Zvi Wiener

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Mount Scopus

Jerusalem, 91905

Israel

http://pluto.mscc.huji.ac.il/~mswiener/zvi.html

  • Hebrew University of Jerusalem - Jerusalem School of Business Administration

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SCHOLARLY PAPERS

37

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72

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26

Scholarly Papers (37)

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1.

Algorithms Behind Term Structure Models of Interest Rates Ii: The Hull-White Trinomial Tree of Interest Rates

Hebrew University Working Paper No. int071899
Number of pages: 17 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,348 (10,553)

Abstract:

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2.

Algorithms Behind Term Structure Models of Interest Rates: I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

Number of pages: 22 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,691 (17,755)
Citation 1

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3.

Accounting Values Versus Market Values and Earnings Management in Banks

Number of pages: 26 Posted: 18 Nov 2003
Dan Galai, Eyal Sulganik and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Reichman University - Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,431 (22,905)
Citation 3

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earnings management, banks, book values, market values, capital requirements

4.

Liquidation Triggers and the Valuation of Equity and Debt

Number of pages: 35 Posted: 03 Aug 2005
Dan Galai, Alon Raviv and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,241 (28,251)
Citation 17

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default, bankruptcy, liquidation trigger, debt pricing, distress threshold

5.

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Number of pages: 34 Posted: 21 May 2003
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,122 (32,714)
Citation 3

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Short Rate Models, Trinomial Trees, Forward Measure

6.

On the Use of Numeraires in Option Pricing

Downloads 929 (42,647)

On the Use of Numeraires in Option Pricing

Number of pages: 25 Posted: 20 Jan 2002
Tomas Bjork, Simon Benninga and Zvi Wiener
Stockholm School of Economics - Swedish House of Finance, Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 929 (42,027)
Citation 9

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Options, Numeraire, Convertible Bonds, Employee Stock Options, Currency Options

On the Use of Numeraires in Option Pricing

Posted: 20 Jan 2003
Simon Benninga, Tomas Bjork and Zvi Wiener
Tel Aviv University - Faculty of Management, Stockholm School of Economics - Swedish House of Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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options, numeraire

7.

Brokerage Commissions and Institutional Trading Patterns

Downloads 830 (49,833)

Brokerage Commissions and Institutional Trading Patterns

Number of pages: 46 Posted: 12 Apr 2004 Last Revised: 04 Aug 2008
Paul J. Irvine, Michael A. Goldstein, Eugene Kandel and Zvi Wiener
Neeley School of Business, Babson College - Finance Division, Hebrew University of Jerusalem - Department of Economics and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 830 (49,107)
Citation 42

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Commissions, Brokers, Institutional Trading, bunching

Brokerage Commissions and Institutional Trading Patterns

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5175-5212, 2009
Posted: 24 Nov 2009
Michael A. Goldstein, Paul J. Irvine, Eugene Kandel and Zvi Wiener
Babson College - Finance Division, Neeley School of Business, Hebrew University of Jerusalem - Department of Economics and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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G23, G24

8.

Analytic Pricing of Employee Stock Options

Number of pages: 43 Posted: 03 Nov 2004
Jaksa Cvitanic, Fernando Zapatero and Zvi Wiener
California Institute of Technology - Division of the Humanities and Social Sciences, Boston University - Questrom School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 731 (59,128)
Citation 12

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Employee stock options, early exercise, analytic formula

9.

The Value of the Freezeout Option

Number of pages: 43 Posted: 29 Nov 2004
Zohar Goshen and Zvi Wiener
Columbia Law School and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 679 (65,132)
Citation 3

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freezeout, appraisal, asymmetric information, inside information, efficient market, courts performance

10.

Investment in Financial Structured Products from Rational and Behavioral Choice Perspectives

Number of pages: 38 Posted: 23 Dec 2012
Moran Ofir and Zvi Wiener
Reichman University (IDC Herzliya) and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 372 (134,777)
Citation 1

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structured products, behavioral finance, retail investors, securities regulation

11.

How Homeowners Choose between Fixed and Adjustable Rate Mortgages?

Number of pages: 27 Posted: 02 Mar 2013 Last Revised: 16 Nov 2015
Yevgeny Mugerman, Moran Ofir and Zvi Wiener
Bar Ilan University, Reichman University (IDC Herzliya) and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 342 (147,753)
Citation 3

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Mortgage decision making, household finance, adjustable and fixed rate mortgages, cognitive biases

12.

