Paul Schneider

University of Lugano - Institute of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Lugano - Institute of Finance

  • Swiss Finance Institute

SCHOLARLY PAPERS

21

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39

CROSSREF CITATIONS

119

Scholarly Papers (21)

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1.

Low Risk Anomalies?

Downloads 2,986 ( 3,706)
Citation 10

Low Risk Anomalies?

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 19-50
Number of pages: 113 Posted: 13 Apr 2015 Last Revised: 28 Sep 2019
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 2,404 (5,261)
Citation 6

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low risk anomaly, coskewness, skewness, risk premia, equity options

Low Risk Anomalies?

CFS Working Paper, No. 550
Number of pages: 71 Posted: 26 Oct 2016 Last Revised: 11 Jan 2018
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 582 (45,508)
Citation 4

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Low risk anomaly, skewness, credit risk, risk premia, equity options

2.

The Skew Risk Premium in the Equity Index Market

Downloads 2,100 ( 6,722)
Citation 17

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 1,996 (7,183)
Citation 11

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 104 (262,112)
Citation 5

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3.

Fear Trading

Swiss Finance Institute Research Paper No. 15-03
Number of pages: 74 Posted: 30 Jan 2012 Last Revised: 03 Feb 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,232 (16,009)
Citation 4

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Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps

4.

(Almost) Model-Free Recovery

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 10 Aug 2015 Last Revised: 05 Jan 2018
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 835 (28,326)
Citation 3

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Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy

5.

Properties of Foreign Exchange Risk Premiums

Downloads 818 ( 29,126)
Citation 27

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 814 (28,863)

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term structure, exchange rates, forward bias, predictability

Properties of Foreign Exchange Risk Premiums

CEPR Discussion Paper No. DP8503
Number of pages: 89 Posted: 12 Aug 2011
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 4 (656,669)
Citation 1
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exchange rates, forward bias, predictability, term structure

6.

Generalized Risk Premia

Downloads 692 ( 36,654)
Citation 1

Generalized Risk Premia

Journal of Financial Economics (JFE), Forthcoming, Swiss Finance Institute Research Paper No. 14-29
Number of pages: 21 Posted: 27 Apr 2014 Last Revised: 08 Jan 2015
Paul Schneider
University of Lugano - Institute of Finance
Downloads 360 (82,392)

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Preference trading, pricing kernel, model risk, trading strategy, model-free, variance premium, equity premium, skew premium, kurtosis premium.

Generalized Risk Premia

Swiss Finance Institute Research Paper No. 14-29
Number of pages: 53 Posted: 14 Dec 2012 Last Revised: 14 Jul 2014
Paul Schneider
University of Lugano - Institute of Finance
Downloads 332 (90,444)
Citation 1

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Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium

7.

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Swiss Finance Institute Research Paper No. 11-20
Number of pages: 42 Posted: 26 May 2011 Last Revised: 17 Mar 2013
Damir Filipović, Eberhard Mayerhofer and Paul Schneider
Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 612 (43,157)
Citation 7

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

8.

The Economic Value of Predicting Bond Risk Premia

Number of pages: 77 Posted: 15 Feb 2012 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 571 (47,321)
Citation 8

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term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value

9.

An Anatomy of the Market Return

Swiss Finance Institute Research Paper No. 15-61
Number of pages: 75 Posted: 22 Oct 2015 Last Revised: 01 Apr 2018
Paul Schneider
University of Lugano - Institute of Finance
Downloads 567 (47,719)
Citation 2

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equity premium, model-free, risk aversion, skewness, signal processing

10.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
Paul Schneider, Leopold Sögner and Tanja Veza
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 554 (49,137)
Citation 1

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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

11.

Divergence and the Price of Uncertainty

Swiss Finance Institute Research Paper No. 15-60
Number of pages: 90 Posted: 25 Nov 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 427 (67,913)
Citation 3

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divergence, risk premia, information theory, dispersion, options

12.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

EFA 2006 Zurich Meetings
Number of pages: 45 Posted: 27 Feb 2006 Last Revised: 15 Oct 2008
Manfred Frühwirth, Paul Schneider and Leopold Sögner
Vienna University of Economics and Business, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 368 (80,974)

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Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation

13.

Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Number of pages: 9 Posted: 19 Aug 2005
Paul Schneider, Manfred Frühwirth and Leopold Sögner
University of Lugano - Institute of Finance, Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 346 (86,947)

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Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion

14.

Empirical Asset Pricing with Nonlinear Risk Premia

Number of pages: 30 Posted: 01 Nov 2009 Last Revised: 02 Apr 2013
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 223 (138,242)
Citation 1

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risk premia, diffusion processes, forecasting

15.

Does it Pay to Be an Optimist?

Swiss Finance Institute Research Paper No. 18-02
Number of pages: 42 Posted: 18 Jan 2018 Last Revised: 07 Mar 2019
Paul Schneider
University of Lugano - Institute of Finance
Downloads 169 (178,420)

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16.

Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models

Number of pages: 34 Posted: 21 Mar 2006
Paul Schneider
University of Lugano - Institute of Finance
Downloads 165 (182,105)
Citation 1

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Multivariate Nonlinear Diffusion, Estimation, MCMC

17.

A Theory of Scenario Generation

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 36 Posted: 22 Mar 2019 Last Revised: 14 Oct 2019
Paul Schneider
University of Lugano - Institute of Finance
Downloads 133 (217,537)

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scenario generation, moment problem, quadrature, prediction, options

18.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
Gregor Dorfleitner, Paul Schneider and Tanja Veza
University of Regensburg - Department of Finance, University of Lugano - Institute of Finance and WU Vienna (Vienna University of Economics and Business)
Downloads 132 (218,910)
Citation 4

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credit default swap, structural model, default boundary, the Green function, calibration

19.

On the Nature of Jump Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 71 Posted: 06 Jun 2019 Last Revised: 09 Jun 2019
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montreal, University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 98 (271,163)

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rare events, jump risk premium, options, high-frequency data

20.

Globally Optimal Parameter Estimates for Non-Linear Diffusions

Number of pages: 26 Posted: 19 Mar 2008 Last Revised: 14 May 2009
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 97 (272,971)

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Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation

21.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

European Financial Management, Vol. 16, Issue 4, pp. 658-685, September 2010
Number of pages: 28 Posted: 24 Aug 2010
Manfred Frühwirth, Paul Schneider and Leopold Sögner
affiliation not provided to SSRN, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 2 (645,115)
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