Marc Chesney

University of Zurich - Swiss Banking Institute (ISB)

Plattenstrasse 14

CH-8032 Zurich, Zurich 8032

Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

14

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CITATIONS
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24

Scholarly Papers (14)

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 - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,030 (5,206)
Citation 17

Abstract:

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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,244 (6,920)

Abstract:

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: 59 Posted: 25 Apr 2010 Last Revised: 14 Apr 2016
University of Zurich - Swiss Banking Institute (ISB), Swiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 1,044 (13,661)
Citation 3

Abstract:

Executive compensation, Financial crisis, write-downs, corporate governance, managerial incentives, risk-taking

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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Deloitte AG
Downloads 446 (28,352)
Citation 3

Abstract:

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

5.

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 and University of Zurich - Swiss Banking Institute (ISB)
Downloads 265 (90,128)

Abstract:

Real Option, Experimental Economics, Heterogeneity

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 - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 211 (85,910)

Abstract:

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

7.

American Parisian Options

Finance and Stochastics, Forthcoming
Number of pages: 19 Posted: 25 Jul 2006
Marc Chesney and Laurent Gauthier
University of Zurich - Swiss Banking Institute (ISB) and University of Paris, New York
Downloads 185 (124,375)

Abstract:

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 - Swiss Banking Institute (ISB) and WHU - Otto Beisheim School of Management
Downloads 158 (147,287)

Abstract:

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 - Swiss Banking Institute (ISB) and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 147 (160,594)
Citation 1

Abstract:

Executive compensation, fraud, incentives, stock options

10.

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 - Swiss Banking Institute (ISB), University of Applied Sciences Western Switzerland - Geneva School of Business Administration and World Bank - Foreign Investment Advisory Service (FIAS)
Downloads 93 (226,093)

Abstract:

11.

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 - Swiss Banking Institute (ISB) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 89 (230,903)

Abstract:

Tradeability, Liquidity, Option Pricing

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 - Swiss Banking Institute (ISB) and Getulio Vargas Foundation (FGV)
Downloads 77 (253,658)

Abstract:

Option introduction, volatility, volatility of volatility, GARCH

Endogenous Trading in Credit Default Swaps

Number of pages: 31 Posted: 14 Jul 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Downloads 30 (405,410)

Abstract:

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 - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)

Abstract:

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

14.

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 - Swiss Banking Institute (ISB) and University of Geneva - Geneva Finance Research Institute (GFRI)

Abstract: