studies. 2017. Vol. 30, num. 2, p. 505 – 538. DOI : 10.1093/rfs/hhw084.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.Expectations-driven cycles in the housing market
Economic Modelling. 2017. Vol. 60, p. 297 – 312. DOI : 10.1016/j.econmod.2016.10.004.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.Linear-Rational Term Structure Models
Journal Of Finance. 2017. Vol. 72, num. 2, p. 655 – 704. DOI : 10.1111/jofi.12488.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.Corporate policies with permanent and transitory shocks
Review of Financial Studies. 2017. Vol. 30, num. 1, p. 162 – 210. DOI : 10.1093/rfs/hhw078.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.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.Theses
Essays in Bank Financing
Lausanne, EPFL, 2017.Three Essays on Corporate Disclosure
Lausanne, EPFL, 2017.Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns
Lausanne, EPFL, 2017.Polynomial models in finance
Lausanne, EPFL, 2017.Essays in Financial Economics
Lausanne, EPFL, 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.Fed funds futures variance futures
Quantitative Finance. 2016. Vol. 16, num. 9, p. 1413 – 1422. DOI : 10.1080/14697688.2016.1152391.Old-age provision: past, present, future
European Actuarial Journal. 2016. Vol. 6, num. 2, p. 287 – 306. DOI : 10.1007/s13385-016-0136-9.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.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.Quadratic variance swap models
Journal Of Financial Economics. 2016. Vol. 119, num. 1, p. 44 – 68. DOI : 10.1016/j.jfineco.2015.08.015.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.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.Optimal reinsurance with multiple tranches
Journal Of Mathematical Economics. 2016. Vol. 65, p. 71 – 82. DOI : 10.1016/j.jmateco.2016.05.006.Polynomial diffusions and applications in finance
Finance And Stochastics. 2016. Vol. 20, num. 4, p. 931 – 972. DOI : 10.1007/s00780-016-0304-4.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.Insider Trading, Stochastic Liquidity, And Equilibrium Prices
Econometrica. 2016. Vol. 84, num. 4, p. 1441 – 1475. DOI : 10.3982/Ecta10789.Resilience To Contagion In Financial Networks
Mathematical Finance. 2016. Vol. 26, num. 2, p. 329 – 365. DOI : 10.1111/mafi.12051.Theses
Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior
Lausanne, EPFL, 2016.Essays in Financial Economics
Lausanne, EPFL, 2016.Essays on Capital Calculation in Insurance
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.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.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.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.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.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.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.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.Do Prices Reveal the Presence of Informed Trading?
Journal Of Finance. 2015. Vol. 70, num. 4, p. 1555 – 1582. DOI : 10.1111/jofi.12260.Capital supply uncertainty, cash holdings, and investment
Review of Financial Studies. 2015. Vol. 28, num. 2, p. 391 – 445. DOI : 10.1093/rfs/hhu081.On Bounding Credit-Event Risk Premia
Review Of Financial Studies. 2015. Vol. 28, num. 9, p. 2608 – 2642. DOI : 10.1093/rfs/hhv022.Securitization and the Fixed-Rate Mortgage
The Review of Financial Studies. 2015. Vol. 28, num. 1, p. 176 – 211. DOI : 10.1093/rfs/hhu060.Informational Efficiency under Short Sale Constraints
Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 804 – 824. DOI : 10.1137/140963522.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.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.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.Default And Systemic Risk In Equilibrium
Mathematical Finance. 2015. Vol. 25, num. 1, p. 51 – 76. DOI : 10.1111/mafi.12009.Control of Interbank Contagion Under Partial Information
Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 1195 – 1219. DOI : 10.1137/140981538.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.Theses
Essays in Empirical Corporate Finance
Lausanne, EPFL, 2015.Essays in Dynamic Corporate Finance
Lausanne, EPFL, 2015.Working Papers
Mortgage Default in an Estimated Model of the U.S. Housing Market
2015
2014
Journal Articles
Invariant manifolds with boundary for jump-diffusions
Electronic Journal Of Probability. 2014. Vol. 19, p. 1 – 28. DOI : 10.1214/EJP.v19-2882.The Endowment Effect
Annual Review of Economics. 2014. Vol. 6, num. 1, p. 555 – 579. DOI : 10.1146/annurev-economics-080213-041320.Information percolation in segmented markets
Journal Of Economic Theory. 2014. Vol. 153, p. 1 – 32. DOI : 10.1016/j.jet.2014.05.006.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.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.Theses
Essays in Corporate Finance
Lausanne, EPFL, 2014.Essays in Asset Pricing with Search Frictions
Lausanne, EPFL, 2014.Three Essays on Asset Pricing
Lausanne, EPFL, 2014.Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective
Lausanne, EPFL, 2014.2013
Journal Articles
The Rising Gap between Primary and Secondary Mortgage Rates
