Publications

2019

Theses

Essays in Financial Economics

J. A. Blatt / S. Malamud (Dir.)  

Lausanne: EPFL, 2019. DOI : 10.5075/epfl-thesis-9136.

2018

Journal Articles

Non-myopic betas

S. Malamud; G. Vilkov 

Journal of Financial Economics. 2018-08-01. DOI : 10.1016/j.jfineco.2018.05.004.

Activism, Strategic Trading, and Liquidity

K. Back; P. Collin-Dufresne; V. Fos; T. Li; A. Ljungqvist 

Econometrica. 2018-07-01. DOI : 10.3982/ECTA14917.

Why Does Fast Loan Growth Predict Poor Performance for Banks?

R. Fahlenbrach; R. Prilmeier; R. M. Stulz 

The Review of Financial Studies. 2018-03-01. DOI : 10.1093/rfs/hhx109.

Exact Smooth Term-Structure Estimation

D. Filipovic; S. Willems 

Siam Journal On Financial Mathematics. 2018-01-01. DOI : 10.1137/16M1080276.

Small-cost asymptotics for long-term growth rates in incomplete markets

Y. Melnyk; F. Seifried 

MATHEMATICAL FINANCE. 2018. DOI : 10.1111/mafi.12152.

Liquidity, Innovation, And Endogenous Growth

S. Malamud; F. Zucchi 

Journal of Financial Economics. 2018. DOI : 10.2139/ssrn.2665177.

Agency Conflicts Around the World

E. Morellec; B. Nikolov; N. Schhrhoff 

Review of Financial Studies. 2018. DOI : 10.1093/rfs/hhy018.

Activism, Strategic Trading, and Liquidity

K. Back; V. Fos; T. Li; A. Ljungqvist 

Econometrica. 2018. DOI : 10.3982/ECTA14917.

Equilibrium commodity prices with irreversible investment and non-linear technologies

j. Casassus; B. R. Routledge 

Journal of Banking and Finance. 2018. DOI : 10.1016/j.jbankfin.2018.04.001.

Theses

Financial Stability and the Macroeconomy

C. Dubois / L. Lambertini (Dir.)  

Lausanne: EPFL, 2018. DOI : 10.5075/epfl-thesis-8936.

Equilibrium Models for Derivatives Markets with Frictions

Y. Zhang / S. Malamud (Dir.)  

Lausanne: EPFL, 2018. DOI : 10.5075/epfl-thesis-8703.

Essays in Corporate Finance

T. A. Geelen / J. Hugonnier; E. Morellec (Dir.)  

Lausanne: EPFL, 2018. DOI : 10.5075/epfl-thesis-8696.

2017

Journal Articles

Trust, integrated information technology and new product success

J. E. Ettlie; C. Tucci; P. T. Gianiodis 

European Journal Of Innovation Management. 2017. DOI : 10.1108/Ejim-12-2015-0128.

Do exogenous changes in passive institutional ownership affect corporate governance and firm value?

C. Schmidt; R. Fahlenbrach 

Journal Of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2017.01.005.

Corporate Policies with Permanent and Transitory Shocks

J-P. Decamps; S. Gryglewicz; E. Morellec; S. Villeneuve 

Review Of Financial Studies. 2017. DOI : 10.1093/rfs/hhw078.

Asset Pricing When 'This Time Is Different'

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

Review Of Financial Studies. 2017. DOI : 10.1093/rfs/hhw084.

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; P. Uysal; V. Nuguer 

Journal of Economic Dynamics and Control. 2017. DOI : 10.1016/j.jedc.2017.01.007.

Expectations-driven cycles in the housing market

L. Lambertini; C. Mendicino; M. T. Punzi 

Economic Modelling. 2017. DOI : 10.1016/j.econmod.2016.10.004.

Debt enforcement, investment, and risk taking across countries

G. Favara; E. Morellec; E. Schroth; P. Valta 

Journal Of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2016.09.002.

Theses

Three Essays on Corporate Disclosure

E. Petrov / S. Malamud (Dir.)  

Lausanne: EPFL, 2017. DOI : 10.5075/epfl-thesis-7837.

Essays in Bank Financing

Y. Sigrist / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne: EPFL, 2017. DOI : 10.5075/epfl-thesis-7798.

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

V. J. Bogousslavsky / P. Collin Dufresne (Dir.)  

Lausanne: EPFL, 2017. DOI : 10.5075/epfl-thesis-7785.

Essays in Financial Economics

C. H. P. Herpfer / R. Fahlenbrach (Dir.)  

Lausanne: EPFL, 2017. DOI : 10.5075/epfl-thesis-7783.

Working Papers

AUSTERITY IN THE AFTERMATH OF THE GREAT RECESSION

C. Pröbsting; C. L. House; L. L. Tesar 

2017

2016

Journal Articles

The total benefit of alternative assets to pension fund portfolios

J. C. Jackwerth; A. Slavutskaya 

Journal Of Financial Markets. 2016. DOI : 10.1016/j.finmar.2016.06.002.

Scientific research measures

M. Frittelli; L. Mancini; I. Peri 

Journal Of The Association For Information Science And Technology. 2016. DOI : 10.1002/asi.23530.

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

V. Bogousslavsky 

Journal Of Finance. 2016. DOI : 10.1111/jofi.12436.

Optimal reinsurance with multiple tranches

S. Malamud; H. Rui; A. Whinston 

Journal Of Mathematical Economics. 2016. DOI : 10.1016/j.jmateco.2016.05.006.

Elliptical tempered stable distribution

H. A. Fallahgoul; Y. S. Kim; F. J. Fabozzi 

Quantitative Finance. 2016. DOI : 10.1080/14697688.2015.1111522.

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

P. Collin-Dufresne; V. Fos 

Econometrica. 2016. DOI : 10.3982/Ecta10789.

Why Don't All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities

N. M. Boyson; R. Fahlenbrach; R. M. Stulz 

Review Of Financial Studies. 2016. DOI : 10.1093/rfs/hhw007.

The Euro Interbank Repo Market

L. Mancini; A. Ranaldo; J. Wrampelmeyer 

Review Of Financial Studies. 2016. DOI : 10.1093/rfs/hhv056.

Resilience To Contagion In Financial Networks

H. Amini; R. Cont; A. Minca 

Mathematical Finance. 2016. DOI : 10.1111/mafi.12051.

Capital goods, measured TFP and growth: The case of Spain

A. Diaz; L. Franjo 

European Economic Review. 2016. DOI : 10.1016/j.euroecorev.2015.11.009.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

American Economic Review. 2016. DOI : 10.1257/aer.20130392.

Optimal exchange rate flexibility with large labor unions

L. Lambertini; V. Cuciniello 

Journal of International Money and Finance. 2016. DOI : 10.1016/j.jimonfin.2016.01.001.

Quadratic variance swap models

D. Filipovic; E. Gourier; L. Mancini 

Journal Of Financial Economics. 2016. DOI : 10.1016/j.jfineco.2015.08.015.

