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CDM-IF
IF-ENS

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EPFL
CDM
CDM-IF
IF-ENS

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Related people (16)

Units doing similar research (2)

Related publications (29)

Related people (16)

Units doing similar research (2)

Damir Filipovic, Pierre Collin Dufresne, Semyon Malamud, Erwan Morellec, Luisa Lambertini, Andreas Fuster, Rüdiger Fahlenbrach, Julien Hugonnier, Anders Trolle, Christian Pröbsting

The Swissquote Chair in Quantitative Finance

EPFL
CDM
SFI
CSF

Full Prof. Collin-Dufresne Chair

EPFL
CDM
SFI
SFI-PCD

Related publications (29)

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

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

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024