FRBNY Economic Policy Review. 2013. Vol. 19, num. 2, p. 17 – 39.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.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.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.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.Health and (Other) Asset Holdings
Review of Economic Studies. 2013. Vol. 80, num. 2, p. 663 – 710. DOI : 10.1093/restud/rds033.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.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.Indifference pricing for CRRA utilities
Mathematics and Financial Economics. 2013. Vol. 7, num. 3, p. 247 – 280. DOI : 10.1007/s11579-013-0104-y.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.Theses
Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013.Essays on asset pricing with preference heterogeneity
Lausanne, EPFL, 2013.Essays in Equilibrium Asset Pricing
Lausanne, EPFL, 2013.Working Papers
Moral Hazard, Informed Trading and Equilibrium Prices
2013
Trust-preferred securities and regulatory arbitrage
2013
Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data.
2013
Cash Holdings and Competition
2013
Capital Supply Uncertainty, Cash Holdings, and Investment
2013
2012
Journal Articles
Financial Markets Equilibrium with Heterogeneous Agents
Review Of Finance. 2012. Vol. 16, p. 285 – 321. DOI : 10.1093/rof/rfr018.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.Conditional Density Models for Asset Pricing
International Journal of Theoretical and Applied Finance. 2012. Vol. 15, p. 1 – 24. DOI : 10.2139/ssrn.1702871.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.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.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.Corporate governance and capital structure dynamics
Journal of Finance. 2012. Vol. 67, p. 803 – 848. DOI : 10.1111/j.1540-6261.2012.01735.x.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. Vol. 80, num. 3, p. 1249 – 1270. DOI : 10.3982/ECTA8783.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.Approaches to Conditional Risk
SIAM Journal on Financial Mathematics. 2012. Vol. 3, p. 402 – 432. DOI : 10.2139/ssrn.1752851.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.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.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.Conference Proceedings
Affine Variance Swap Curve Models
2012. Seminar on Stochastic Analysis, Random Fields and Applications VII, Progress in Probability.Working Papers
Parameter Learning in General Equilibrium: The Asset Pricing Implications
2012
Insider Trading, Stochastic Liquidity and Equilibrium Prices
2012
On Bounding Credit Event Risk Premia
2012
Mortgage Amortization and Amplification
2012
Financing Investment: The Choice between Public and Private Debt
2012
CEO Contract Design: How Do Strong Principals Do It?
2012
Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
2012
Do Prices Reveal the Presence of Informed Trading ?
2012
Credit Market Frictions and Capital Structure Dynamics
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.Risky Mortgages in a DSGE Model
International Journal of Central Banking. 2011. Vol. 7, num. 1, p. 285 – 335.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.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.Dynamic CDO Term Structure Modeling
Mathematical Finance. 2011. Vol. 21, p. 53 – 71. DOI : 10.1111/j.1467-9965.2010.00421.x.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.Former CEO Directors: Lingering CEOs or Valuable Resources?
Review Of Financial Studies. 2011. Vol. 24, p. 3486 – 3518. DOI : 10.1093/rfs/hhr056.Affine Processes On Positive Semidefinite Matrices
Annals Of Applied Probability. 2011. Vol. 21, p. 397 – 463. DOI : 10.1214/10-AAP710.Price impact and portfolio impact
Journal Of Financial Economics. 2011. Vol. 100, p. 201 – 225. DOI : 10.1016/j.jfineco.2010.11.001.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.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.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.Working Papers
Modeling Credit Contagion Via the Updating of Fragile Beliefs
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.Dynamic investment and financing under personal taxation
Review of Financial Studies. 2010. Vol. 23, p. 101 – 146. DOI : 10.1093/rfs/hhp062.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.Mutual fund portfolio choice in the presence of dynamic flows
Mathematical Finance. 2010. Vol. 20, num. 2, p. 187 – 227. DOI : 10.1111/j.1467-9965.2010.00395.x.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.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.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.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.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.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.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.Theses
Corporate Finance, Asset Returns, and Credit Risk
Lausanne, EPFL, 2010.Essays on Equilibrium Asset Pricing
Lausanne, EPFL, 2010.Working Papers
Credit Supply and Corporate Policies
2010
Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs
2010
The Dark Side of Outside Directors: Do They Quit When They are Most Needed?