Theses

Credit Supply and the Macroeconomy

A. Mukherjee / L. Lambertini (Dir.)  

Lausanne: EPFL, 2016. DOI : 10.5075/epfl-thesis-7371.

Essays in Financial Economics

C. Trevisan / P. Collin Dufresne (Dir.)  

Lausanne: EPFL, 2016. DOI : 10.5075/epfl-thesis-7329.

Essays on the Market Structure and Pricing of Credit Derivatives

J. B. Junge / A. Trolle (Dir.)  

Lausanne: EPFL, 2016. DOI : 10.5075/epfl-thesis-7322.

2015

Journal Articles

Financing Investment: The Choice Between Bonds and Bank Loans

E. Morellec; P. Valta; A. Zhdanov 

Management Science. 2015. DOI : 10.1287/mnsc.2014.2005.

International portfolios: A comparison of solution methods

K. Rabitsch; S. Stepanchuk; V. Tsyrennikov 

Journal Of International Economics. 2015. DOI : 10.1016/j.jinteco.2015.08.001.

Control of Interbank Contagion Under Partial Information

H. Amini; A. Minca; A. Sulem 

Siam Journal On Financial Mathematics. 2015. DOI : 10.1137/140981538.

Informational Efficiency under Short Sale Constraints

R. A. Jarrow; M. Larsson 

Siam Journal On Financial Mathematics. 2015. DOI : 10.1137/140963522.

Detecting abnormal trading activities in option markets

M. Chesney; R. Crameri; L. Mancini 

Journal Of Empirical Finance. 2015. DOI : 10.1016/j.jempfin.2015.03.008.

On Bounding Credit-Event Risk Premia

J. Bai; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhv022.

Investment timing, debt structure, and financing constraints

T. Shibata; M. Nishihara 

European Journal Of Operational Research. 2015. DOI : 10.1016/j.ejor.2014.09.011.

Credit market frictions and capital structure dynamics

J. Hugonnier; S. Malamud; E. Morellec 

Journal Of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.

The effects of business cycle and debt maturity on a firm's investment and default decisions

H. Jeon; M. Nishihara 

International Review Of Economics & Finance. 2015. DOI : 10.1016/j.iref.2015.02.031.

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

D. Duffie; S. Malamud; G. Manso 

Journal Of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.11.014.

Modeling Credit Contagion via the Updating of Fragile Beliefs

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhv018.

Do Prices Reveal the Presence of Informed Trading?

P. Collin-Dufresne; V. Fos 

Journal Of Finance. 2015. DOI : 10.1111/jofi.12260.

Portfolio and welfare consequences of debt market dominance

S. Stepanchuk; V. Tsyrennikov 

Journal Of Monetary Economics. 2015. DOI : 10.1016/j.jmoneco.2015.06.005.

Investment-based financing constraints and debt renegotiation

T. Shibata; M. Nishihara 

Journal Of Banking & Finance. 2015. DOI : 10.1016/j.jbankfin.2014.11.005.

Dividend Dynamics and the Term Structure of Dividend Strips

F. Belo; P. Collin-Dufresne; R. S. Goldstein 

Journal Of Finance. 2015. DOI : 10.1111/jofi.12242.

Marriage stability, taxation and aggregate labor supply in the U.S. vs. Europe

I. Chakrabortya; H. Holter; S. Stepanchuk 

the Journal of Monetary Economics. 2015. DOI : 10.1016/j.jmoneco.2015.01.001.

Asset pricing with arbitrage activity

J. Hugonnier; R. Prieto 

Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.

Capital Supply Uncertainty, Cash Holdings, and Investment

J. Hugonnier; S. Malamud; E. Morellec 

Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.

Approximating Functions On Stratified Sets

D. Drusvyatskiy; M. Larsson 

Transactions Of The American Mathematical Society. 2015. DOI : 10.1090/S0002-9947-2014-06412-X.

Default And Systemic Risk In Equilibrium

A. Capponi; M. Larsson 

Mathematical Finance. 2015. DOI : 10.1111/mafi.12009.

Theses

Essays in Empirical Corporate Finance

S. Colonnello / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne: EPFL, 2015. DOI : 10.5075/epfl-thesis-6694.

Essays in Dynamic Corporate Finance

F. M. Zucchi / E. Morellec (Dir.)  

Lausanne: EPFL, 2015. DOI : 10.5075/epfl-thesis-6668.

Working Papers

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; V. Nuguer; P. Uysal 

2015

How Does Tax Progressivity and Household Heterogeneity Affect Laer Curves?

H. Holter; D. Krueger; S. Stepanchuk 

2015

International Interest Rates and Housing Markets

L. Franjo 

2015

2014

Journal Articles

Event risk, contingent claims and the temporal resolution of uncertainty

P. Collin-Dufresne; J. Hugonnier 

Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.

Information percolation in segmented markets

D. Duffie; S. Malamud; G. Manso 

Journal Of Economic Theory. 2014. DOI : 10.1016/j.jet.2014.05.006.

Macroeconomic conditions and a firm's investment decisions

H. Jeon; M. Nishihara 

Finance Research Letters. 2014. DOI : 10.1016/j.frl.2014.08.002.

A two-period model with portfolio choice: Understanding results from different solution methods

K. Rabitsch; S. Stepanchuk 

Economics Letters. 2014. DOI : 10.1016/j.econlet.2014.05.028.

Trade policy: Home market effect versus terms-of-trade externality

A. Campolmi; H. Fadinger; C. Forlati 

Journal Of International Economics. 2014. DOI : 10.1016/j.jinteco.2013.12.010.

Risk and Reward Preferences under Time Pressure

A. D. Nursimulu; P. Bossaerts 

Review Of Finance. 2014. DOI : 10.1093/rof/rft013.

The Swaption Cube

A. B. Trolle; E. S. Schwartz 

Review Of Financial Studies. 2014. DOI : 10.1093/rfs/hhu015.

Comonotone Pareto optimal allocations for law invariant robust utilities on L-1

C. Ravanelli; G. Svindland 

Finance And Stochastics. 2014. DOI : 10.1007/s00780-013-0214-7.

Excessive Volatility is Also a Feature of Individual Level Forecasts

A. Nursimulu; P. Bossaerts 

Journal Of Behavioral Finance. 2014. DOI : 10.1080/15427560.2014.877016.

Theses

Commodity Spread Option Pricing and the Economic Fundamentals of Crack Spreads

I. Kolpakov / A. Trolle (Dir.)  

Lausanne: EPFL, 2014. DOI : 10.5075/epfl-thesis-6358.

Three Essays on Asset Pricing

E. Leclercq / D. Filipović; L. Mancini (Dir.)  

Lausanne: EPFL, 2014. DOI : 10.5075/epfl-thesis-6357.

Essays in Asset Pricing with Search Frictions

R. Praz / S. Malamud (Dir.)  

Lausanne: EPFL, 2014. DOI : 10.5075/epfl-thesis-6246.