A Balance Sheet Approach for Sovereign Debt

Number of pages: 23 Posted: 14 Jan 2011
Dan Galai, Yoram Landskroner, Alon Raviv and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Hebrew University of Jerusalem - Department of Finance and Banking, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 298 (170,955)
Citation 2

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currency crisis, exchange rate, sovereign debt, jump diffusion, asset pricing

13.

Investor Sophistication and the Effect of Behavioral Biases in Structured Products Investment

Number of pages: 50 Posted: 23 Dec 2012
Moran Ofir and Zvi Wiener
Reichman University (IDC Herzliya) and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 266 (192,097)
Citation 2

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structured products, professional investors, behavioral finance, securities regulation

14.

Credit Risk Spreads in Local and Foreign Currencies

Downloads 260 (196,471)

Credit Risk Spreads in Local and Foreign Currencies

IMF Working Paper No. 09/110
Number of pages: 21 Posted: 30 Jun 2009
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 153 (318,807)

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Asset prices, Bonds, Capital markets, Corporate sector, Credit risk, Currencies, Debt, Debt restructuring, Economic models, Exchange rates, Sovereign debt

Credit Risk Spreads in Local and Foreign Currencies

Number of pages: 10 Posted: 04 Mar 2008
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 107 (419,994)
Citation 1

Abstract:

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credit spread, foreign debt, Merton's model

15.

Bad Days and Good Nights: A Re-Examination of Non-Traded and Traded Period Returns

Number of pages: 38 Posted: 06 Mar 2008
Zvi Wiener and Robert Tompkins
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Business School of Finance & Management (HfB) - Bankakademie Group
Downloads 241 (211,643)
Citation 2

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Stock Market Anomalies, Return Decomposition, Close to Open, Open to Close, Skewness, Kurtosis, Basle I, Capital Requirements, Risk Management

16.

Credit Risk and Dividend Irrelevance

Number of pages: 29 Posted: 23 Apr 2015
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 239 (213,429)
Citation 1

Abstract:

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credit spread, dividend policy, Merton’s model

17.

Stakeholders and the Composition of the Voting Rights of the Board of Directors

Number of pages: 23 Posted: 28 Jan 2008
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 212 (239,194)

Abstract:

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corporate governance, stakeholders, board of directors, contingent claims

18.

Prospect Theory and Utility Theory: Temporary Versus Permanent Attitude towards Risk

Number of pages: 47 Posted: 26 Jan 2013
Haim Levy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 206 (245,607)
Citation 1

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Utility Theory, Prospect Theory, value function, risk attitude

19.

The Exclamation Mark of Cain: Risk Salience and Mutual Fund Flows

Journal of Banking and Finance, 2021
Number of pages: 62 Posted: 27 Dec 2018 Last Revised: 26 Oct 2021
Yevgeny Mugerman, Nadav Steinberg and Zvi Wiener
Bar Ilan University, Bank of Israel - Research Department and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 93 (459,187)

Abstract:

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Mutual Funds, Regulation, Investor Attention, Investor Protection

20.

Solvency II and the Solvency Capital Requirement for Insurance Firms in Israel

Israel Economic Review, Vol. 5, No. 2, pp.33-53, 2007
Number of pages: 21 Posted: 27 Nov 2012
Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 90 (468,717)

Abstract:

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21.

By the Light of Day: The Effect of the Switch to Winter Time on Stock Markets

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 51 Posted: 10 Oct 2018 Last Revised: 14 Oct 2019
Yevgeny Mugerman, Orr Yidov and Zvi Wiener
Bar Ilan University, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 79 (507,136)
Citation 4

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Investor psychology, Capital markets, Policy, Behavioral finance, Market efficiency, Winter time

22.

Loan Commitments

Number of pages: 20 Posted: 30 Sep 2015
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 67 (555,971)

Abstract:

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loan commitment, MAC clause, contingent claims analysis, Merton model

23.

Stock Markets and Female Participation in the Labor Force

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 33 Posted: 15 Jan 2020 Last Revised: 11 Mar 2021
Menachem (Meni) Abudy, Yevgeny Mugerman and Zvi Wiener
Bar-Ilan University - Graduate School of Business Administration, Bar Ilan University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 58 (597,420)

Abstract:

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trading volume, female participation in labor force, cross-country variation

24.

Regulating Cash Holdings: Assessing Lost Returns in Mutual Funds

Number of pages: 29 Posted: 21 Jun 2023
Shoham Ben-Rubi, Yevgeny Mugerman and Zvi Wiener
The Hebrew University of Jerusalem, Bar Ilan University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 20 (855,310)

Abstract:

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Mutual funds, Cash holdings, Liquidity, Mutual fund industry regulation

25.

Government Support of Investment Projects in the Private Sector: A Microeconomic Approach

Number of pages: 18 Posted: 10 Jan 2005
Dan Galai and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 18 (873,857)

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26.

Dynamic Volatility Regulation of Financial Institutions

Number of pages: 14 Posted: 02 Oct 2023
Jens Hilscher, Alon Raviv and Zvi Wiener
University of California, Davis, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 3

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asset risk, dynamic volatility, Banks, regulator, Leverage, deposit insurance, credit spread, stress test, financial crisis, Basel II

27.

The Impact of Fintechs on Financial Intermediation: A Functional Approach

Electronic version of an article published as [The Journal of FinTech, Volume 1, Number 1, 2021, 52 pages] [https://doi.org/10.1142/S270510992031001X] © [copyright World Scientific Publishing Company]
Posted: 08 Jul 2021
Michel Crouhy, Dan Galai and Zvi Wiener
Natixis, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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Fintech, cryptocurrencies, P2P lending, intermediation, payments, big-tech, roboadvisory, blockchain

28.

On the Failure of Mutual Fund Industry Regulation

Emerging Markets Review 38 (2019) 51-72
Posted: 06 Mar 2018 Last Revised: 24 Dec 2018
Yevgeny Mugerman, Yoel Hecht and Zvi Wiener
Bar Ilan University, SAS Institute Inc. and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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Mutual Fund Industry Regulation, Mutual Fund Flows, Value-at-Risk

29.

Counterparty Risk in Exchange Traded Notes (ETNs): Theory and Evidence

Posted: 11 Mar 2012
Balazs Cserna, Ariel Levy and Zvi Wiener
University of Frankfurt, Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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credit risk, structured products, ETN, ETF, CDS, behavioral

30.

Analytic Pricing of Employee Stock Options

Review of Financial Studies, Vol. 21, Issue 2, pp. 683-724, 2008
Posted: 26 Jun 2008
Jakaa Cvitani, Zvi Wiener and Fernando Zapatero
affiliation not provided to SSRN, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Boston University - Questrom School of Business

Abstract:

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31.

Theory of Rational Option Pricing: Ii

Posted: 02 Oct 1999
Bruce D. Grundy and Zvi Wiener
RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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32.

Limiting Differences between Forward and Futures Prices in a Lucas Consumption Model

Rodney L. White Center Working Paper No. 17-94
Posted: 03 Sep 1999
Zvi Wiener, Simon Benninga and Aris Protopapadakis
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Tel Aviv University - Faculty of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department

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33.

Gradual Bargaining

Washington University, Olin Working Paper Series, No. OLIN-98-02
Posted: 08 Oct 1998
Zvi Wiener and Eyal Winter
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Department of Economics

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34.

An Investigation of Cheapest to Deliver on Treasury Bond Futures Contracts

Posted: 21 Jun 1998
Zvi Wiener and Simon Benninga
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Tel Aviv University - Faculty of Management

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35.

Brokerage Commissions and Information Allocation

Posted: 11 Mar 1997
Paul J. Irvine, Eugene Kandel and Zvi Wiener
Neeley School of Business, Hebrew University of Jerusalem - Department of Economics and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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36.

The Analysis of VAR, Deltas and State Prices: A New Approach

Rodney L. White Center Working Paper No. 11-96
Posted: 17 Oct 1996
Bruce D. Grundy and Zvi Wiener
RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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37.

General Properties of Option Prices

Downloads 0 (1,032,298)

General Properties of Option Prices

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 10 Oct 1996
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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General Properties of Option Prices

Rodney L. White Center Working Paper No. 1-96
Posted: 26 Jan 1996
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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Other Papers (1)

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1.

Counterparty Risk in Exchange Traded Notes (ETNs): Theory & Evidence

Midwest Finance Association 2013 Annual Meeting Paper
Posted: 30 Aug 2012
Balazs Cserna, Ariel Levy and Zvi Wiener
University of Frankfurt, Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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counterparty risk, structured products, cds, ETF, ETN