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Contributions published at Quantitative Finance (Marc Chesney)

Contribution
Marc Chesney, Nils Jonathan Krakow, Brigitte Maranghino-Singer, Lukas Münstermann, Asset Pricing : Finanzderivate und ihre Systemrisiken, Springer, Wiesbaden, 2018. (Book/Research Monograph)
Ceren Satilmis, The Effects of Adding a Microinsurance Product to the Portfolios of Microcredit Clients: a Data Analysis, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) null
Jeremy Fritzsche, Is Banking in a Sovereign Money System Feasible?, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master's Thesis) null
Redaktion, Marc Chesney, Bitcoin: Bolla in vista?, In: RSI Rete Uno, 11 December 2017. (Media Coverage) null
Alexander Marti, Financial transaction taxes: An analysis of historical implications and future paths, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis) null
Tagung ASPO Schweiz, Finanzflüsse und Energieströme, In: Tagung ASPO Schweiz. 2017. (Conference Presentation) null
Burim Ajruli, Einfluss der Frankenstärke auf den SPI in den Jahren 2004 bis 2016, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis) null
Robert Cierny, The Challenges of Managing the Deposit Business in Microfinance, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis) null
Daniel Ammann, Simon Grund, Falko Paetzold, "Ich will einen fairen, sozialen Kapitalismus", In: Credit Suisse Bulletin, 26 September 2017. (Media Coverage) null
Delia Coculescu, Monique Jeanblanc, Some No-Arbitrage Rules for Converging Asset Prices under Short-Sales Constraints, In: HAL, No. 01589416, 2017. (Working Paper) Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido, 2014). For two given price processes, we translate the property (NFLVR-S) in terms of so called structure conditions and we introduce the concept of fun- damental supermartingale measure. When a certain condition necessary to the construction of the fundamental martingale measure is not fulfilled, we provide the corresponding arbi- trage portfolios. The motivation of our study lies in understanding the particular case of converging prices, i.e., that are going to cross at a bounded random time.
Sarah Zaugg, Der Einfluss von ESG-Bemühungen auf die Börsenperformance. Eine Analyse innerhalb der Health Care Branche in den USA, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis) null
René Oberholzer, Emissionshandelssysteme und die Bestimmung eines entsprechenden CO2-Zertifikatspreises, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis) null
Philipp Hufschmid, Marc Chesney, Die krisenresistente Wirtschaft ist noch nicht erfunden, In: Horizonte, 1 September 2017. (Media Coverage) null
Gegenbaoleer Gegenbaoleer, Equity valuation of microfinance institutions, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis) null
Scorrano Fabio, Besteht ein Zusammenhang zwischen Mikrofinanzierung und höherer Schulbildung? Eine Untersuchung zu Methoden und Stand der Forschung., University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis) null
Marc Chesney, Pierre Lasserre, Bruno Troja, Mitigating Global Warming: A Real Options Approach, Annals of Operations Research, Vol. 255 (1-2), 2017. (Journal Article) Mitigation and adaptation represent two solutions to the issue of global warming. While mitigation aims at reducing CO2 emissions and preventing climate change, adaptation encompasses a broad scope of techniques used to reduce the impacts of climate change once they have occurred. Both have direct costs on a country’s Gross Domestic Product, but costs also arise from temperature increases due to inaction. This paper introduces a tipping point in a real options model and analyzes optimal investment choices in mitigation and their timing.
SRF 10 vor 10, Marc Chesney, Vor zehn Jahren herrschte eine globale Bankenkrise – mitten drin CS und UBS. Es ging ums Überleben: der Banken, des Finanzplatzes, des ganzen Systems, In: Schweizer Radio und Fernsehen SRF, 28 July 2017. (Media Coverage) null
Marc Chesney, Jonathan Gheyssens, Bruno Troja, Market uncertainty and risk transfer in REDD projects, Journal of Sustainable Forestry, Vol. 36 (5), 2017. (Journal Article) The central role played by deforestation in the increase in global CO2 emissions has recently justified the development of new schemes which offer compensation in exchange for reductions in emissions from deforestation (Reducing Emissions from Deforestation and Forest Degradation, REDD). The design of REDD projects can be based on market prices to set how deforesters are compensated for avoiding deforestation. With limited experiments involving a true market integration of REDD, it remains however difficult to assess the potential impact market price uncertainties may have on the targets of the protective scheme. The goal of this article is to assess the optimal choices of a forest owner, in terms of his combined decision of choosing when to protect his forest, and the deforestation rate prior to it, given his option to enter an irreversible REDD scheme that provides him with uncertain cash flows under different risk aversion scenarios.
Marc Chesney, What is the economic value of values?, In: Ethical Leadership in Business - How to lead in times of extremes. 2017. (Conference Presentation) null
Marc Chesney, Financial Complexity and Product Margins: An Experimental Study, In: Research Seminar of the CPO Department, ESCP Europe. 2017. (Conference Presentation) null

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