Not logged in.

Contributions published at Financial Economics (Felix Kübler)

Contribution
Johannes Brumm, Dominika Kryczka, Felix Kübler, Recursive equilibria in dynamic economies with stochastic production, Econometrica, Vol. 85 (5), 2017. (Journal Article) In this paper we prove the existence of recursive equilibria in stochastic production economies with infinitely lived agents and incomplete financial markets. We consider a general dynamic model with several commodities, which encompasses heterogeneous agent versions of both the Lucas asset pricing model and the stochastic neo-classical growth model as special cases. Our main assumption is that there are atomless shocks to fundamentals that have a purely transitory component and a component that does not depend on last period's shocks directly.
Ally Quan Zhang, Matthias Thul, How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates, Quantitative Finance, Vol. 17 (9), 2017. (Journal Article) This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates. The existing literature relies on Monte Carlo simulations, which are not fast enough to be used in a market making environment. This is because issuers need to compute thousands of price updates per second. By valuing leveraged certificates as multi-window barrier options, we explicitly model random jumps that occur at known times, such as between the exchange closing and re-opening. Our algorithm combines the one-day transition probability with Simpson's numerical integration rule. This yields a backward induction scheme which requires a significantly coarser spacial and time grid than finite difference methods. We confirm its robustness and accuracy through Monte Carlo simulations.
Johannes Brumm, Felix Kübler, Simon Scheidegger, Computing equilibria in dynamic stochastic macro-models with heterogeneous agents, In: Advances in Economics and Econometrics: Theory and Applications, Eleventh World Congress, Cambridge University Press, Cambridge, p. 185 - 230, 2017. (Book Chapter)
Jürg Müller, Felix Kübler, Was ist eigentlich Cashflow?, In: NZZ Finanzlexikon, 1 December 2016. (Media Coverage) null
Luca Tonizzo, Macroprudential policy: Countercyclical Loan-to-Value and Capital Requirements, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis) null
Rajab Aziz, Der Zusammenhang zwischen verschiedenen Private Equity Performancekennzahlen, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis) null
Felix Kübler, Herakles Polemarchakis, The Identification of Beliefs from Asset Demand, In: 2016 NSF/NBER/CEME Mathematical Economics Conference. 2016. (Conference Presentation) The demand for assets as prices and initial wealth vary identies beliefs and attitudes towards risk. We derive conditions that guarantee identication with no knowledge either of the cardinal utility index (attitudes towards risk) or of the distribution of future endowments or payos of assets; the argument applies even if the asset market is incomplete and demand is observed only locally.
Michael Sahdo, Google Trends, Swiss Stocks and the Risk Diversification Effect, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis) null
SRF Börse, Felix Kübler, Folgt Deutsche Bank bald Lehman Brothers?, In: Schweizer Radio und Fernsehen SRF, 30 September 2016. (Media Coverage) null
Michael Düringer, The disappearance of banks from the Swiss landscape, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Lea Furrer, Active management and mutual fund return in the Swiss equity market, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Nicolas Fischer, Replication of the Size Effect, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Cédric Meier, Price Determinants of CoCo Bonds - An Empirical Analysis, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Yves Schumacher, The Intelligent Investor: Eine empirische Untersuchung von defensiven Anlagestrategien und deren Umsetzung am Beispiel einer Best-Practice-Fallstudie, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Daniela Hadji Jankova, Smart Beta: Going beyond traditional passive and active investment strategies, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Raffaele Fendoni, Exploitation of Private Information: A Comparison between Swiss Branches, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Abidin Ziberi, The Effects of the temporary Short Selling Ban during the Financial Crisis on Liquidity, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Felix Kübler, Johannes Brumm, Dominika Kryczka, Existence of Recursive Equilibrium in Stochastic Production Economies, In: 16th SAET Conference on Current Trends in Economics. 2016. (Conference Presentation) null
Felix Kübler, Simple equilibria in OLG models with boundedly rational agents and collateral constraints, In: 16th SAET Conference on Current Trends in Economics. 2016. (Conference Presentation) null
Nicolas Knobel, Financial Transaction Taxes and their impact on the liquidity, the trading volume and the volatility of Italian stocks, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null

Previous 1 2 3 4 5 678 9 10 11..15 Next