2010
Expectations-Driven Cycles in the Housing Market
2010
2009
Journal Articles
Multi-Level Risk Aggregation
ASTIN Bulletin. 2009. Vol. 39, p. 565 – 575.Founder-CEOs, investment decisions, and stock market performance
Journal of Financial and Quantitative Analysis. 2009. Vol. 44, num. 2, p. 439 – 466. DOI : 10.1017/S0022109009090139.Large Shareholders and Corporate Policies
Review Of Financial Studies. 2009. Vol. 22, p. 3941 – 3976. DOI : 10.1093/rfs/hhn093.Can interest rate volatility be extracted from the cross section of bond yields?☆
Journal of Financial Economics. 2009. Vol. 94, num. 1, p. 47 – 66. DOI : 10.1016/j.jfineco.2008.06.007.Managerial ownership dynamics and firm value
Journal of Financial Economics. 2009. Vol. 92, p. 342 – 361. DOI : 10.1016/j.jfineco.2008.06.005.Separation and Duality in Locally L0-Convex Modules
Journal of Functional Analysis. 2009. Vol. 256, p. 3996 – 4029. DOI : 10.1016/j.jfa.2008.11.015.On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
Review of Financial Studies. 2009. Vol. 22, num. 9, p. 3367 – 3409. DOI : 10.1093/rfs/hhn078.Information Percolation with Equilibrium Search Dynamics
Econometrica. 2009. Vol. 77, num. 5, p. 1513 – 1574. DOI : 10.3982/ECTA8160.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.Relative Extinction of Heterogeneous Agents
B.E. Journal of Theoretical Economics. 2009. Vol. 10, num. 1, p. 4. DOI : 10.2202/1935-1704.1605.Conference Papers
Affine Diffusion Processes: Theory and Applications
2009. p. 1 – 40. DOI : 10.2139/ssrn.1333155.Books
Term-Structure Models: A Graduate Course
Springer Finance, 2009.Working Papers
Optimal Exchange-Rate Targeting with Large Labor Unions
2009
Risk Aversion and Equilibrium Optimal Portfolios in Large Markets
2009
Indifference Pricing for Power Utilities
2009
Convexity bounds for BSDE solutions, with applications to indifference valuation
2009
Endogenous Completeness of Diffusion Driven Equilibrium Markets
2009
Equilibrium Driven by Discounted Dividend Volatility
2009
Variance Covariance Orders and Median Preserving Spreads
2009
Financial Markets Equilibrium with Heterogeneous Agents
2009
2008
Journal Articles
Stock returns in mergers and acquisitions
Journal of Finance. 2008. Vol. 63, num. 3, p. 1213 – 1252. DOI : 10.1111/j.1540-6261.2008.01356.x.A Short Introduction to Correlation Markets
Journal of Financial Econometrics. 2008. Vol. 7, num. 1, p. 12 – 29. DOI : 10.1093/jjfinec/nbn019.A Note on Natural Risk Statistics
Operations Research Letters. 2008. Vol. 36, num. 6, p. 662 – 664. DOI : 10.1016/j.orl.2008.06.009.Closed-form solutions to stochastic switching problems
Journal of Mathematical Economics. 2008. Vol. 44, num. 11, p. 1072 – 1083. DOI : 10.1016/j.jmateco.2007.09.002.Co-Movements of Index Options and Futures Quotes
Journal of Empirical Finance. 2008. Vol. 16, p. 151 – 163. DOI : 10.1016/j.jempfin.2008.06.004.Equilibrium Prices for Monetary Utility Functions
International Journal of Theoretical and Applied Finance. 2008. Vol. 11, num. 3, p. 325 – 343. DOI : 10.1142/S0219024908004828.Optimal Numeraires for Risk Measures
Mathematical Finance. 2008. Vol. 18, p. 333 – 336. DOI : 10.1111/j.1467-9965.2007.00336.x.Identification of Maximal Affine Term Structure Models
The Journal of Finance. 2008. Vol. 63, num. 2, p. 743 – 795. DOI : 10.1111/j.1540-6261.2008.01331.x.Optimal capital and risk transfers for group diversification
Mathematical Finance. 2008. Vol. 18, p. 55 – 76. DOI : 10.1111/j.1467-9965.2007.00322.x.Universal Bounds for Asset Prices in Heterogeneous Economies
