Martin Larsson

ETH Zurich - Department of Mathematics

Assistant Professor

Ramistrasse 101

Zurich, 8092

Switzerland

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

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 12,796

SSRN RANKINGS

Top 12,796

in Total Papers Downloads

2,875

CITATIONS

1

Scholarly Papers (11)

1.

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 894 (16,170)

Abstract:

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

2.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 443 (15,589)
Citation 1

Abstract:

Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

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 100 (93,595)

Abstract:

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

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 99 (214,556)

Abstract:

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

Abstract:

default risk, systemic risk, equilibrium

5.

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 68 (260,014)

Abstract:

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

6.

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 65 (131,754)

Abstract:

systemic risk, price linkages, network stability, deleveraging

7.

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 34 (339,127)

Abstract:

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

8.

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 2 (513,945)

Abstract:

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

9.

Markov Cubature Rules for Polynomial Processes

Swiss Finance Institute Research Paper No. 16-79
Number of pages: 32 Posted: 27 Dec 2016 Last Revised: 04 Jan 2017
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, UMR CNRS 8071
Downloads 0 (370,348)

Abstract:

Polynomial Process, Cubature Rule, Asymptotic Moments, Transition Rate Matrix, Transition Probabilities, Negative Probabilities

10.

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

Swiss Finance Institute Research Paper No. 16-23
Number of pages: 22 Posted: 24 Mar 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (178,871)

Abstract:

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

11.

On Aggregation and Representative Agent Equilibria

Number of pages: 18 Posted: 04 Dec 2015
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zurich - Department of Mathematics
Downloads 0 (352,339)

Abstract:

Representative agent; Aggregation; Radner equilibrium