Martin Larsson

ETH Zürich - Department of Mathematics

Assistant Professor

Ramistrasse 101

Zurich, 8092

Switzerland

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

SCHOLARLY PAPERS

16

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4,188

SSRN CITATIONS
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Top 15,305

in Total Papers Citations

27

CROSSREF CITATIONS

41

Scholarly Papers (16)

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 Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 1,359 (15,531)
Citation 6

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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 Zürich - Department of Mathematics
Downloads 1,094 (21,534)

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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 Zürich - Department of Mathematics
Downloads 359 (92,647)

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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 Zürich - Department of Mathematics
Downloads 280 (121,687)
Citation 4

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systemic risk, price linkages, network stability, deleveraging

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 Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 256 (133,015)
Citation 3

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

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

Mathematical Finance, Vol. 29, Issue 3, pp. 804-826, 2019
Number of pages: 23 Posted: 29 May 2020
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
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6.

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 Zürich - Department of Mathematics
Downloads 161 (205,022)
Citation 2

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

7.

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 Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 152 (215,151)
Citation 1

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

8.

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 Zürich - 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 108 (279,151)

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

9.
Downloads 106 (282,754)
Citation 2

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University and ETH Zürich - Department of Mathematics
Downloads 106 (284,464)

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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 Zürich - Department of Mathematics
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default risk, systemic risk, equilibrium

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 Zürich - Department of Mathematics
Downloads 80 (338,151)

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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 Zürich - Department of Mathematics
Downloads 76 (348,456)
Citation 5

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Representative agent; Aggregation; Radner equilibrium

12.

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 Zürich - Department of Mathematics and University of Calgary
Downloads 70 (364,700)
Citation 1

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energy prices, electricity markets, polynomial processes

13.

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 Zürich - Department of Mathematics
Downloads 48 (436,961)
Citation 4

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

Informational Efficiency with Trading Constraints: A Characterization

Number of pages: 17 Posted: 30 Aug 2019
Robert Jarrow and Martin Larsson
Cornell SC Johnson College of Business and ETH Zürich - Department of Mathematics
Downloads 33 (513,947)

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informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales

Informational Efficiency with Trading Constraints: A Characterization

Number of pages: 17 Posted: 30 Aug 2019
Robert Jarrow and Martin Larsson
Cornell SC Johnson College of Business and ETH Zürich - Department of Mathematics
Downloads 2 (740,493)

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informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales.

15.

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 Zürich - Department of Mathematics
Downloads 3 (697,662)
Citation 10
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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

16.

Unspanned Stochastic Volatility in the Multifactor CIR Model

Mathematical Finance, Vol. 29, Issue 3, pp. 827-836, 2019
Number of pages: 10 Posted: 28 May 2020
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 1 (719,848)
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incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility