The Institute's faculty is a very diversified international team of professors and researchers who are primarily dedicated to publishing cutting-edge research in top finance journals, but they also engage in high level education in finance as well as in knowledge transfer activities such as conferences, seminars and public debates on a broad range of finance topics.
Cosma, A., Gallucio, S., Pederzoli, P. & Scaillet, O. (2018).
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
Journal of Financial and Quantitative Analysis, forthcoming.
Berrada, T., Detemple, J., & Rindisbacher, M. (2017).
Asset Pricing with Beliefs-Dependent Risk Aversion and Learning.
Journal of Financial Economics, forthcoming.
Payzan-LeNestour, E., Balleine, B., Berrada, T. N., & Pearson, J. (2016).
Variance After-Effects Distort Risk Perception in Humans.
Current Biology, 26(11), 1500-1504. DOI: 10.1016/j.cub.2016.04.023
Gagliardini, P., Ossola, E., & Scaillet, O. (2016).
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets.
Econometrica, 84, 985-1046. DOI: 10.3982/ECTA11069
Bajgrowicz, P. G., Scaillet, O., & Treccani, A. (2016).
Jumps in High-Frequency Data : Spurious Detections, Dynamics, and News.
Management Science, 62(8), 2198-2217. DOI: 10.1287/mnsc.2015.2234
- Please consult our webpage on Knowledge and Publications
Recent Ph.D. Theses
Dynamic Stochastic General Equilibrium Models with Heterogeneous Agents : Theory, Computation and Application (Pröhl, E. 2018)
Essays in asset Pricing (Pederzolli, P. 2018)
Three Essays on Behavioural Finance (Hemmens, C. 2017)
Three Important Financial Stability Issues in Banking (Efing, M. 2016)
Essays on Asset Pricing and Portfolio Allocation (Coupy, S. 2016)
High-Frequency and High-Dimensionality in Finance (Treccani, A. 2016)
The Assessment of Real Estate Risk (Chaney, A. 2015)
Three Essays in Financial Economics (Kousse, K. L. H. 2015)
Three Essays in Financial Economics : Feedback Mechanisms in Financial Markets and Agency Problems (Odabasioglu, A. 2015)
Financial Contagion and Liquidity in Real Estate Markets (Reka, K. 2014)