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Contributions published at Quantitative Finance (Marc Chesney)

Contribution
Brigitte Maranghino-Singer, Angriff von Hedge-Fonds auf den Schweizer Franken, 2011. (Other Publication) null
Marc Chesney, Luca Taschini, Mei Wang, Regulated and non-regulated companies, technology adoption in experimental markets for emission permits, and option contracts, In: Grantham Research Institute on Climate Change and the Environment, No. 41, 2011. (Working Paper) This paper examines the investment strategies of regulated companies in abatement technologies, market participants' trading behaviors, and the liquidity level in an inter-temporal cap{and{trade market using laboratory experiments. The experimental analysis is performed under varying market structures: the exclusive presence of regulated companies; the inclusion of subjects not liable for compliance with environmental regulations; the availability of plain vanilla options. In line with theoretical models on irreversible abatement investment, the first experiment shows that regulated companies trade permits at a premium. At the same time the existence of a strict enforcement structure effectively prompts investments in new technologies.The second experiment shows that the presence of non-regulated companies adds liquidity to the market and does not increase price volatility. The last experiment enablesus to investigate the impact of the presence of cash-settled options contracts on the trading strategies of regulated companies. Their expected emissions appears to play a significant rolein the choice of their options strategy.
Daniel Thürig, Real Option Valuation of the Dam Enlargement Project Göscheneralpsee, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis) null
Sabrina Inglin, Investment Decisions with Real Options for Clean Development Mechanism Projects, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Marc Chesney, Enseignement de la finance: la crise a-t-elle eu lieu?, In: Le Temps, p. online, 18 October 2010. (Newspaper Article) La convulsion du système bancaire et financier a révélé des comportements inquiétants, comme l’affaire Kerviel. Or, le monde académique n’en a pas véritablement tenu compte. Pourtant, le problème du cynisme et la question de la responsabilité face à ses actes devraient être traités
Marc Chesney, Christine Hirszowicz, Brigitte Maranghino-Singer, Wie sich Lebensversicherungsverträge in Wetten auf den Tod wandeln, In: Der Schweizer Treuhänder, p. 669 - 670, 10 October 2010. (Newspaper Article)
Remo Crameri, Three essays inferring prospective and retrospective information based on options trading activities and a new theoretical approach on multivariate subordinati of Lévy processes, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Dissertation)
Polin Doychev, Trading Activities Surrounding Bailout Events During the Financial Crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Baumgart Claudia, Hedge Funds and the Credit Crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Katja Werder, Entwicklung nachhaltiger Finanzprodukte in der Theorie und Praxis sowie anhand eines eigenen Beispiels, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Filippo Andrea Viel, Trading Activities Around the Announcement Days of Some Major M&A, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Roman Ulrich, Executive Compensation and Challenges from the Credit Crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Delia Coculescu, From the decompositions of a stopping time to risk premium decompositions, In: ArXiv.org, No. arXiv:0912, 2010. (Working Paper) We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in some standard market filtrations, default times are totally inaccessible stopping times; we therefore proceed to a systematic construction of default times with particular emphasis on totally inaccessible stopping times. Surprisingly, this abstract mathematical construction, reveals a very specific and useful way in which default models can be built, using both market factors and idiosyncratic factors. We then provide all the relevant characteristics of a default time (i.e. the Az\'ema supermartingale and its Doob-Meyer decomposition) given the information about these factors. We also provide explicit formulas for the prices of defaultable claims and analyze the risk premiums that form in the market in anticipation of losses which occur at the default event. The usual reduced-form framework is extended in order to include possible economic shocks, in particular jumps of the recovery process at the default time. This formulas are not classic and we point out that the knowledge of the default compensator or the intensity process is not anymore a sufficient quantity for finding explicit prices, but we need indeed the Az\'ema supermartingale and its Doob-Meyer decomposition.
Marc Chesney, Christine Hirszowicz, Brigitte Maranghino-Singer, Les paris sur la mort, le jeu dangereux des banques, In: Le Temps, p. 13, 15 January 2010. (Newspaper Article) null
Marc Chesney, Christoph Weber-Berg, Banken ohne moralischen Kompass, UZH magazin: die Wissenschaftszeitschrift, 2010. (Journal Article) Das moderne Finanzwesen hat sich von religiösen und moralischen Grundsätzen gelöst. Nicht so das «Islamic Banking». Die Scharia verbietet viele Finanzgeschäfte, die der Wirtschaft in der aktuellen Finanzkrise zum Verhängnis wurden. Das erweist sich jetzt als Vorteil: Die Verbote führen zu einem effektiven Risikomanagement.
Brigitte Maranghino-Singer, Die Wirtschaft und die Steuerzahler brauchen einen starken Schutz gegen das zunehmend kasino-artige Finanzsystem, 2010. (Other Publication) null
Marc Chesney, De l'inefficacité des modèles économiques en temps de crise, In: Le Temps, p. 1, 21 October 2009. (Newspaper Article) null
Mihnea Constantinescu, Risk and return in the Swiss property market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Dissertation)
Simon Rutz, "Commodity Markets" - Eine empirische Analyse, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Rahel Schneider, Valuation of CO2 Option Contracts in the European Emission Trading Scheme, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Master's Thesis) null

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