|Professor of Finance
Swiss Finance Institute Professor
Head of the Master in Financial Engineering
CEPR Research fellow
Swiss Finance Institute
Ecole Polytechnique Fédérale de Lausanne
Quartier UNIL Chamberonne
Optimal fund menus
with Jaksa Cvitanic. February 2019.
Heterogeneity in decentralized asset markets
with Benjamin Lester and Pierre-Olivier Weill, Revised: February 2016.
Asset pricing with source dependent risk-aversion
Frictional intermediation in over-the-counter markets (Online appendix)
with Benjamin Lester and Pierre-Oliver Weill, Forthcoming: Review of Economic Studies, June 2019.
Capital supply uncertainty, cash holdings and investment (Online appendix)
with Semyon Malamud and Erwan Morellec, Review of Financial Studies 28(2):391–445, 2015.
Credit market frictions and capital structure dynamics (Online appendix)
with Semyon Malamud and Erwan Morellec, Journal of Economic Theory 157:1130–1158, 2015.
Asset pricing with arbitrage activity
with Rodolfo Prieto, Journal of Financial Economics 115(2):411–428, 2015.
Event risk, contingent claims, and the temporal resolution of uncertainty
with Pierre Collin Dufresne, Mathematics and Financial Economics 8(1):29–69, 2014.
Health and (other) asset holdings
with Florian Pelgrin and Pascal Saint Amour, Review of Economic Studies 80(2):663–710, 2013.
Incomplete information, idiosyncratic volatility and stock returns
with Tony Berrada. Journal of Banking and Finance 37(2):448–462, 2012.
Rational asset pricing bubbles and portfolio constraints (Slides)
Journal of Economic Theory 147(6):2260–2302, 2012.
Endogenous completeness of diffusion driven equilibrium markets (Technical appendix)
with Semyon Malamud and Eugene Trubowitz, Econometrica 80(3):1249–1270, 2012.
Mutual fund competition in the presence of dynamic flows
with Michèle Breton and Tarek Masmoudi, Automatica 46:1176–1185, 2010.
Mutual fund portfolio choice in the presence of dynamic flows
with Ron Kaniel, Mathematical Finance 20(2):187–227, 2010.
Pricing and hedging in the presence of extraneous risk
with Pierre Collin-Dufresne, Stochastic Processes and Applications 117(6):742–765, 2007.
Corporate control and real investment in incomplete markets
with Erwan Morellec, Journal of Economic Dynamics and Control 31(5):1781–1800, 2007.
Heterogenous preferences and equilibrium trading volume
with Tony Berrada and Marcel Rindisbacher, Journal of Financial Economics 83:719–750, 2007.
On the utility-based pricing of contingent claims in incomplete markets
with Dmitry Kramkov and Walter Schachermayer, Mathematical Finance 15(2):203–212, 2005.
A general formula for valuing defaultable securities
with Pierre Collin-Dufresne and Robert Goldstein, Econometrica 72(5):1377–1409, 2004.
Optimal investment with random endowments in incomplete markets
with Dmitry Kramkov, Annals of Applied Probability 14(2):845–864, 2004.
The Feynman-Kac formula and pricing occupation time derivatives
International Journal of Theoretical and Applied Finance 2(2):153–178, 1999.
Dynamic Asset Pricing (EDFI, Spring 2020). This course provides an advanced introduction to the methods and results of dynamic asset pricing in continuous time. Topics include no-arbitrage restrictions on assets prices, portfolio and consumption choice problems, complete and incomplete markets equilibrium models with heterogenous agents, dynamic learning, optimization under portfolio constraints and non time additive preferences.
Derivatives (Master in Financial Engineering, Spring 2020). This course provides a detailed treatment of standard models for the valuation and hedging of derivatives products such as European options, American options, forward and futures contracts, and exotics. The course will be divided into two parts with the first part covering discrete time models and the second covering continuous time models. For more information visit the course website (requires a login).