Filip Moric, Machine Learning Methods applied in Credit Risk, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
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Mattieu Junker, Pricing Performance of the Inverse Gamma Stochastic Volatility Model for Options on the Swiss Market Index, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Michael Ferber, Markus Leippold, Wildwuchs bei Smart-Beta-Investments, In: Neue Zürcher Zeitung, 9 October 2017. (Media Coverage)
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Jonas Holzreiter, Preisunterschiede für Neuemissionen auf dem Schweizer Markt für Strukturierte Produkte, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
Die vorliegende Arbeit führt eine empirische Analyse von 473 Strukturierten Produkten durch, welche zwischen Januar 2013 und August 2017 auf dem Schweizer Markt emittiert wurden. Dabei werden die zum Emissionszeitpunkt geltenden Preisunterschiede zwischen Emittenten für identische Strukturen näher beleuchtet. Es stellt sich heraus, dass mittlere Preisunterschiede zwischen 0.51% p.a. und 1.17% p.a. auftreten, welche nicht nur durch Unterschiede im Emittentenrisiko sondern auch durch Marktfriktionen zu erklären sind. Marktfriktionen manifestieren sich vorwiegend in unterschiedlich hohen Produktkosten die jeder Emittent in Rechnung stellt. Aus diesem Grund werden auch die Produktkosten bei Emission analysiert, wobei sich ein durchschnittlicher Emittenten-Aufschlag zum fairen Wert von 1.51% (1.16%p.a.) zeigt. Die Höhe der Kosten hängt vom Namen des Emittenten, von der Produktwährung, vom Produkttyp, von den Basiswerten, vom Investitionsvolumen und von der Produktlaufzeit ab. Ein zen-trales Ergebnis ist zudem, dass der Aufschlag eines Produktes im Schnitt signifikant tiefer ist, je mehr Emittenten sich um die Produktlancierung "beworben" haben. Emittenten durch Preisvergleiche in einen Wettbewerb zu setzen hat demnach signifikant tiefere Produktkosten zur Folge. |
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Markus Leippold, Felix Matthys, Government Policy Uncertainty and the Yield Curve, In: SSRN, No. 2664116, 2017. (Working Paper)
We study the impact of economic policy uncertainty on the term structure of nominal interest rates. We develop a general equilibrium model, in which both the government and the central bank policy decisions are driven by uncertainty shocks. Our affine yield curve model captures both the shape of the interest rate term structure as well as the hump-shape of bond yield volatilities. Our theoretical predictions are strongly supported by the data. Higher economic policy uncertainty leads to a significant decline in yield levels, induces a hump-shaped increase in bond yield volatility, and increases bond risk premia, especially for longer maturities. |
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Aron Horvath, Forecasting und Market Timing im Schweizer Aktienmarkt mit Investor Sentiment Variablen, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Stefan Käser, Uncovered Interest Rate Parity and FX Carry Trades from the Perspective of a Swiss Investor, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
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Muhamed Ceka, Prognosefähigkeit der impliziten Volatilität, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Markus Leippold, Jacob Stromberg, Strategic technology adoption and hedging under incomplete markets, Journal of Banking and Finance, Vol. 81, 2017. (Journal Article)
We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk on the option timing decision is ambiguous and depends on the frequency of technological change. Compared to the complete market case, non-diversifiable risk may accelerate or delay the optimal investment decision. Moreover, strategic considerations regarding technology adoption play a central role for the entrepreneur's optimal portfolio choice in the presence of non-diversifiable risk. |
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Hasan Kilic, Equity Premium Puzzle – Die Krisenanfälligkeit als Erklärung , University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Jonas Eberli, Private Equity Performance Evaluation with the Public Market Equivalent, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Markus Leippold, Nikola Vasiljevic, Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model, Journal of Banking and Finance, Vol. 77, 2017. (Journal Article)
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our method allows us to disentangle the contributions of jump and diffusion for the American early exercise premium. Finally, using American-style options on S\&P 100 index from 2007 until 2013, we estimate a range of hyper-exponential specifications and investigate the implications for option pricing and jump-diffusion disentanglement. We find that jump risk accounts for a large part of early exercise premium. |
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Markus Leippold, Steven Schärer, Discrete-time option pricing with stochastic liquidity, Journal of Banking and Finance, Vol. 75, 2017. (Journal Article)
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the term and skew structures of bid-ask spreads typically observed in option markets. We show how to implement such a stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options on the S&P 500. |
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Sabina Pandurski, SUSTAINABLE INVESTMENTS: KRITISCHE BEURTEILUNG & QUANTITATIVE ANALYSE VON AKTIENBENCHMARKS, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis)
Die vorliegende Masterarbeit gibt einen Überblick zu den nachhaltigen Anlagen mit einer kritischen Betrachtung der aktuellen CO2-Problematik anhand der Studie Kohlenstoffrisiken für den Finanzplatz Schweiz des Bundesamtes für Umwelt. Ergänzend dazu werden mittels einer Kennzahlenanalyse nachhaltige Kapitalanlagen den Anlagen in umstrittenen Industrien wie Tabak, Waffenherstellung oder Förderung fossiler Energien gegenübergestellt. Dabei wird mit MSCI Daten untersucht, ob Performance- und Risikounterschiede zwischen Standardindizes, nachhaltigen Aktienbenchmarks und umstrittenen Aktienbenchmarks in der Vergangenheit vorhanden sind. Die Ergebnisse zeigen Folgendes: Die breit diversifizierten nachhaltigen Aktienindizes wiesen ein reduziertes Risiko auf. Dem gegenüber erzielten die umstrittenen Aktienindizes beachtlich höhere Renditen als der Gesamtmarkt. |
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Ennio Limbach, Long/Short Portfoliooptimierung mit Anomalie-Faktoren und Black Litterman Approach, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis)
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Raphael Huber, Risk Compensation of Bank Shareholder, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis)
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Nina Troha, Optimal investing in marketplace loans, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis)
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Nicola Lei Ravello, The Tracking Performance of Exchange-Traded Funds, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Master's Thesis)
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Nikola Vasiljevic, Option pricing and market risk management in the presence of jump risk, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Dissertation)
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Tobias Schneider, The Performance of Open-End Funds in Emerging Asia, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis)
The objective of this study is to examine whether actively managed equity mutual funds with a focus on emerging Asia have been able to outperform their benchmarks over time. For this purpose, three well-established performance measure models are used: CAPM, the Fama- French Model and the Carhart Model. The findings imply that emerging Asia fund managers have not systematically outperformed their benchmarks over the past 20 years in net terms. Furthermore, they have significantly underperformed during periods with bearish and sideway movements. |
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