Martin Larsson

ETH Zurich - Department of Mathematics

Assistant Professor

Ramistrasse 101

Zurich, 8092

Switzerland

http://math.ethz.ch/~larssonm

SCHOLARLY PAPERS

14

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3,929

CITATIONS
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Top 13,921

in Total Papers Citations

37

Scholarly Papers (14)

1.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
Number of pages: 120 Posted: 28 Feb 2014 Last Revised: 20 Nov 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and HEC Paris - Finance Department
Downloads 1,290 (14,484)
Citation 7

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Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

2.

The Meaning of Market Efficiency

Johnson School Research Paper Series No. 07-2011
Number of pages: 35 Posted: 10 Mar 2011 Last Revised: 01 Sep 2011
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zurich - Department of Mathematics
Downloads 1,065 (19,412)

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efficient markets, information sets, strong-form efficiency, semi-strong form efficiency, weak-form efficiency, martingale measures, local martingale measures, no arbitrage, no dominance, economic equilibrium

3.

Polynomial Diffusions and Applications in Finance

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 14-54
Number of pages: 43 Posted: 15 Aug 2014 Last Revised: 14 Mar 2016
Damir Filipović and Martin Larsson
Ecole Polytechnique Fédérale de Lausanne and ETH Zurich - Department of Mathematics
Downloads 344 (85,659)
Citation 3

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Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem

4.

Price Contagion Through Balance Sheet Linkages

Forthcoming in Review of Asset Pricing Studies
Number of pages: 26 Posted: 07 Jun 2015 Last Revised: 15 Jun 2015
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 265 (113,688)
Citation 6

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systemic risk, price linkages, network stability, deleveraging

5.

On the Relation between Linearity-Generating Processes and Linear-Rational Models

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 16-23
Number of pages: 32 Posted: 24 Mar 2016 Last Revised: 13 Jun 2018
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and HEC Paris - Finance Department
Downloads 247 (122,209)
Citation 1

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Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density

6.

Unspanned Stochastic Volatility in the Multi-Factor CIR Model

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 17-16
Number of pages: 15 Posted: 08 May 2017 Last Revised: 16 Jan 2019
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 144 (199,684)

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multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets

7.

Polynomial Jump-Diffusion Models

Swiss Finance Institute Research Paper No. 17-60
Number of pages: 40 Posted: 27 Nov 2017 Last Revised: 22 Jul 2019
Damir Filipović and Martin Larsson
Ecole Polytechnique Fédérale de Lausanne and ETH Zurich - Department of Mathematics
Downloads 137 (207,885)

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polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility

8.
Downloads 104 (255,122)
Citation 1

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 104 (256,685)

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contagion, systemic risk, default risk, equilibrium

Default and Systemic Risk in Equilibrium

Mathematical Finance, Vol. 25, Issue 1, pp. 51-76, 2015
Number of pages: 26 Posted: 17 Jan 2015
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 0
Citation 2
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default risk, systemic risk, equilibrium

9.

Markov Cubature Rules for Polynomial Processes

Forthcoming publication in Stochastic Processes and their Applications, Swiss Finance Institute Research Paper No. 16-79
Number of pages: 31 Posted: 27 Dec 2016 Last Revised: 13 Jun 2019
Damir Filipović, Martin Larsson and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 102 (258,526)

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Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options

10.

Will Banning Naked CDS Impact Bond Prices?

Forthcoming in Annals of Finance
Number of pages: 32 Posted: 15 Aug 2013
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 78 (306,012)

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Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions

11.

On Aggregation and Representative Agent Equilibria

Number of pages: 19 Posted: 04 Dec 2015 Last Revised: 13 Dec 2017
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zurich - Department of Mathematics
Downloads 66 (335,791)
Citation 3

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Representative agent; Aggregation; Radner equilibrium

12.

Informational Efficiency Under Short Sale Constraints

Number of pages: 24 Posted: 07 Jan 2014
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zurich - Department of Mathematics
Downloads 46 (397,350)
Citation 2

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informational efficiency, short sales, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales, supermartingales, local martingale deflators

13.

Polynomial Processes for Power Prices

Swiss Finance Institute Research Paper No. 18-34
Number of pages: 19 Posted: 08 May 2018
Damir Filipović, Martin Larsson and Tony Ware
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and University of Calgary
Downloads 38 (427,269)
Citation 1

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energy prices, electricity markets, polynomial processes

14.

The Meaning of Market Efficiency

Mathematical Finance, Vol. 22, Issue 1, pp. 1-30, 2012
Posted: 21 Jan 2012
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zurich - Department of Mathematics
Downloads 3 (621,266)
Citation 25
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efficient markets, information sets, strong‐form efficiency, semi‐strong‐form efficiency, weak‐form efficiency, martingale measures, local martingale measures, no arbitrage, no dominance, economic equilibrium