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Contributions published at Quantitative Finance (Marc Chesney)

Contribution
Anca Claudia Pana, Marc Chesney, Simultaneous CO2 permit trading and output decisions in a dynamic setting with multiple sources of uncertainty, In: ENVECON2013: Applied Environmental Economics Conference. 2013. (Conference Presentation) We investigate the simultaneous optimal decisions regarding the production, sales, and inventory of output, as well as theCO2 permit trading of a regulated firm under the EU ETS. By specifically modeling the uncertainty related to the prices of output and CO2 permits, the demand for output, as well as the availability of tradable pollution permits, we are able to identify how permit and production decisions influence each other. The simulations presented here suggest that under the EU ETS, a regulated firm has incentives to decrease pollution to the detriment of production. This feature is even stronger under conditions of higher uncertainty regarding the availability of permits on the market. The impact on total profits is however insignificant, since firms manage to balance sales decreases with inflows from permit trading. Moreover, we find that compared to the case of full availability of permits, firms are inclined to hold extra pollution allowances under uncertainty, in order to avoid incurring large penalty costs at the end of the compliance period. Interestingly, under the EU ETS firms choose to hold higher inventories of output in order to have anticipated information regarding the total realized emissions. We put forth that possible interventions on the carbon markets should target the variability of the allowance prices. Both very low and high levels of price volatility offer adverse incentives for firms regarding their emission reductions; instead policy makers should direct their actions towards establishing moderate levels of volatility. Additionally, a carbon market where large negative jumps are frequently present cannot constitute an effective pollution reduction policy.
Milos Pantic, Impact of the financial crisis on the weather derivatives, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Patrick Peterhans, The Inclusion of the Aviation Sector into the EU ETS: A Real Options Approach, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
Tim Sterchi, Islamic Banking - Attraktiver und nachhaltiger Teil des zukünftigen Geschäftsmodells von Schweizer Finanzdienstleistern?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Patrick Peterhans, The inclusion of the aviation sector into the EU-ETC: A real options approach, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
Ana Ivkic, Energy Exchanges on the Example of the European Energy Exchange and its Relevance for the Swiss Electricity Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Brigitte Maranghino-Singer, Tatsächliche Verschuldung inden Euro-Gründungsstaaten viel höher, 2013. (Other Publication) null
Brigitte Maranghino-Singer, Verantwortung in der Finanzwirtschaft am Beispiel des Schattenbankensystems, 2013. (Other Publication) null
Brigitte Maranghino-Singer, Riskanter Schweizer Hypothekarmarkt - Banken verletzen zunehmend ihre eigenen Regeln, 2013. (Other Publication) null
Brigitte Maranghino-Singer, Marc Chesney, Einschätzung des Revidierungsvorschlages des Bundesrates für die Zielvorgaben für die Stilllegungs- und Entsorgungsfonds der schweizerischen Kernanlagen zuhanden der Schweizerischen Energiestiftung, 2013. (Studies and Reports Commissionned) null
Svenja Hüsing, Do investors reward environmentally friendly strategies? An empirical analysis of Swiss firms, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Marc Chesney, Die Umwandlung des Kapitalismus und seine Finanzdurchdringung, In: Kapitalismus - eine Religion in der Krise I, Pano Verlag, Basel, p. 325 - 368, 2013. (Book Chapter) Die Dynamik, Unübersichtlichkeit und Unabgeschlossenheit einer Krise, wie wir sie derzeit in der Wirtschaft, besonders der Finanzwirtschaft, erleben, führen einzelwissenschaftliche Theorien und Studien an eine innere Komplexitätsgrenze. Der Band versammelt die Ergebnisse der zweijährigen Zusammenarbeit von Ökonomen, Literaturwissenschaftlern, Theologen, Finanzwissenschaftlern und Wirtschaftsethikern unter der gemeinsamen Überschrift „Religion und Wirtschaft: Risiko – Vertrauen – Schuld“. Behandelt werden dabei unter anderem die Krise als Unterwanderung des Kapitalismus durch seine Finanzialisierung (Marc Chesney), die Krise als Ungleichheit von realer Zeit und virtuell gehandelter Zeit im Finanzsystem (Paul Dembinski), die theologisch-metaphysischen Hintergründe der klassisch-modernen ökonomischen Theoriebildung (Birger Priddat), die Verwandtschaften und Analogien in der zeichentheoretischen und systematischen Tiefenstruktur von Ökonomie/Ökonomik und Religion/Theologie (Jochen Hörisch) sowie – in einer kulturkritischen und ethisch-theologischen Perspektive – das Menschenbild des homo oeconomicus (Christoph Weber-Berg). Die Autoren bündeln ihre Einsichten in einem gemeinsamen Text, der für unsere Gegenwart eine „ökonomische Aufklärung“ fordert, die zugleich eine Erneuerung der universitären Lehre von Wirtschaft und Management anregt.
Jacob Stromberg, Essays on the Pricing and Modeling of Derivatives and Risk-taking Incentives, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Dissertation)
Kevin Gilhawley, The Impact of Socially Responsible Business Practices on the Profitability in Islamic Banking and the Significance to Conventional Banking, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Victorino Hinora, Advances in Statistical Arbitrage and the Impact of the Financial Crises on its Success, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Xavier Liechti, Credit Default Swaps: A Review of Fundamentals and Systemic Risks, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Jan Cuonz, Pricing and Hedging of Commodity Options under SABR model, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) null
Jonas Veya, Renaissance of commodities after the 2008 financial crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Marc Chesney, Denis Dupré, Ollivier Taramasco, Arrêtons la cotation en temps continu sur les marchés, In: Le Monde, p. online, 26 November 2012. (Newspaper Article)
Marc Chesney, Luca Taschini, The endogenous price dynamics of emission allowances and an application to CO2 option pricing, Applied Mathematical Finance, Vol. 19 (5), 2012. (Journal Article)

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