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Florian Ulmann

ETH Zürich

LEE G104

Leonhardstrasse 21

Zurich

Switzerland

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

On the Directional Destabilizing Feedback Effects of Option Hedging

Swiss Finance Institute Research Paper No. 22-34
Number of pages: 37 Posted: 20 Apr 2022 Last Revised: 22 Apr 2022
Didier Sornette, Florian Ulmann and Alexander Wehrli
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich and Swiss National Bank
Downloads 492 (143,357)

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option hedging, frictions, feedback effects, instability, drift burst

2.

Price Dynamics with Circuit Breakers

Number of pages: 22 Posted: 02 Jul 2019 Last Revised: 18 Sep 2024
Sandro Claudio Lera, Didier Sornette and Florian Ulmann
Southern University of Science and Technology, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 343 (221,253)

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circuit breaker, trading halt, magnet effect

3.

Dynamical Internal Cost of Capital Driven by Cash Flow Growth

Swiss Finance Institute Research Paper No. 21-24
Number of pages: 40 Posted: 12 Mar 2021 Last Revised: 15 Mar 2021
David Solo, Didier Sornette and Florian Ulmann
Diversified Credit Investments, LLC, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 264 (288,370)

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Internal Cost of Capital, consumption based asset pricing model, cash flow growth, equity risk premium, implied risk, Fama-MacBeth regression, time-varying risk premium, trading strategy