Marc Chesney

University of Zurich - Department of Banking and Finance

Professor

Rämistrasse 71

Zürich, CH-8006

Switzerland

http://https://www.bf.uzh.ch/en/persons/chesney-marc

SCHOLARLY PAPERS

18

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CITATIONS
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61

Scholarly Papers (18)

1.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Marc Chesney and Luca Taschini
University of Zurich - Department of Banking and Finance and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,098 (6,521)
Citation 28

Abstract:

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Asymmetric Information, Environmental Finance, European Emission Trading, Scheme, Trading Decisions

2.

Detecting Abnormal Trading Activities in Option Markets

Swiss Finance Institute Research Paper No. 11-42
Number of pages: 36 Posted: 13 Jan 2010 Last Revised: 23 Jan 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,016 (6,991)

Abstract:

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Options Trades, Open Interest, False Discovery Rate, Massive dataset

3.

Managerial Incentives to Take Asset Risk

Swiss Finance Institute Research Paper No. 10-18
Number of pages: 60 Posted: 25 Apr 2010 Last Revised: 19 Jun 2019
University of Zurich - Department of Banking and Finance, Swiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 1,331 (13,814)
Citation 31

Abstract:

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Executive compensation, managerial incentives, risk-shifting, asset risk-taking, compound options, financial crisis, write-downs

4.

The Impact of Terrorism on Financial Markets: An Empirical Study

Number of pages: 48 Posted: 28 Mar 2010
Marc Chesney, Mustafa Karaman and Ganna Reshetar
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Deloitte AG
Downloads 879 (25,779)
Citation 16

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Terrorism, Financial Markets, Event Study, Non-Parametric Methodology, Filtered GARCH-EVT Approach, Portfolio Diversification

5.

Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix

Swiss Finance Institute Research Paper No. 11-38
Number of pages: 59 Posted: 22 Sep 2011 Last Revised: 01 Apr 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 349 (84,181)

Abstract:

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Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis

6.

An Experimental Study on Real Option Strategies

Quantitative Finance, 12(11), 1753-1772, Swiss Finance Institute Research Paper No. 09-50
Number of pages: 41 Posted: 25 Jan 2010 Last Revised: 06 Jan 2016
Mei Wang, Abraham Bernstein and Marc Chesney
WHU - Otto Beisheim School of Management, University of Zurich - Dynamic and Distributed Information Systems Group and University of Zurich - Department of Banking and Finance
Downloads 283 (106,037)

Abstract:

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Real Option, Experimental Economics, Heterogeneity

7.

American Parisian Options

Finance and Stochastics, Forthcoming
Number of pages: 19 Posted: 25 Jul 2006
Marc Chesney and Laurent Gauthier
University of Zurich - Department of Banking and Finance and University of Paris, New York
Downloads 213 (141,366)
Citation 2

Abstract:

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Parisian options, American options, excursions

8.

Experimental Comparison between Markets on Dynamic Permit Trading and Investment in Irreversible Abatement with and without Non-Regulated Companies

Grantham Research Institute on Climate Change and the Environment Working Paper No. 41, Centre for Climate Change Economics and Policy Working Paper No. 51
Number of pages: 32 Posted: 04 Dec 2010 Last Revised: 12 Oct 2013
Luca Taschini, Marc Chesney and Mei Wang
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment, University of Zurich - Department of Banking and Finance and WHU - Otto Beisheim School of Management
Downloads 175 (169,334)
Citation 1

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Irreversible Abatement, Stochastic Emissions, Dynamic Trading, Participation Restrictions, Non-compliance Entities.

9.

Stock Options and Managers' Incentives to Cheat

Number of pages: 46 Posted: 20 Jan 2005
Marc Chesney and Rajna Gibson
University of Zurich - Department of Banking and Finance and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 160 (182,932)
Citation 1

Abstract:

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Executive compensation, fraud, incentives, stock options

10.

The Value of Tradeability

Swiss Finance Institute Research Paper No. 11-37
Number of pages: 46 Posted: 21 Sep 2011
Marc Chesney and Alexander Kempf
University of Zurich - Department of Banking and Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 106 (251,635)
Citation 2

Abstract:

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Tradeability, Liquidity, Option Pricing

11.

Uncertainty and Global Warming: An Option-Pricing Approach to Policy

World Bank Policy Research Working Paper No. 1417
Number of pages: 38 Posted: 20 Apr 2016
University of Zurich - Department of Banking and Finance, University of Applied Sciences Western Switzerland - Geneva School of Business Administration and World Bank - Foreign Investment Advisory Service (FIAS)
Downloads 99 (263,674)

Abstract:

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12.

Options Listing and the Volatility of the Underlying Asset: A Study on the Derivative Market Function

Number of pages: 11 Posted: 18 Jul 2009 Last Revised: 27 Jul 2009
Marc Chesney and William Eid Jr.
University of Zurich - Department of Banking and Finance and Getulio Vargas Foundation (FGV)
Downloads 85 (290,592)

Abstract:

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Option introduction, volatility, volatility of volatility, GARCH

13.

Parisian Options with Jumps: A Maturity–Excursion Randomization Approach

Number of pages: 46 Posted: 09 Aug 2017
Marc Chesney and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 70 (325,292)
Citation 1

Abstract:

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Parisian Options, Maturity–Excursion Randomization, Hyper-Exponential Jump–Diffusion Model, Excursion Disentanglement

14.

What are You Waiting to Invest? Long-Term Investment in Grid-Connected Residential Solar Energy in California. A Real Options Analysis.

Number of pages: 19 Posted: 27 Aug 2018 Last Revised: 12 Jun 2019
Carlos Vargas and Marc Chesney
University of Zurich, Department of Banking and Finance, Students and University of Zurich - Department of Banking and Finance
Downloads 47 (393,747)
Citation 1

Abstract:

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Renewable Energy, Real Options, Investments under uncertainty, Photo voltaic systems, Solar PV, Renewables

Endogenous Trading in Credit Default Swaps

Number of pages: 31 Posted: 14 Jul 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Downloads 43 (416,036)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

Endogenous Trading in Credit Default Swaps

Posted: 23 Jun 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

16.

End of Life Decommissioning and Recycling of Solar Panels in the United States. A Real Options Analysis

Number of pages: 30 Posted: 03 Feb 2019 Last Revised: 12 Jun 2019
Carlos Vargas and Marc Chesney
University of Zurich, Department of Banking and Finance, Students and University of Zurich - Department of Banking and Finance
Downloads 4 (613,177)

Abstract:

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Asset Deployment, Recycling, Real Options, Investments Under Uncertainty, Photo Voltaic Systems, Solar PV

17.

Long-Term Choices for Quinoa Farmers in Puno, Peru: A Real Options Case Study

International Journal of Food and Agricultural Economics, Vol. 6, No. 4, 2018, pp. 1-19 ISSN 2147-8988, E-ISSN: 2149-3766
Posted: 22 May 2018 Last Revised: 19 Jan 2019
Anca Balietti, Marc Chesney and Carlos Vargas
Harvard University - Harvard Kennedy School (HKS), University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance, Students

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Quinoa; Smallholder; Real Options; Risk Assessment; Waru waru; Food security; Latin America

18.

The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims' Valuation Approach

Posted: 22 May 2000
Marc Chesney and Rajna Gibson
University of Zurich - Department of Banking and Finance and University of Geneva - Geneva Finance Research Institute (GFRI)

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