Finance and Stochastics. 2008. Vol. 12, p. 411 – 422. DOI : 10.1007/s00780-008-0062-z.Market Consistent Pricing of Insurance Products
Astin Bulletin. 2008. Vol. 38, num. 2, p. 483 – 526. DOI : 10.2143/AST.38.2.2033351.Existence of Levy Term Structure Model
Finance and Stochastics. 2008. Vol. 12, p. 83 – 115. DOI : 10.1007/s00780-007-0054-4.Shareholder Rights, Boards, and CEO Compensation
Review of Finance. 2008. Vol. 13, p. 81 – 113. DOI : 10.1093/rof/rfn011.Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions
Finance and Stochastics. 2008. Vol. 12, p. 423 – 439. DOI : 10.1007/s00780-008-0069-5.Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria
Finance and Stochastics. 2008. Vol. 12, p. 245 – 264. DOI : 10.1007/s00780-007-0058-0.Financing and takeovers
Journal of Financial Economics. 2008. Vol. 87, num. 3, p. 556 – 581. DOI : 10.1016/j.jfineco.2007.01.006.A Note on the Swiss Solvency Test Risk Measure
Insurance: Mathematics and Economics. 2008. Vol. 42, num. 3, p. 897 – 902. DOI : 10.1016/j.insmatheco.2007.10.009.Book Chapters
Affine Models
Vienna Institute of Finance, Working Paper Series; Vienna: Vienna Institute of Finance, 2008.Working Papers
Is U.S. Fiscal Policy Optimal?
2008
Reports
Realizable Group Diversification Effects
2008
2007
Journal Articles
Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007. Vol. 117, num. 6, p. 742 – 765.On the Group Level Swiss Solvency Test
Bulletin of the Swiss Association of Actuaries. 2007. Vol. 1, p. 97 – 115.Credit Derivatives in an Affine Framework
Asia-Pacific Financial Markets. 2007. Vol. 14, p. 123 – 140.Corporate control and real investment in incomplete markets
Journal of Economic Dynamics and Control. 2007. Vol. 83, num. 5, p. 1781 – 1800. DOI : 10.1016/j.jedc.2006.09.001.Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated
The Journal of Finance. 2007. Vol. 62, num. 5, p. 2123 – 2167. DOI : 10.1111/j.1540-6261.2007.01271.x.Heterogenous preferences and equilibrium trading volume
Journal of Financial Economics. 2007. Vol. 83, p. 719 – 750. DOI : 10.1016/j.jfineco.2006.02.001.Monotone and Cash-Invariant Convex Functions and Hulls
Insurance: Mathematics and Economics. 2007. Vol. 41, p. 1 – 16. DOI : 10.1016/j.insmatheco.2006.08.003.The Structure of Optimal Consumption Streams in General Incomplete Markets
Mathematics and Financial Economics. 2007. Vol. 1, p. 129 – 161. DOI : 10.1007/s11579-007-0006-y.Market price of risk specifications for affine models: Theory and evidence
Journal of Financial Economics. 2007. Vol. 83, num. 1, p. 123 – 170. DOI : 10.1016/j.jfineco.2005.09.008.Agency conflicts and risk management
Review of Finance. 2007. Vol. 11, num. 1, p. 1 – 23. DOI : 10.1093/rof/rfm001.Working Papers
Optimal Fiscal Policy in a Monetary Union
2007
Do Funds Need Governance? Evidence from Variable Annuity-Mutual Fund Twins
2007
2006
Journal Articles
On the debt capacity of growth options
Journal of Business. 2006. Vol. 79, p. 37 – 59.Large Blocks of Stock: Prevalence, Size, and Measurement
Journal of Corporate Finance. 2006. Vol. 12, p. 594 – 618. DOI : 10.1016/j.jcorpfin.2005.04.002.Capital structure, credit risk, and macroeconomic conditions
Journal of Financial Economics. 2006. Vol. 82, num. 3, p. 519 – 550. DOI : 10.1016/j.jfineco.2005.10.003.Monetary-Fiscal Interactions with a Conservative Central Bank
Scottish Journal of Political Economy. 2006. Vol. 53, num. 1, p. 90 – 128. DOI : 10.1111/j.1467-9485.2006.00372.x.Working Papers
What drives trading in index option strategies?