Financial Frictions within the Macroeconomy

V. Nuguer / L. Lambertini (Dir.)  

Lausanne: EPFL, 2014. DOI : 10.5075/epfl-thesis-6227.

Essays in Corporate Finance

N. G. Hoang / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne: EPFL, 2014. DOI : 10.5075/epfl-thesis-6062.

Book Chapters

Efficient Pricing of Energy Derivatives

A. B. Trolle 

Energy Pricing Models; Palgrave Macmillan US, 2014. p. 21.

Working Papers

Capital Goods, Measured TFP and Growth: The Case of Spain

A. Diaz; L. Franjo 

2014

2013

Journal Articles

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

L. Gaul; P. Uysal 

Review Of Financial Studies. 2013. DOI : 10.1093/rfs/hht069.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

L. Mancini; A. Ranaldo; J. Wrampelmeyer 

Journal Of Finance. 2013. DOI : 10.1111/jofi.12053.

The term structure of interbank risk

D. Filipovic; A. B. Trolle 

Journal Of Financial Economics. 2013. DOI : 10.1016/j.jfineco.2013.03.014.

CEO contract design: How do strong principals do it?

H. Cronqvist; R. Fahlenbrach 

Journal Of Financial Economics. 2013. DOI : 10.1016/j.jfineco.2013.01.013.

Health and (Other) Asset Holdings

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

Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.

Leaning Against Boom-Bust Cycles in Credit and Housing Prices

L. Lambertini; C. Mendicino; M. T. Punzi 

Journal of Economic Dynamics and Control. 2013. DOI : 10.1016/j.jedc.2013.03.008.

Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

C. Ravanelli; G. Svindland 

Finance and Stochastics. 2013. DOI : 10.2139/ssrn.1884108.

Risk Aversion and Real Options

J. N. Hugonnier; E. Morellec 

Real Options, Ambiguity, Risk and Insurance, Amsterdam. 2013. DOI : 10.3233/978-1-61499-238-7-52.

Incomplete information, idiosyncratic volatility and stock returns

T. Berrada; J. Hugonnier 

Journal of Banking & Finance. 2013. DOI : 10.1016/j.jbankfin.2012.09.004.

Optimal incentives and securitization of defaultable assets

S. Malamud; H. Rui; A. Whinston 

Journal Of Financial Economics. 2013. DOI : 10.1016/j.jfineco.2012.08.001.

Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data

L. Lambertini; C. Mendicino; M. T. Punzi 

Journal of Financial Stability. 2013. DOI : 10.1016/j.jfs.2013.07.006.

Theses

Essays on asset pricing with preference heterogeneity

G. A. Curatola / J. Hugonnier (Dir.)  

Lausanne: EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.

Essays in Equilibrium Asset Pricing

J. Cujean / J. Hugonnier (Dir.)  

Lausanne: EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.

Essays in Information-Based Asset Pricing

M. Hasler / J. Hugonnier (Dir.)  

Lausanne: EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.

Working Papers

Expectation-Driven Cycles in the Housing Market: Evidence from Survey Data.

L. Lambertini; C. Mendicino; M. T. Punzi 

2013

Moral Hazard, Informed Trading and Equilibrium Prices

P. Collin-Dufresne; F. Vyachelsav 

2013

Capital Supply Uncertainty, Cash Holdings, and Investment

J. N. Hugonnier; S. Malamud; E. Morellec 

2013

Trust-preferred securities and regulatory arbitrage

N. Boyson; R. Fahlenbrach; R. Stulz 

2013

On the Benefits of a Monetary Union: Does it Pay to Be Bigger?

C. Forlati 

2013

Trade Policy: Home Market Effect versus Terms-of-Trade Externality

A. Campolmi; H. Fadinger; C. Forlati 

2013

2012

Journal Articles

Endogenous Completeness of Diffusion Driven Equilibrium Markets

J. Hugonnier; S. Malamud; E. Trubowitz 

Econometrica. 2012. DOI : 10.3982/ECTA8783.

Health and (Other) Asset Holdings

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

Review of Economic Studies. 2012. DOI : 10.2139/ssrn.1417364.

Rational asset pricing bubbles and portfolio constraints

J. Hugonnier 

Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.

Understanding, modelling and managing longevity risk: key issues and main challenges

P. Barrieu; H. Bensusan; N. El Karoui; C. Hillairet; S. Loisel et al. 

Scandinavian Actuarial Journal. 2012. DOI : 10.1080/03461238.2010.511034.

Institutional Investors and Mutual Fund Governance: Evidence from Retail-Institutional Fund Twins

R. B. Evans; R. Fahlenbrach 

Review Of Financial Studies. 2012. DOI : 10.1093/rfs/hhs105.

This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis

R. Fahlenbrach; R. Prilmeier; R. M. Stulz 

Journal Of Finance. 2012. DOI : 10.1111/j.1540-6261.2012.01783.x.

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

P. Collin-Dufresne; R. S. Goldstein; F. Yang 

Journal Of Finance. 2012. DOI : 10.1111/j.1540-6261.2012.01779.x.

Corporate Governance and Capital Structure Dynamics

E. Morellec; B. Nikolov; N. Schuerhoff 

Journal Of Finance. 2012. DOI : 10.1111/j.1540-6261.2012.01735.x.

Financial Markets Equilibrium with Heterogeneous Agents

J. Cvitanic; E. Jouini; S. Malamud; C. Napp 

Review Of Finance. 2012. DOI : 10.1093/rof/rfr018.

Theses

Essays in Financial Economics

J. P. Kulak / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne: EPFL, 2012. DOI : 10.5075/epfl-thesis-5327.

Book Chapters

Sentiment, Asset Prices, and Systemic Risk

G. Barone-Adesi; L. Mancini; H. M. Shefrin 

Handbook on Systemic Risk; Cambridge: Cambridge University Press, 2012.

Working Papers

Spatiotemporal Brain Signatures of Risk and Reward

A. Nursimulu; U. Toepel; P. Bossaerts; M. M. Murray 

2012

Financing Investment: The Choice between Public and Private Debt

E. Morellec; P. Valta; A. Zhdanov 

2012

Credit Market Frictions and Capital Structure Dynamics

J. N. Hugonnier; S. Malamud; E. Morellec 

2012

CEO Contract Design: How Do Strong Principals Do It?

H. Cronqvist; R. Fahlenbrach 

2012

Do Prices Reveal the Presence of Informed Trading ?

P. Collin-Dufresne; V. Fos 

2012

On Bounding Credit Event Risk Premia

J. Bai; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

2012

Parameter Learning in General Equilibrium: The Asset Pricing Implications

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

2012

Insider Trading, Stochastic Liquidity and Equilibrium Prices

P. Collin-Dufresne; V. Fos 

2012

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

R. S. Goldstein; F. Belo; P. Collin-Dufresne 

2012

Mortgage Amortization and Amplification

C. Forlati; L. Lambertini 

2012

2011

Journal Articles

Explaining asset pricing puzzles associated with the 1987 market crash

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein 

Journal of Financial Economics. 2011. DOI : 10.1016/j.jfineco.2011.01.008.

