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

25

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Top 3,136

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16,726

SSRN CITATIONS
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SSRN RANKINGS

Top 4,016

in Total Papers Citations

201

CROSSREF CITATIONS

132

Scholarly Papers (25)

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1.

Low Risk Anomalies?

Downloads 3,738 ( 4,037)
Citation 42

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 2,920 (6,057)
Citation 29

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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 818 (42,023)
Citation 7

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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 2,533 ( 7,725)
Citation 30

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper, WBS Finance Group Research Paper No. 139
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 23 Dec 2019
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 2,413 (8,175)
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 No. 228
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 120 (321,828)
Citation 19

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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 University of Geneva
Downloads 1,426 (19,146)
Citation 5

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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 University of Geneva
Downloads 1,000 (32,173)
Citation 21

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

5.

Properties of Foreign Exchange Risk Premiums

Downloads 885 ( 38,240)
Citation 34

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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 881 (37,937)

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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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 4 (887,244)
Citation 4
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exchange rates, forward bias, predictability, term structure

6.

Generalized Risk Premia

Downloads 749 ( 47,882)
Citation 11

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 407 (101,248)

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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 342 (123,513)
Citation 9

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

7.

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 667 (55,799)
Citation 11

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

8.

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 648 (57,893)
Citation 9

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

9.

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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 621 (61,144)
Citation 19

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

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 580 (66,683)
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 University of Geneva
Downloads 520 (76,445)
Citation 11

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divergence, risk premia, information theory, dispersion, options

12.

Dispersion of Beliefs Bounds: Sentimental Recovery

Swiss Finance Institute Research Paper No. 19-57
Number of pages: 84 Posted: 31 Oct 2019 Last Revised: 21 Jan 2022
Altan Pazarbasi, Paul Schneider and Grigory Vilkov
Frankfurt School of Finance & Management, University of Lugano - Institute of Finance and Frankfurt School of Finance & Management
Downloads 447 (91,664)
Citation 1

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Recovery, sentiment, market views, agent heterogeneity, volatility trading, market spanning, disagreement, beliefs

13.

International Mispricing and Arbitrage Premia

Swiss Finance Institute Research Paper No. 21-14
Number of pages: 55 Posted: 16 Feb 2021 Last Revised: 15 Feb 2022
Mirela Sandulescu and Paul Schneider
University of Michigan, Ross School of Business and University of Lugano - Institute of Finance
Downloads 399 (104,537)

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stochastic discount factor, residual mispricing, financial uncertainty, exchange rates, economically constrained machine learning.

14.

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 394 (106,044)

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

15.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 66 Posted: 06 Jun 2019 Last Revised: 23 Feb 2022
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and University of Geneva
Downloads 386 (108,610)
Citation 2

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skewness premium, jump risk, index options, high-frequency data, VIX

16.

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 350 (121,150)

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

17.

Option trading under uncertainty

Swiss Finance Institute Research Paper No. 18-02
Number of pages: 52 Posted: 18 Jan 2018 Last Revised: 06 Aug 2020
Paul Schneider
University of Lugano - Institute of Finance
Downloads 283 (151,517)

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uncertainty, option trading, ambiguity

18.

Ross recovery with time series information and economic constraints

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 66 Posted: 22 Mar 2019 Last Revised: 24 May 2022
Paul Schneider
University of Lugano - Institute of Finance
Downloads 276 (155,321)

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Ross recovery, monotonic SDF, options, dimension reduction, factor model, scenario analysis, machine learning.

19.

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 234 (182,703)
Citation 2

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risk premia, diffusion processes, forecasting

20.

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 169 (244,825)
Citation 2

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Multivariate Nonlinear Diffusion, Estimation, MCMC

21.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
Gregor Dorfleitner, Gregor Dorfleitner, Paul Schneider and Tanja Veza
University of Augsburg - Department of Statistics and Mathematical Economic TheoryUniversity of Regensburg - Department of Finance, University of Lugano - Institute of Finance and WU Vienna (Vienna University of Economics and Business)
Downloads 144 (279,124)
Citation 5

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

22.

Optimal Investment and Equilibrium Pricing under Ambiguity

Swiss Finance Institute Research Paper No. 21-78
Number of pages: 42 Posted: 24 Nov 2021 Last Revised: 23 Jun 2022
Michail Anthropelos and Paul Schneider
University of Piraeus - Department of Banking and Financial Management and University of Lugano - Institute of Finance
Downloads 126 (309,068)

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ambiguity, equilibrium, asset pricing

23.

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 104 (353,418)

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

24.

Constrained Polynomial Likelihood

Swiss Finance Institute Research Paper No. 21-45
Number of pages: 32 Posted: 24 May 2021 Last Revised: 12 Oct 2021
Caio Almeida and Paul Schneider
Princeton University and University of Lugano - Institute of Finance
Downloads 43 (557,574)

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Likelihood ratio, positive polynomial, Reproducing Kernel Hilbert Space (RKHS)

25.

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 4 (852,540)

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