Ramistrasse 101
Zurich, 8092
Switzerland
http://math.ethz.ch/~larssonm
ETH Zürich - Department of Mathematics
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Swaps, Swaptions, Unspanned Factors, Zero Lower Bound
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
Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem
systemic risk, price linkages, network stability, deleveraging
Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density
polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility
multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets
Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options
energy prices, electricity markets, polynomial processes
contagion, systemic risk, default risk, equilibrium
Representative agent; Aggregation; Radner equilibrium
Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions
informational efficiency, short sales, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales, supermartingales, local martingale deflators
informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales
informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales.
