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

SCHOLARLY PAPERS

24

DOWNLOADS
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Top 3,423

in Total Papers Downloads

19,478

SSRN CITATIONS
Rank 3,382

SSRN RANKINGS

Top 3,382

in Total Papers Citations

388

CROSSREF CITATIONS

130

Scholarly Papers (24)

1.
Downloads 3,972 ( 4,986)
Citation 73

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 3,069 (7,469)
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 903 (48,104)
Citation 7

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

2.
Downloads 3,173 ( 7,237)
Citation 60

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 2,989 (7,769)
Citation 25

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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 184 (297,440)
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 1,583 (21,588)
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 1,091 (37,353)
Citation 31

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

5.
Downloads 923 (47,311)
Citation 46

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 919 (46,865)

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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 (1,131,261)
Citation 4
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exchange rates, forward bias, predictability, term structure

6.
Downloads 823 (55,370)
Citation 10

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 444 (119,264)

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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 379 (143,335)
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 734 (64,751)
Citation 11

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

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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 696 (69,064)
Citation 28

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

9.

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
École Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 688 (70,120)
Citation 17

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

10.

Dispersion of Beliefs Bounds: Sentimental Recovery

Swiss Finance Institute Research Paper No. 19-57, Management Science, forthcoming
Number of pages: 63 Posted: 31 Oct 2019 Last Revised: 18 Feb 2024
Altan Pazarbasi, Paul Schneider and Grigory Vilkov
Bilkent University, University of Lugano - Institute of Finance and Frankfurt School of Finance & Management
Downloads 683 (70,812)
Citation 1

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

11.

International Arbitrage Premia

Swiss Finance Institute Research Paper No. 21-14
Number of pages: 76 Posted: 16 Feb 2021 Last Revised: 04 Feb 2024
Mirela Sandulescu and Paul Schneider
University of Michigan, Ross School of Business and University of Lugano - Institute of Finance
Downloads 666 (73,126)

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

12.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31, Management Science, Forthcoming
Number of pages: 49 Posted: 06 Jun 2019 Last Revised: 17 May 2023
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and University of Geneva
Downloads 633 (77,942)
Citation 2

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

13.

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 621 (80,039)
Citation 1

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

14.

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 579 (87,222)
Citation 17

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divergence, risk premia, information theory, dispersion, options

15.

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 419 (128,993)

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

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 390 (140,036)

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

17.

Ross recovery with time series information and economic constraints

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 52 Posted: 22 Mar 2019 Last Revised: 12 Sep 2022
Paul Schneider
University of Lugano - Institute of Finance
Downloads 363 (151,754)

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

18.

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 336 (164,997)

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uncertainty, option trading, ambiguity

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 260 (215,321)
Citation 2

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risk premia, diffusion processes, forecasting

20.

Optimal Investment and Equilibrium Pricing under Ambiguity

Swiss Finance Institute Research Paper No. 21-78
Number of pages: 53 Posted: 24 Nov 2021 Last Revised: 15 Dec 2023
Michail Anthropelos and Paul Schneider
University of Piraeus - Department of Banking and Financial Management and University of Lugano - Institute of Finance
Downloads 216 (257,671)

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ambiguity, equilibrium, asset pricing

21.

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 192 (286,902)
Citation 2

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Multivariate Nonlinear Diffusion, Estimation, MCMC

22.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
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 174 (313,226)
Citation 5

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

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 149 (357,072)

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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: 38 Posted: 24 May 2021 Last Revised: 29 Sep 2022
Caio Almeida and Paul Schneider
Princeton University and University of Lugano - Institute of Finance
Downloads 114 (438,785)
Citation 1

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