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

20

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13,012

SSRN CITATIONS
Rank 14,663

SSRN RANKINGS

Top 14,663

in Total Papers Citations

56

CROSSREF CITATIONS

40

Scholarly Papers (20)

1.

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 Università della Svizzera italiana (USI Lugano)
Downloads 3,065 (7,446)
Citation 2

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

2.

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 University of Edinburgh Business School
Downloads 2,196 (12,624)
Citation 18

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

3.

How Green is ‘Dark Green’? An Analysis of SFDR Article 9 Funds

Number of pages: 59 Posted: 28 Feb 2023
Adrien-Paul Lambillon and Marc Chesney
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 2,146 (13,103)

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responsible investment, sustainable investment, green investment, SRI, ESG, impact investing, regulation, SFDR, greenwashing

4.

Managerial Incentives to Take Asset Risk

Swiss Finance Institute Research Paper No. 10-18, Forthcoming, Journal of Corporate Finance
Number of pages: 67 Posted: 25 Apr 2010 Last Revised: 20 Oct 2020
University of Zurich - Department of Banking and Finance, Swiss Finance Institute, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1,621 (20,303)
Citation 35

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Asset risk-taking; compound options; executive compensation; financial crisis; managerial incentives; risk-shifting; write-downs

5.

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 1,015 (40,391)
Citation 17

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

6.

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 Università della Svizzera italiana (USI Lugano)
Downloads 492 (104,222)

Abstract:

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

7.

Coupons, Competition, and Complexity: Security Design under Low Interest Rates

Number of pages: 98 Posted: 30 Dec 2019 Last Revised: 14 Nov 2023
University of Zurich - Department of Banking and Finance, WU Vienna University of Economics and Business, University of Zurich - Department of Banking and Finance and WHU - Otto Beisheim School of Management
Downloads 393 (135,796)
Citation 1

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Financial innovation; reaching-for-yield; complexity; competition; risk-taking; dependency perception; overconfidence

8.

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 357 (151,111)

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

9.

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 318 (170,738)

Abstract:

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Real Option, Experimental Economics, Heterogeneity

10.

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 Lorraine - CEREFIGE Research Center
Downloads 267 (204,592)
Citation 1

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Parisian options, American options, excursions

11.

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
University of Edinburgh Business School, University of Zurich - Department of Banking and Finance and WHU - Otto Beisheim School of Management
Downloads 201 (268,505)

Abstract:

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

12.

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 192 (279,884)
Citation 3

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Executive compensation, fraud, incentives, stock options

13.

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 191 (281,158)

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

14.

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 136 (374,127)
Citation 2

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Tradeability, Liquidity, Option Pricing

15.

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

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 121 (409,101)

Abstract:

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16.

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 111 (435,973)

Abstract:

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Option introduction, volatility, volatility of volatility, GARCH

17.

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 110 (438,811)
Citation 4

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

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 80 (546,698)

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

19.

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

20.

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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