2006
2005
Journal Articles
Benchmarking Study of Internal Models
The Chief Risk Officer Forum. 2005.Exchange Rates and Fiscal Adjustments; Evidence from the OECD and Implications for the EMU
Contributions to Macroeconomics. 2005. Vol. 5, num. 1, p. 11. DOI : 10.2202/1534-6005.1168.Unspanned stochastic volatility and fixed income derivatives pricing
Journal of Banking & Finance. 2005. Vol. 29, num. 11, p. 2723 – 2749. DOI : 10.1016/j.jbankfin.2005.02.007.The dynamics of mergers and acquisitions
Journal of Financial Economics. 2005. Vol. 77, num. 3, p. 649 – 672. DOI : 10.1016/j.jfineco.2004.10.009.A Simple Model for Credit Migration and Spread Curves
Finance and Stochastics. 2005. Vol. 9, p. 211 – 231. DOI : 10.1007/s00780-004-0140-9.Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
The Annals of Applied Probability. 2005. Vol. 15, p. 1713 – 1732. DOI : 10.1214/105051605000000197.Irreversible investment with regime shifts
Journal of Economic Theory. 2005. Vol. 122, num. 1, p. 37 – 59. DOI : 10.1016/j.jet.2004.04.005.Time-Inhomogeneous Affine Processes
Stochastic Processes and Their Applications. 2005. Vol. 115, p. 639 – 659. DOI : 10.1016/j.spa.2004.11.006.Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
The Journal of Finance. 2005. Vol. 60, num. 5, p. 2283 – 2331. DOI : 10.1111/j.1540-6261.2005.00799.x.On the utility based pricing of contingent claims in incomplete markets
Mathematical Finance. 2005. Vol. 15, num. 2, p. 203 – 212. DOI : 10.1111/j.0960-1627.2005.00217.x.Working Papers
Essays on Corporate Governance
2005
2004
Journal Articles
A General Formula for Valuing Defaultable Securities
Econometrica. 2004. Vol. 72, num. 5, p. 1377 – 1407. DOI : 10.1111/j.1468-0262.2004.00538.x.Can managerial discretion explain observed leverage ratios
Review of Financial Studies. 2004. Vol. 17, p. 257 – 294. DOI : 10.1093/rfs/hhg036.Quadratic Term Structure Models for Risk-Free and Defaultable Rates
Mathematical Finance. 2004. Vol. 14, p. 515 – 536. DOI : 10.1111/j.0960-1627.2004.00203.x.Optimal investment with random endowments in incomplete markets
Annals of Applied Probability. 2004. Vol. 14, num. 2, p. 845 – 864. DOI : 10.1214/105051604000000134.On the Geometry of the Term Structure of Interest Rates
Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences. 2004. Vol. 460, p. 129 – 167. DOI : 10.1098/rspa.2003.1238.Conditions For Consistent Exponential-Polynomial Forward Rate Processes With Multiple Nontrivial Factors
International Journal of Theoretical and Applied Finance. 2004. Vol. 07, num. 06, p. 685 – 700. DOI : 10.1142/S0219024904002608.Capital structure and asset prices: Some effects of bankruptcy procedures
Journal of Business. 2004. Vol. 77, num. 2, p. 387 – 411. DOI : 10.1086/381280.Working Papers
Are Budget Deficits Used Strategically?