Bank CEO incentives and the credit crisis

R. Fahlenbrach; R. M. Stulz 

Journal Of Financial Economics. 2011. DOI : 10.1016/j.jfineco.2010.08.010.

Risk, Unexpected Uncertainty, and Estimation Uncertainty: Bayesian Learning in Unstable Settings

E. Payzan-LeNestour; P. Bossaerts 

Plos Computational Biology. 2011. DOI : 10.1371/journal.pcbi.1001048.

Corporate investment and financing under asymmetric information

E. Morellec; N. Schuerhoff 

Journal Of Financial Economics. 2011. DOI : 10.1016/j.jfineco.2010.09.003.

Price impact and portfolio impact

J. Cvitanic; S. Malamud 

Journal Of Financial Economics. 2011. DOI : 10.1016/j.jfineco.2010.11.001.

The impact of disappointment in decision making: inter-individual differences and electrical neuroimaging

H. Tzieropoulos; R. G. de Peralta; P. Bossaerts; S. L. G. Andino 

Frontiers In Human Neuroscience. 2011. DOI : 10.3389/fnhum.2010.00235.

Robust Value at Risk Prediction

L. Mancini; F. Trojani 

Journal Of Financial Econometrics. 2011. DOI : 10.1093/jjfinec/nbq035.

Convexity bounds for BSDE solutions, with applications to indifference valuation

C. Frei; S. Malamud; M. Schweizer 

Probability Theory And Related Fields. 2011. DOI : 10.1007/s00440-010-0273-z.

MAOA-L carriers are better at making optimal financial decisions under risk

C. Frydman; C. Camerer; P. Bossaerts; A. Rangel 

Proceedings Of The Royal Society B-Biological Sciences. 2011. DOI : 10.1098/rspb.2010.2304.

The human prefrontal cortex mediates integration of potential causes behind observed outcomes

K. Wunderlich; U. R. Beierholm; P. Bossaerts; J. P. O'Doherty 

Journal Of Neurophysiology. 2011. DOI : 10.1152/jn.01051.2010.

Separate encoding of model-based and model-free valuations in the human brain

U. R. Beierholm; C. Anen; S. Quartz; P. Bossaerts 

Neuroimage. 2011. DOI : 10.1016/j.neuroimage.2011.06.071.

Former CEO Directors: Lingering CEOs or Valuable Resources?

R. Fahlenbrach; B. A. Minton; C. H. Pan 

Review Of Financial Studies. 2011. DOI : 10.1093/rfs/hhr056.

Estimating the Effects of Large Shareholders Using a Geographic Instrument

B. Becker; H. Cronqvist; R. Fahlenbrach 

Journal Of Financial And Quantitative Analysis. 2011. DOI : 10.1017/S0022109011000159.

Hedging Your Bets by Learning Reward Correlations in the Human Brain

K. Wunderlich; M. Symmonds; P. Bossaerts; R. J. Dolan 

Neuron. 2011. DOI : 10.1016/j.neuron.2011.07.025.

Risky Mortgages in a DSGE Model

C. Forlati; L. Lambertini 

International Journal of Central Banking. 2011. 

Theses

Demystifying Rational Financial Decision-Making

A. Nursimulu / P. Bossaerts (Dir.)  

Lausanne: EPFL, 2011. DOI : 10.5075/epfl-thesis-5125.

Working Papers

Modeling Credit Contagion Via the Updating of Fragile Beliefs

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

2011

Trade Liberalization, Firm Heterogeneity, and Labor Layoffs: An Empirical Investigation

P. Uysal; Y. Yotov 

2011

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

L. Gaul; P. Uysal 

2011

Disaggregating Real Exchange Rate Dynamics: A Structural Approach

P. Jacob 

2011

Deep Habits, Price Rigidities and the Consumption Response to Government Spending

P. Jacob 

2011

Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model

P. Jacob; P. Gert 

2011

2010

Journal Articles

A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

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

Swiss Finance Institute Research Paper No. 10-29. 2010. DOI : 10.2139/ssrn.1633342.

Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information

B. Biais; P. Bossaerts; C. Spatt 

Review Of Financial Studies. 2010. DOI : 10.1093/rfs/hhp113.

Ambiguity in Asset Markets: Theory and Experiment

P. Bossaerts; P. Ghirardato; S. Guarnaschelli; W. R. Zame 

Review Of Financial Studies. 2010. DOI : 10.1013/rfs/hhp106.

The relative contributions of private information sharing and public information releases to information aggregation

D. Duffie; S. Malamud; G. Manso 

Journal Of Economic Theory. 2010. DOI : 10.1016/j.jet.2009.10.017.

Exploring the Nature of "Trader Intuition"

A. J. Bruguier; S. R. Quartz; P. Bossaerts 

Journal Of Finance. 2010. DOI : 10.1111/j.1540-6261.2010.01591.x.

A Behavioral and Neural Evaluation of Prospective Decision-Making under Risk

M. Symmonds; P. Bossaerts; R. J. Dolan 

Journal Of Neuroscience. 2010. DOI : 10.1523/JNEUROSCI.1459-10.2010.

Does information drive trading in option strategies?

R. Fahlenbrach; P. Sandås 

Journal of Banking and Finance. 2010. DOI : 10.1016/j.jbankfin.2010.02.027.

Why do firms appoint CEOs as outside directors?

R. Fahlenbrach; A. Low; R. M. Stulz 

Journal Of Financial Economics. 2010. DOI : 10.1016/j.jfineco.2010.01.003.

Variance risk premia in energy commodities

A. Trolle; E. S. Schwartz 

Journal of Derivatives. 2010. 

Dynamic investment and financing under personal taxation

E. Morellec; N. Schuerhoff 

Review of Financial Studies. 2010. DOI : 10.1093/rfs/hhp062.

Conference Papers

Mutual fund competition in the presence of dynamic flows

M. Breton; J. Hugonnier; T. Masmoudi 

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

P. Bossaerts 

2010.

Theses

Essays on Equilibrium Asset Pricing

R. J. Prieto Katunaric / J. Hugonnier (Dir.)  

Lausanne: EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.

Corporate Finance, Asset Returns, and Credit Risk

P. Valta / E. Morellec (Dir.)  

Lausanne: EPFL, 2010. DOI : 10.5075/epfl-thesis-4722.

Book Chapters

Pricing expropriation risk in natural resource contracts – A real options approach

E. S. Schwartz; A. Trolle 

The Natural Resource Trap: Private Investment without Public Commitment; MIT press, 2010.

Working Papers

Credit Supply and Corporate Policies

E. Morellec 

2010

The Dark Side of Outside Directors: Do They Quit When They are Most Needed?

