Andriy Demchuk

International Center FAME

40, Boulevard du Pont-d'Arve

40, Bd du Pont-d'Arve

1211 Geneva 4, CH-6900

Switzerland

SCHOLARLY PAPERS

4

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CITATIONS
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9

Scholarly Papers (4)

1.

Stock Market Performance and the Term Structure of Credit Spreads

EFA 2004 Maastricht Meetings Paper No. 1638
Number of pages: 35 Posted: 24 Aug 2004
Andriy Demchuk and Rajna Gibson
International Center FAME and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 339 (71,217)
Citation 4

Abstract:

2.

Portfolio Optimization with Concave Transaction Costs

FAME Working Paper No. 103
Number of pages: 39 Posted: 28 Dec 2003
Andriy Demchuk
International Center FAME
Downloads 276 (86,949)
Citation 1

Abstract:

Concave transaction costs, optimal trading strategy

Sovereign Debt Contract and Optimal Consumption-Investment Strategies

Number of pages: 41 Posted: 20 Mar 2002
Andriy Demchuk
International Center FAME
Downloads 88 (247,632)

Abstract:

International reserves, sovereign debt contract, sanctions, default boundary, HJB equation

Sovereign Debt Contract and Optimal Consumption-Investment Strategies

FAME Research Paper No. 104
Number of pages: 42 Posted: 13 Jan 2004
Andriy Demchuk
International Center FAME
Downloads 84 (255,126)

Abstract:

sovereign debt, international reserves, strategic default

4.

Stock Market Performance and the Term Structure of Credit Spreads

EFMA 2004 Basel Meetings Paper; NCCR-FINRISK Working Paper
Number of pages: 42 Posted: 06 May 2004
Andriy Demchuk and Rajna Gibson
International Center FAME and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 0
Citation 4

Abstract:

credit spreads, stock market index, leverage ratio