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Contributions published at Finance

Contribution
Jakub Rojcek, Karel Janda, Bankruptcy triggering asset value–continuous time finance approach, In: Modelling, Dynamics, Optimization and Bioeconomics I, Springer, Porto, p. 357 - 382, 2014. (Book Chapter) This paper utilizes means of game theory and option pricing to compute a bankruptcy triggering asset value. Combination of these two fields of economic study serves to separating the given problem into valuation of the payoffs, where we use option pricing and the analysis of strategic interactions between parties of a contract which could be designed and solved with the use of game theory. First of all, we design a contract between three parties each having a stake in the company, but with different rights reflected in the boundary conditions of the Black-Scholes equation. Then we will compute the values of debts and the whole value of the company. From here we directly compute the value of the firm’s equity and optimize it from the point of view of managing shareholders. The theoretically computed bankruptcy triggering asset value is then compared to the actual stock price. Depending on this relation, we may say whether the company is likely to go under or not. In addition, this article also provides reader with a real-life case study of the investment bank Bear Stearns and the optimal bankruptcy strategy in this particular case. As we will observe, the bankruptcy trigger computed in this example could have served as a good guide for predicting fall of this investment bank.
Rajna Gibson, Michel Habib, Alexandre Ziegler, Reinsurance or Securitization: The Case of Natural Catastrophe Risk, Journal of Mathematical Economics, Vol. 53 (No Nr.), 2014. (Journal Article) We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such information is useful to insurers: along with the information produced by insurers themselves, it reduces insurers’ costly capital requirements. However, traderswho seek to benefit from trading in financial markets may produce ‘too much’ information,thereby making risk transfer through securitization prohibitively costly.
Bruno Casutt, Der Tracking Error bei ETFs: Entstehungsgründe und Konsequenzen für die Praxis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Vladimir Tokovic, Der Bau von Hochhäusern als Prädikator von Börsenkrisen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Vladimir Tokovic, Der Bau von Hochhäusern als Prädiktor von Börsenkrisen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Tobias Suter, Risikoprofil und Bewertung von Multi Asset Barrier Reverse Convertibles, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Benjamin Mösch, Die Auswirkungen von Credit Default Swaps auf die Finanzstabilität, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
Tobias Suter, Bewertung und Risikoprofil von Multi-Asset Barrier Reverse Convertibles, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Benjamin Mösch, Die Auswirkung von Credit Default Swaps auf die Finanzstabilität, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
Jeffrey Vögeli, Alexandre Ziegler, Die Angst der Banken vor dem Reputationsverlust, In: Handelszeitung, 27 August 2013. (Media Coverage) null
Michel Lim, The Performance of Pairs Trading Strategies in the British Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Cyrill Kutter, Algorithmic Trading, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Iris Bodenmann, The Impact of Liquidity on Yield Spreads in the Swiss Franc Bond Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Jonathan Kremer, Informationsgehalt des Commitment of Traders Reports der CFTC, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Sven Bura, Die Volatilitätsoberfläche von S&P 500 und Nasdaq Index-Optionen: Modellierung und Erklärungsansätze, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Sven Bura, Die Volatilitätsoberfläche von S&P500 und Nasdaq Index-Optionen: Modellierung und Erklärungsansätze, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Marco Minini, Der Einfluss von Dividenden auf Aktien- und Optionpreise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Ramon Derrer, The Risk and Return Profile of Barrier Reverse Convertibles, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
Marco Minini, Der Einfluss von Dividenden auf Aktien und Optionspreise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis) null
David Weber, Volatility Trading, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null

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