R. Fahlenbrach; A. Low; R. M. Stulz 

2010

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

2010

Expectations-Driven Cycles in the Housing Market

L. Lambertini; C. Mendicino; M. T. Punzi 

2010

2009

Journal Articles

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

L. Chen; P. Collin-Dufresne; R. S. Goldstein 

Review of Financial Studies. 2009. DOI : 10.1093/rfs/hhn078.

Can interest rate volatility be extracted from the cross section of bond yields?☆

P. Collin-Dufresne; R. S. Goldstein; C. S. Jones 

Journal of Financial Economics. 2009. DOI : 10.1016/j.jfineco.2008.06.007.

Promoting Intellectual Discovery: Patents Versus Markets

D. Meloso; J. Copic; P. Bossaerts 

Science. 2009. DOI : 10.1126/science.1158624.

Encoding of Marginal Utility across Time in the Human Brain

A. Pine; B. Seymour; J. P. Roiser; P. Bossaerts; K. J. Friston et al. 

Journal Of Neuroscience. 2009. DOI : 10.1523/JNEUROSCI.1126-09.2009.

Validity and Reliability of a French Version of the Metacognitions Questionnaire in a Nonclinical Population

F. Laro; M. Van der Linden; M. d'Acremont 

Swiss Journal Of Psychology. 2009. DOI : 10.1024/1421-0185.68.3.125.

Neural Correlates of Value, Risk, and Risk Aversion Contributing to Decision Making under Risk

G. I. Christopoulos; P. N. Tobler; P. Bossaerts; R. J. Dolan; W. Schultz 

Journal Of Neuroscience. 2009. DOI : 10.1523/JNEUROSCI.2614-09.2009.

Modelling price pressure in financial markets

E. Asparouhova; P. Bossaerts 

Journal Of Economic Behavior & Organization. 2009. DOI : 10.1016/j.jebo.2009.03.003.

What Decision Neuroscience Teaches Us About Financial Decision Making

P. Bossaerts 

Annual Review Of Financial Economics. 2009. DOI : 10.1146/annurev.financial.102708.141514.

Founder-CEOs, investment decisions, and stock market performance

R. Fahlenbrach 

Journal of Financial and Quantitative Analysis. 2009. DOI : 10.1017/S0022109009090139.

Large Shareholders and Corporate Policies

H. Cronqvist; R. Fahlenbrach 

Review Of Financial Studies. 2009. DOI : 10.1093/rfs/hhn093.

Cash Sub-additive Risk Measures and Interest Rate Ambiguity

N. El Karoui; C. Ravanelli 

Mathematical Finance. 2009. DOI : 10.1111/j.1467-9965.2009.00380.x.

Option Pricing with Model-Guided Nonparametric Methods

L. Mancini; J. Fan 

Journal of the American Statistical Association. 2009. DOI : 10.1198/jasa.2009.ap08171.

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

A. Trolle; E. S. Schwartz 

Review of Financial Studies. 2009. DOI : 10.1093/rfs/hhp036.

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

A. Trolle; E. S. Schwartz 

Review of Financial Studies. 2009. DOI : 10.1093/rfs/hhn040.

Information Percolation with Equilibrium Search Dynamics

D. Duffie; S. Malamud; G. Manso 

Econometrica. 2009. DOI : 10.3982/ECTA8160.

The impact of fiscal-monetary policy interactions on government size and macroeconomic performance

V. Cuciniello 

Economic Modelling. 2009. DOI : 10.1016/j.econmod.2009.02.014.

Managerial ownership dynamics and firm value

R. Fahlenbrach; R. M. Stulz 

Journal of Financial Economics. 2009. DOI : 10.1016/j.jfineco.2008.06.005.

Conference Papers

Neural Basis Of Expected Utility And Mean-Variance Models Of Risk

M. d'Acremont; P. Bossaerts 

2009.  p. 109-109.

Theses

Essays on individual decision making under uncertainty

E. Le Nestour / P. Bossaerts (Dir.)  

Lausanne: EPFL, 2009. DOI : 10.5075/epfl-thesis-4532.

Book Chapters

The Neurobiological Foundations of Valuation in Human Decision Making under Uncertainty

P. Bossaerts; M. Hsu; K. Preuschoff 

Neuroeconomics: Decision Making and the Brain; Academic Press, 2009. p. 353-365.

Decision Making in Financial Markets

P. Bossaerts 

Encyclopedia of Neuroscience; Elsevier, 2009.

Working Papers

Indifference Pricing for Power Utilities

S. Malamud; E. Trubowitz; M. V. Wuthrich 

2009

Convexity bounds for BSDE solutions, with applications to indifference valuation

C. Frei; S. Malamud; M. Schweizer 

2009

Variance Covariance Orders and Median Preserving Spreads

S. Malamud; F. Trojani 

2009

Relative Extinction of Heterogeneous Agents

J. Cvitanic; S. Malamud 

2009

Risk Aversion and Equilibrium Optimal Portfolios in Large Markets

J. Cvitanic; S. Malamud 

2009

Equilibrium Driven by Discounted Dividend Volatility

J. Cvitanic; S. Malamud 

2009

Financial Markets Equilibrium with Heterogeneous Agents

J. Cvitanic; E. Jouini; S. Malamud; C. Napp 

2009

Endogenous Completeness of Diffusion Driven Equilibrium Markets

S. Malamud; J. Hugonnier; E. Trubowitz 

2009

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

A. Ranaldo; J. Wrampelmeyer 

2009

Optimal Monetary and Fiscal Policy in the EMU: Does Fiscal Policy Coordination matter?

C. Forlati 

2009

On the Benefits of a Monetary Union: does it pay to be bigger?

C. Forlati 

2009

Trade Policy: Home Market Effect vs Terms of Trade Externality

A. Campolmi; H. Fadinger; C. Forlati 

2009

The welfare effect of foreign monetary conservatism with non-atomistic wage setters

V. Cuciniello 

2009

Monetary-Labor Interactions, International Monetary Regimes, and Central Bank Conservatism

V. Cuciniello 

2009

Macroeconomic interdependence under collective wage bargaining

V. Cuciniello 

2009

International monetary policy cooperation revisited: conservatism and non-atomistic wage setting

V. Cuciniello 

2009

Optimal Exchange-Rate Targeting with Large Labor Unions

V. Cuciniello; L. Lambertini 

2009

2008

Journal Articles

Closed-form solutions to stochastic process switching problems

P. François; E. Morellec 

Journal of Mathematical Economics. 2008. DOI : 10.1016/j.jmateco.2007.09.002.

Identification of Maximal Affine Term Structure Models

P. Collin-Dufresne; R. S. Goldstein; C. S. Jones 

The Journal of Finance. 2008. DOI : 10.1111/j.1540-6261.2008.01331.x.

A Short Introduction to Correlation Markets

P. Collin-Dufresne 

Journal of Financial Econometrics. 2008. DOI : 10.1093/jjfinec/nbn019.

Human insula activation reflects risk prediction errors as well as risk

K. Preuschoff; S. R. Quartz; P. Bossaerts 

Journal Of Neuroscience. 2008. DOI : 10.1523/JNEUROSCI.4286-07.2008.

