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Related publications (39)

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Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Acute stress alters individual risk taking in a time-dependent manner and leads to anti-social risk

Maria del Carmen Sandi Perez, Samuel Bendahan, Fiona Hollis, Leyla Loued-Khenissi, John Christian Thoresen, Lorenz Goette

Decision-making processes can be modulated by stress, and the time elapsed from stress induction seems to be a crucial factor in determining the direction of the effects. Although current approaches consider the ﬁrst post-stress hour a uniform period, the ...

2017

Satisficing measure approach for vehicle routing problem with time windows under uncertainty

Jingjing Jiang

The complexity of evaluating chance constraints makes chance-constrained programming problem difficult to solve. One way to handle this complexity is by devising satisficing measures for the relevant uncertainties. This paper focuses on solving the stochas ...

2016

Robust Growth-Optimal Portfolios

Daniel Kuhn, Napat Rujeerapaiboon, Wolfram Wiesemann

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

Informs2016

On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...

Oxford University Press2015

On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

2015

The Endowment Effect

Andreas Fuster

The endowment effect is among the best known findings in behavioral economics and has been used as evidence for theories of reference-dependent preferences and loss aversion. However, a recent literature has questioned the robustness of the effect in the l ...

2014

Risk and Reward Preferences under Time Pressure

Anjali Devi Vanapilli Nursimulu

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, ...

Oxford Univ Press2014

Event risk, contingent claims and the temporal resolution of uncertainty

Pierre Collin Dufresne, Julien Hugonnier

We study the pricing and hedging of contingent claims that are subject to Event Risk which we define as rare and unpredictable events whose occurrence may be correlated to, but cannot be hedged perfectly with standard marketed instruments. The super-replic ...

Springer2014

Excessive Volatility is Also a Feature of Individual Level Forecasts

Anjali Devi Vanapilli Nursimulu

The excessive volatility of prices in financial markets is one of the most pressing puzzles in social science. It has led many to question economic theory, which attributes beneficial effects to markets in the allocation of risks and the aggregation of inf ...

Routledge Journals, Taylor & Francis Ltd2014