2004
Capital Structure, Investment, and Private Benefits of Control
2004
Reports
A Mixed Approach to Modeling Default Risk
2004
2003
Journal Articles
Endogenous Debt Constraints in Lifecycle Economies
Review of Economic Studies. 2003. num. 70, p. 461 – 487. DOI : 10.1111/1467-937X.00252.Symbiosis of Monetary and Fiscal Policies in a Monetary Union
Journal of International Economics. 2003. Vol. 60, num. 2, p. 235 – 247. DOI : 10.1016/S0022-1996(02)00048-X.Interactions of Commitment and Discretion in Monetary and Fiscal Policies
American Economic Review. 2003. Vol. 93, num. 5, p. 1522 – 1542. DOI : 10.1257/000282803322655428.Affine Processes and Applications in Finance
The Annals of Applied Probability. 2003. Vol. 13, p. 984 – 1053. DOI : 10.1214/aoap/1060202833.Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension
Journal of Functional Analysis. 2003. Vol. 197, p. 398 – 432. DOI : 10.1016/S0022-1236(03)00008-9.Regularity of Finite-Dimensional Realizations for Evolution Equations
Journal of Functional Analysis. 2003. Vol. 197, p. 433 – 446. DOI : 10.1016/S0022-1236(02)00029-0.Book Chapters
The Fiscal Politics of Big Governments: Do Coalitions Matter?
Economics for an Imperfect World: Essays in Honor of Joseph Stiglitz; MIT Press, 2003.Working Papers
Volatility and Sovereign Default
2003
Generalizing the Affine Framework to HJM and Random Field Models
2003
A Dynamic Analysis of Takeover Deals with Competition and Imperfect Information
2003
2002
Journal Articles
Separable Term Structures and the Maximal Degree Problem
Mathematical Finance. 2002. Vol. 12(4), p. 341 – 349. DOI : 10.1111/j.1467-9965.2002.tb00128.x.Pricing Swaptions within the Affine Framework
The Journal of Derivatives. 2002. Vol. 10, num. 1, p. 9 – 26. DOI : 10.3905/jod.2002.319187.Excess Asset Returns and Limited Enforcement
American Economic Review. 2002. Vol. 92, num. 2, p. 135 – 140. DOI : 10.1257/000282802320189131.Markovian Term Structure Models in Discrete Time
The Annals of Applied Probability. 2002. Vol. 12, num. 2, p. 710 – 729. DOI : 10.1214/aoap/1026915622.Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
The Journal of Finance. 2002. Vol. 57, num. 4, p. 1685 – 1730. DOI : 10.1111/1540-6261.00475.Conference Papers
Affine Short Rate Models
2002. Seminar on Stochastic Analysis, Random Fields and Applications III, Centro Stefano Franscini, Ascona, Switzerland, September 1999. p. 121 – 132. DOI : 10.1007/978-3-0348-8209-5_9.Books
Derivatives Markets (Student Solutions Manual)
Boston, MA: Addison-Wesley Co., 2002.Working Papers
On Finite-Dimensional Term Structure Models
2002
2001
Journal Articles
On the Term Structure of Default Premia in the Swap and LIBOR Markets
The Journal of Finance. 2001. Vol. 56, num. 3, p. 1095 – 1115. DOI : 10.1111/0022-1082.00357.Asset liquidity, capital structure, and secured debt
Journal of Financial Economics. 2001. Vol. 61, num. 2, p. 173 – 206. DOI : 10.1016/S0304-405X(01)00059-9.Do Credit Spreads Reflect Stationary Leverage Ratios?
The Journal of Finance. 2001. Vol. 56, num. 5, p. 1929 – 1957. DOI : 10.1111/0022-1082.00395.A General Characterization of One Factor Affine Term Structure Models
Finance and Stochastics. 2001. Vol. 5, p. 389 – 412. DOI : 10.1007/PL00013540.The Determinants of Credit Spread Changes
The Journal of Finance. 2001. Vol. 56, num. 6, p. 2177 – 2207. DOI : 10.1111/0022-1082.00402.Monetary-Fiscal Policy Interactions and Commitment Versus Discretion in a Monetary Union
European Economic Review. 2001. Vol. 45, num. 4-6, p. 987 – 997. DOI : 10.1016/S0014-2921(01)00134-9.Books
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Springer, 2001.Working Papers
Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty
2001