Investigating signal integration with canonical correlation analysis of fMRI brain activation data

A. Bruguier; K. Preuschoff; S. Quartz; P. Bossaerts 

Neuroimage. 2008. DOI : 10.1016/j.neuroimage.2008.01.062.

Markowitz in the brain?

K. Preuschoff; S. Quartz; P. Bossaerts 

Revue D'Economie Politique. 2008. DOI : 10.3917/redp.181.0075.

Stock returns in mergers and acquisitions

E. Morellec 

Journal of Finance -New York-. 2008. 

Financing and takeovers

E. Morellec 

Journal of Financial Economics -Amsterdam-. 2008. DOI : 10.1016/j.jfineco.2007.01.006.

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

S. Malamud 

Finance and Stochastics. 2008. DOI : 10.1007/s00780-007-0058-0.

Universal Bounds for Asset Prices in Heterogeneous Economies

S. Malamud 

Finance and Stochastics. 2008. DOI : 10.1007/s00780-008-0062-z.

Market Consistent Pricing of Insurance Products

S. Semyon Malamud; E. Trubowitz; M. V. Wuthrich 

Astin Bulletin. 2008. DOI : 10.2143/AST.38.2.2033351.

Mutual fund portfolio choice in the presence of dynamic flows

J. Hugonnier; R. Kaniel 

Mathematical Finance. 2008. DOI : 10.1111/j.1467-9965.2010.00395.x.

Out of Sample Forecasts of Quadratic Variation

L. Mancini; Y. Aït-Sahalia 

Journal of Econometrics. 2008. DOI : 10.1016/j.jeconom.2008.09.015.

A GARCH Option Pricing Model with Filtered Historical Simulation

L. Mancini; G. Barone-Adesi; R. Engle 

Review of Financial Studies. 2008. DOI : 10.1093/rfs/hhn031.

Co-Movements of Index Options and Futures Quotes

R. Fahlenbrach; P. Sandås 

Journal of Empirical Finance. 2008. DOI : 10.1016/j.jempfin.2008.06.004.

Shareholder Rights, Boards, and CEO Compensation

R. Fahlenbrach 

Review of Finance. 2008. DOI : 10.1093/rof/rfn011.

Toward a Mechanistic Understanding of Human Decision Making

J. P. O'Doherty; P. Bossaerts 

Current Directions in Psychological Science. 2008. DOI : 10.1111/j.1467-8721.2008.00560.x.

Neural correlates of mentalizing-related computations during strategic interactions in humans

A. N. Hampton; P. Bossaerts; J. P. O'Doherty 

Proceedings of the National Academy of Sciences. 2008. DOI : 10.1073/pnas.0711099105.

Neurobiological studies of risk assessment: A comparison of expected utility and mean-variance approaches

M. d'Acremont; P. Bossaerts 

Cognitive, Affective and Behavioral Neuroscience. 2008. DOI : 10.3758/CABN.8.4.363.

Reviews

Explicit neural signals reflecting reward uncertainty

W. Schultz; K. Preuschoff; C. Camerer; M. Hsu; C. D. Fiorillo et al. 

2008.

Book Chapters

Risk Aversion in Laboratory Asset Markets

P. Bossaerts; W. Zame 

Risk Aversion in Experiments; JAI Press, Research in Experimental Economics, 2008. p. 342-350.

Asset Pricing

P. Bossaerts 

Handbook of Experimental Economic Results; Elsevier, 2008.

Working Papers

Is U.S. Fiscal Policy Optimal?

N. Giammarioli; L. Lambertini; L. Onorante 

2008

2007

Journal Articles

Agency Conflicts and Risk Management

E. Morellec; C. W. Smith 

Review of Finance. 2007. DOI : 10.1093/rof/rfm001.

Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein 

The Journal of Finance. 2007. DOI : 10.1111/j.1540-6261.2007.01271.x.

The Structure of Optimal Consumption Streams in General Incomplete Markets

S. Malamud; E. Trubowitz 

Mathematics and Financial Economics. 2007. DOI : 10.1007/s11579-007-0006-y.

Pricing and hedging in the presence of extraneous risks

P. Collin-Dufresne; J. Hugonnier 

Stochastic Processes and Applications. 2007. 

Corporate control and real investment in incomplete markets

J. Hugonnier; E. Morellec 

Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.

Heterogenous preferences and equilibrium trading volume

T. T. Berrada; J. Hugonnier; M. Rindisbacher 

Journal of Financial Economics. 2007. 

Adding prediction risk to the theory of reward learning

K. Preuschoff; P. Bossaerts 

Reward and Decision Making in Corticobasal Ganglia Networks. 2007. DOI : 10.1196/annals.1390.005.

Neural antecedents of financial decisions

B. Knutson; P. Bossaerts 

Journal of Neuroscience. 2007. DOI : 10.1523/JNEUROSCI.1564-07.2007.

Functionally and temporally dissociable neural processes underlying social decision-making on faces

H. Kim; M. Kawamura; M. Sakagami; M. Mimura; S. Koyama et al. 

Neuroscience Research. 2007. DOI : 10.1016/j.neures.2007.06.022.

Human imagination in financial markets with insiders

P. L. Bossaerts; A. Bruguier; S. Quartz 

Neuroscience Research. 2007. DOI : 10.1016/j.neures.2007.06.023.

Prices and portfolio choices in financial markets: Theory, econometrics, experiments

P. Bossaerts; C. Plott; W. Zame 

Econometrica. 2007. DOI : 10.1111/j.1468-0262.2007.00780.x.

Books

Adding prediction risk to the theory of reward learning

K. Preuschoff; P. Bossaerts 

2007.

Working Papers

Neurophysiological evidence on perception of reward and risk: Implications for trading under time pressure

A. Bollard; R. Liu; A. Nursimulu; A. Rangel; P. Bossaerts 

2007

Do Funds Need Governance? Evidence from Variable Annuity-Mutual Fund Twins

R. Fahlenbrach; R. B. Evans 

2007

On the Power of the Gibbons-Ross-Shanken Test of Optimality of a Portfolio

P. Bossaerts; D. Meloso 

2007

The Impact of Ambiguity On Prices And Allocations In Competitive Financial Markets

P. Bossaerts; P. Ghirardato; S. Guarnaschelli; W. R. Zame 

2007

Why Cognitive Biases May Not Always Be Relevant For Asset Prices

P. Bossaerts; E. Asparouhova; J. Eguia; W. R. Zame 

2007

Equilibration under Competition in Smalls: Theory and Experimental Evidence

P. Bossaerts 

2007

Optimal Fiscal Policy in a Monetary Union

L. Lambertini 

2007

2006

Journal Articles

On the debt capacity of growth options

E. Morellec 

Journal of Business. 2006. 

Capital structure, credit risk, and macroeconomic conditions

E. Morellec 

Journal of Financial Economics -Amsterdam-. 2006. DOI : 10.1016/j.jfineco.2005.10.003.

Large Blocks of Stock: Prevalence, Size, and Measurement

J. Dlugosz; R. Fahlenbrach; P. Gompers; A. Metrick 

Journal of Corporate Finance. 2006. DOI : 10.1016/j.jcorpfin.2005.04.002.

Neural Differentiation of Expected Reward and Risk in Human Subcortical Structures

K. Preuschoff; P. Bossaerts; S. Quartz 

Neuron. 2006. DOI : 10.1016/j.neuron.2006.06.024.

The role of the ventromedial prefrontal cortex in abstract state-based inference during decision making in humans

A. Hampton; P. Bossaerts; J. O'Doherty 

Journal of Neuroscience. 2006. DOI : 10.1523/JNEUROSCI.1010-06.2006.

Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment

P. Bossaerts; W. Zame 

Finance Research Letters. 2006. DOI : 10.1016/j.frl.2006.01.001.

Monetary-Fiscal Interactions with a Conservative Central Bank

L. Lambertini 

Scottish Journal of Political Economy. 2006. DOI : 10.1111/j.1467-9485.2006.00372.x.

Working Papers

What drives trading in index option strategies?

R. Fahlenbrach; P. Sandas 

2006

2005

Journal Articles

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

J. Casassus; P. Collin-Dufresne 

The Journal of Finance. 2005. DOI : 10.1111/j.1540-6261.2005.00799.x.

Unspanned stochastic volatility and fixed income derivatives pricing

J. Casassus; P. Collin-Dufresne; B. Goldstein 

Journal of Banking & Finance. 2005. DOI : 10.1016/j.jbankfin.2005.02.007.

An Option Pricing Formula for the GARCH Diffusion Model

C. Ravanelli; G. Barone-Adesi; H. Rasmussen 

Computational Statistics and Data Analysis. 2005. DOI : 10.1016/j.csda.2004.05.014.

The dynamics of mergers and acquisitions

E. Morellec 

Journal of Financial Economics -Amsterdam-. 2005. DOI : 10.1016/j.jfineco.2004.10.009.

Irreversible investment with regime shifts

E. Morellec 

Journal of Economic Theory. 2005. DOI : 10.1016/j.jet.2004.04.005.

On the utility based pricing of contingent claims in incomplete markets

J. Hugonnier; D. Kramkov; W. Schachermayer 

Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

L. Mancini; E. Ronchetti; F. Trojani 

Journal of the American Statistical Association. 2005. DOI : 10.1198/016214504000001402.

Exchange Rates and Fiscal Adjustments; Evidence from the OECD and Implications for the EMU

L. Lambertini; J. A. Tavares 

Contributions to Macroeconomics. 2005. DOI : 10.2202/1534-6005.1168.

Working Papers

Essays on Corporate Governance

R. Fahlenbrach 

2005

2004

Journal Articles

A General Formula for Valuing Defaultable Securities

P. Collin-Dufresne; R. Goldstein; J. Hugonnier 

Econometrica. 2004. DOI : 10.1111/j.1468-0262.2004.00538.x.

Capital structure and asset prices: Some effects of bankruptcy procedures

E. Morellec 

Journal of Business. 2004. DOI : 10.1086/381280.

Can managerial discretion explain observed leverage ratios

E. Morellec 

Review of Financial Studies. 2004. DOI : 10.1093/rfs/hhg036.

Optimal investment with random endowments in incomplete markets

J. Hugonnier; D. Kramkov 

Annals of Applied Probability. 2004. 

Basic principles of asset pricing theory: Evidence from large-scale experimental financial markets

P. Bossaerts; C. Plott 

Review of Finance. 2004. DOI : 10.1023/B:EUFI.0000035190.24818.e5.

Filtering returns for unspecified biases in priors when testing asset pricing theory

P. Bossaerts 

Review of Economic Studies. 2004. DOI : 10.1111/0034-6527.00276.

Book Chapters

Price Discovery in Financial Markets: The Case of the CAPM

P. Bossaerts; D. Kleiman; C. Plott 

Collected Papers on the Foundations of Experimental Economics and Political Science: Information, Finance and General Equilibrium; Edwin Elgar, 2004.

Working Papers

Capital Structure, Investment, and Private Benefits of Control

E. Morellec; N. Wang 

2004

A General Equilibrium Model of Oil Prices and Convenience yields

J. Casassus; P. Collin-Dufresne; B. Routledge 

2004

Are Budget Deficits Used Strategically?

L. Lambertini 

2004

2003

Journal Articles

Local parametric analysis of derivatives pricing and hedging

P. Bossaerts; P. Hillion 

Journal of Financial Markets. 2003. DOI : 10.1016/S1386-4181(03)00004-1.

Excess demand and equilibration in multi-security financial markets: The empirical evidence

E. Asparouhova; P. Bossaerts; C. Plott 

Journal of Financial Markets. 2003. DOI : 10.1016/S1386-4181(02)00042-3.

Interactions of Commitment and Discretion in Monetary and Fiscal Policies

A. Dixit; L. Lambertini 

American Economic Review. 2003. DOI : 10.1257/000282803322655428.

Symbiosis of Monetary and Fiscal Policies in a Monetary Union

A. Dixit; L. Lambertini 

Journal of International Economics. 2003. DOI : 10.1016/S0022-1996(02)00048-X.

Endogenous Debt Constraints in Lifecycle Economies

C. Azariadis; L. Lambertini 

Review of Economic Studies. 2003. DOI : 10.1111/1467-937X.00252.

Book Chapters

The Fiscal Politics of Big Governments: Do Coalitions Matter?

L. Lambertini; C. Azariadis 

Economics for an Imperfect World: Essays in Honor of Joseph Stiglitz; MIT Press, 2003.

Working Papers

A Dynamic Analysis of Takeover Deals with Competition and Imperfect Information

E. Morellec; A. Zhdanov 

2003

Generalizing the Affine Framework to HJM and Random Field Models

P. Collin-Dufresne; R. S. Goldstein 

2003

Volatility and Sovereign Default

L. Lambertini 

2003

2002

Journal Articles

Pricing Swaptions within the Affine Framework

P. Collin-Dufresne; R. S. Goldstein 

The Journal of Derivatives. 2002. DOI : 10.3905/jod.2002.319187.

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

P. Collin-Dufresne; R. S. Goldstein 

The Journal of Finance. 2002. DOI : 10.1111/1540-6261.00475.

The CAPM in thin experimental financial markets

P. Bossaerts; C. Plott 

Journal of Economic Dynamics and Control. 2002. DOI : 10.1016/S0165-1889(01)00046-X.

Inducing liquidity in thin financial markets through combined-value trading mechanisms

P. Bossaerts; L. Fine; J. Ledyard 

European Economic Review. 2002. DOI : 10.1016/S0014-2921(02)00240-4.

An optimal IPO mechanism

B. Biais; P. Bossaerts; J-C. Rochet 

Review of Economic Studies. 2002. 

Excess Asset Returns and Limited Enforcement

L. Lambertini; C. Azariadis 

American Economic Review. 2002. DOI : 10.1257/000282802320189131.

Books

Derivatives Markets (Student Solutions Manual)

R. McDonald; M. Cassano; R. Fahlenbrach 

Boston, MA: Addison-Wesley Co., 2002.

The Paradox of Asset Pricing

P. Bossaerts 

Princeton University Press, 2002.

2001

Journal Articles

On the Term Structure of Default Premia in the Swap and LIBOR Markets

P. Collin-Dufresne; B. Solnik 

The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00357.

Do Credit Spreads Reflect Stationary Leverage Ratios?

P. Collin-Dufresne; R. S. Goldstein 

The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00395.

The Determinants of Credit Spread Changes

P. Collin-Dufresne; R. S. Goldstein; J. S. Martin 

The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00402.

Asset liquidity, capital structure, and secured debt

E. Morellec 

Journal of Financial Economics. 2001. DOI : 10.1016/S0304-405X(01)00059-9.

IPO post-issue markets: Questionable predilections but diligent learners?

P. Bossaerts; P. Hillion 

Review of Economics and Statistics. 2001. DOI : 10.1162/00346530151143860.

Experiments With Financial Markets: Implications for Asset Pricing Theory

P. Bossaerts 

The American Economist. 2001. 

An exploration of Neo-Austrian theory applied to financial markets

H. Benink; P. Bossaerts 

Journal of Finance. 2001. DOI : 10.1111/0022-1082.00353.

Monetary-Fiscal Policy Interactions and Commitment Versus Discretion in a Monetary Union

A. Dixit; L. Lambertini 

European Economic Review. 2001. DOI : 10.1016/S0014-2921(01)00134-9.

Books

Lecture Notes in Corporate Finance

P. Bossaerts; B. A. Odegaard 

World Scientific Publishing, 2001.

Working Papers

Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty

P. Collin-Dufresne; J. N. Hugonnier 

2001

2000

Journal Articles

Investment under uncertainty with implementation delay

L. Gauthier; E. Morellec 

New Developments and Applications in Real Options. 2000. 

Expectations and learning in Iowa

O. Bondarenko; P. Bossaerts 

Journal of Banking and Finance. 2000. DOI : 10.1016/S0378-4266(99)00090-4.

Book Chapters

On The Redistributive Property of Budget Deficits

L. Lambertini 

Institutions, Politics and Fiscal Policy; Springer, 2000.

Working Papers

Has the Cross-Section of Average Returns Always Been the Same? Evidence from Germany, 1881-1913

P. Bossaerts; C. Fohlin 

2000

1999

Journal Articles

A closed form formula for valuing mortgages

P. Collin-Dufresne; J. P. Harding 

The Journal of Real Estate Finance and Economics. 1999. DOI : 10.1023/A:1007879422329.

The Feynman–Ka`c formula and pricing occupation time derivatives

J. Hugonnier 

International Journal of Theoretical and Applied Finance. 1999. DOI : 10.1142/S021902499900011X.

Implementing statistical criteria to select return forecasting models: What do we learn?

P. Bossaerts; P. Hillion 

Review of Financial Studies. 1999. DOI : 10.1093/rfs/12.2.405.

1998

Journal Articles

Noisy Information and Investment Decisions: A Note

L. Gauthier; E. Morellec 

SSRN Electronic Journal. 1998. DOI : 10.2139/ssrn.113189.

Asset Prices and Trading Volume in a Beauty Contest

B. Biais; P. Bossaerts 

Review of Economic Studies. 1998. 

Working Papers

Rational Expectations Equilibria When Priors are Inconsistent

P. Bossaerts 

1998

Learning-Induced Securities Price Volatility

P. Bossaerts 

1998

1997

Journal Articles

Applying the HJM-approach when volatility is stochastic

J. Andreasen; P. Collin-Dufresne; W. Shi 

Proceedings of the AFFI. 1997. 

Local parametric analysis of hedging in discrete time

P. Bossaerts; P. Hillion 

Journal of Econometrics. 1997. DOI : 10.1016/S0304-4076(97)00046-8.

Book Chapters

Martingale Pricing

P. Collin-Dufresne; W. Keirstead; M. Ross 

Equity Derivatives Applications in Risk Management and Investment; Risk Publications, 1997. p. 223-233.

Working Papers

Arbitrage-Based Pricing When Volatility is Stochastic

P. Bossaerts; E. Ghysels; C. Gouriéroux 

1997

1996

Book Chapters

Martingale-Based Hedge Error Control

P. Bossaerts; B. Werker 

Numerical Methods in Financial Mathematics; Cambridge University Press, 1996.

A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series

P. Bossaerts; W. Härdle; C. Hafner 

Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren; Physica Verlag, 1996. p. 71-84.

Exchange Rates Have Surprising Volatility

P. Bossaerts; C. Hafner; W. Härdle 

Time Series Analysis; Springer Verlag, 1996. p. 2:55-72.

Working Papers

A Theorem On (Certain Kinds Of) Out-of-Sample Prediction Tests in Finance

P. Bossaerts 

1996

1995

Journal Articles

Testing the Mean Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections

P. Bossaerts; P. Hillion 

Annales d'Economie et Statistique. 1995. 

Speculative Behavior and the Functioning of Financial Markets: Discussion

P. Bossaerts 

Moneda y Credito . 1995. 

The Econometrics of Learning in Financial-Markets

P. Bossaerts 

Econometric Theory. 1995. 

1994

Journal Articles

Tax-Induced Intertemporal Restrictions on Security Returns

P. Bossaerts; R. M. Dammon 

Journal of Finance. 1994. DOI : 10.2307/2329189.

Asset Prices and Trading Volume in a Beauty Contest

B. Biais; P. Bossaerts 

Journal of Finance. 1994. 

1993

Journal Articles

A Test of a General Equilibrium Stock Option Pricing Model

P. Bossaerts; P. Hillion 

Mathematical Finance. 1993. DOI : 10.1111/j.1467-9965.1993.tb00091.x.

Transaction Prices When Insiders Trade Portfolios

P. Bossaerts 

Journal of Finance. 1993. 

1992

Journal Articles

Inflation Convergence with Realignments in a Two-Speed Europe

L. Lambertini; M. Miller; A. Sutherland 

Economic Journal. 1992. DOI : 10.2307/2234518.

1991

Journal Articles

Market Microstructure Effects of Government Intervention in the Foreign-Exchange Market

P. Bossaerts; P. Hillion 

Review of Financial Studies. 1991. DOI : 10.1093/rfs/4.3.513.

1989

Journal Articles

A General Equilibrium Model of Changing Risk Premia: Theory and Tests

P. Bossaerts; R. C. Green 

Review of Financial Studies . 1989. DOI : 10.1093/rfs/2.4.467.

1988

Journal Articles

Common Nonstationary Components of Asset Prices

P. Bossaerts 

Journal of Economic Dynamics & Control. 1988. DOI : 10.1016/0165-1889(88)90045-0.