(Some recent articles by Prof. Rajna Gibson Brandon available for download:
Rajna Gibson Brandon with Azade Seid-Fatemi, Yosuke Morishima, Felix Heise, Carmen Tanner, Alexander F. Wagner and Philippe N. Tobler: "Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against
economic benefits", Scientific Report, 20 September 2016.
Supplementary Information for "Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits"
Rajna Gibson Brandon with Michel A. Habib and Alexandre Ziegler , “Reinsurance or Securitization: The Case of Natural Catastrophe Risk" , Journal of Mathematical Economics, Volume 53, August 2014, Pages 79–100, 2014.
Rajna Gibson Brandon with Carmen Tanner and Alexander F. Wagner: Preferences for Truthfulness: Heterogeneity Among and Within Individuals, American Economic Review, 103(1): 1–18, 2013. (TEDx Talks Video on Some Truths About Honesty)
Rajna Gibson Brandon with Songtao Wang, Liquidity Risk, Return Predictability and Hedge Funds' Performance: An Empirical Study, Journal of Financial and Quantitative Analysis, volume 48, issue 01, pp. 219-244,2013.
Rajna Gibson Brandon with Carsten Murawski, Margining in Derivatives Markets, and the Stability of the Banking Sector, Journal of Banking & Finance, 2013.
Comprehensive publication list:
Research Publications:
"Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits",
Scientific Report, 20 September 2016, (co-authored with A. Seid-Fatemi, Y. Morishima, F.Heise, C.Tanner, A.F. Wagner and P.N. Tobler).
“Reinsurance or Securitization: The Case of Natural Catastrophe Risk" , Journal of Mathematical Economics, Volume 53, August 2014, Pages 79–100, 2014, (co-authored with M. A. Habib and A. Ziegler).
"Preferences for Truthfulness: Heterogeneity Among and Within Individuals, American Economic Review, 103(1): 1–18, 2013, (co-authored with C. Tanner and A. F. Wagner).
"Liquidity Risk, Return Predictability and Hedge Funds' Performance: An Empirical Study", Journal of Financial and Quantitative Analysis, volume 48, issue 01, pp. 219-244,2013, (co-authored with with S. Wang).
"Margining in Derivatives Markets, and the Stability of the Banking Sector", Journal of Banking & Finance, 2013, (co-authored with C. Murawski),
“Optimal Hedge Fund Portfolios under Liquidation Risk”, Quantitative Finance, Vol. 11, No. 1, January 2011, pp. 53-67, (co-authored with S. Gyger)
“Modeling the Term Structure of Interest Rates: A Review of the Literature”, Foundations and Trends in Finance, Vol. 5, No. 1-2, pp. 1-156, 2010, (co-authored with F. Lhabitant and D. Talay).
“Viscosity Solutions to Optimal Portfolio Allocation Problems in Models with Random Time Changes and Transaction Costs”, Radon Series on Computational and Applied Mathematics, Vol. 8 , pp. 1-37, 2009, ( co-authored with C. Blanchet-Scaillet, B. de Saporta, D. Talay and E. Tanré).
”Stock Options and Managers Incentives to Cheat”, Review of Derivatives Research, Vol. 11, pp. 41-59, 2008 (co-authored with M. Chesney).
“Financial Integration, Economic Instability and Trade Structure in Emerging Markets”, Journal of International Money and Finance, Vol. 27, No. 4, pp. 654-675, 2008 (co-authored with A. Chambet).
“Model Risk for European-Style Stock Index Options”, IEEE Transactions on Neural Networks, Vol. 18, No. 1, January 2007, (co-authored with R. Gencay).
“The Style Consistency of Hedge Funds”, European Financial Management (Special Issue on Hedge Funds), Vol. 13, No. 2, 2007, (co-authored with S. Gyger).
“Technical Analysis Compared to Mathematical Models Based Methods under Parameters Mis-specification”, (shorter version of NCCR FINRISK Working Paper No. 253), Journal of Banking and Finance, Vol. 31, No. 5, 2007, pp. 1351-1373, (co-authored with C. Blanchet-Scaillet, A. Diop, D. Talay and E. Tanré).
“Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies”, Review of Derivatives Research, Vol. 9, No. 2, September 2006, (co-authored with M. Bossy, F. Lhabitant, N. Pistre and D. Talay).
”Stock Market Performance and the Term Structure of Credit Spreads”, Journal of Financial and Quantitative Analysis, Vol. 1, No. 4, December 2006, (co-authored with A. Demchuk).
”Analyzing Firms Strategic Investment Decisions in a Real Options Framework”, Journal of International Financial Markets, Institutions & Money, 2003, pp. 1-29, (co-authored with P. Botteron and M. Chesney).
”Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence”, Journal of Alternative Investments Vol. 6, No. 3, 2003 (co-authored with P. Barès and S. Gyger)
“The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market”, Journal of Banking and Finance, 2003, pp. 1-74, (co-authored with N. Mougeot).
“Reducing Asset Substitution with Warrant and Convertible Debt Issues”, Journal of Derivatives, Vol. 9, No. 1, Fall 2001, pp. 39-52, (co-authored with M. Chesney)
“Volatility Model Risk Measurement against Worst Case Volatilities”, Journal de la Société Française de Statistique, Vol. 141, No. 1-2, 2000 (co-authored with M. Bossy, F. Lhabitant, N. Pistre, D. Talay and Z. Zheng).
“Do Newly Listed Derivatives Affect the Market Risk Premia in a Thin Stock Market?”, European Finance Review, Vol. 4, 2000, pp. 97-127, (co-authored with N. Clerc).
“Recovery Risk in Stock Returns”, Journal of Portfolio Management, Vol. 27, No. 2, Fall 2000 pp. 22-31, (co-authored with A. Agkun).
“A Large Deviation Approach to Portfolio Management”, International Journal of Theoretical & Applied Finance, Vol. 3, No. 4, 2000, pp. 617-639, (co-authored with P. Barès, R. Cont, L. Gardiol and S. Gyger)
“Rethinking the Quality of Risk Management Disclosure”, Derivatives Use, Trading and Regulation, Vol. 5, No. 3, 1999, pp.248-282.
“Are Investors sensitive to the Quality and the disclosure of Financial Statements?”, European Finance Review, Vol. 3, No. 2, 1999, pp. 131-159, (co-authored with B. Caramanolis, L. Gardiol and N. Tuchschmid).
“Interest Rate Risk : An Overview”, Journal of Risk, Vol. 1, No. 3, 1999, pp. 37-62, (co-authored with F. Lhabitant, N. Pistre and D. Talay).
“A Theoretical Analysis of the Liquidity Risk Premium Embedded in the Prices of Voting and Non-Voting Stocks”, Journal of Corporate Finance, 1999, pp. 209-225, (co-authored with N. Beiner)-
“The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims Valuation Approach”, European Financial Journal, Vol. 5, 1999, pp. 95-107, (co-authored with M. Chesney).
“Options, Futures and Stock Market Interactions: Empirical Evidence from the Swiss Stock Market”, Review of Derivatives Research, Vol. 2, No. 1, 1998, pp. 59-86, (co-authored with M. Bruand).
“Forecasting Stock Market Volatility: Does History Matter?”, European Financial Management, Vol. 4, No. 3, November 1998, pp. 293-319 (co-authored with K. Adjaoute and M. Bruand).
“Are Liquidity and Corporate Control Priced by Shareholders? Empirical Evidence from the Swiss Dual Class Shares”, Journal of Corporate Finance, Vol. 3, 1997, pp. 299-323, (co-authored with L. Gardiol and N. Tuchschmid).
“Risikokontrolle und Regulierung der derivativen Finanzmarkte aus ökonomischer Sicht“, Revue de Droit Suisse, Vol. 137, 1996, (co-authored with H. Zimmermann).
“Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies”, Derivatives Quarterly, Vol. 3, Nr. 1, 1996, (co-authored with H. Zimmermann and S. Tolle).
“Analyzing and Monitoring Derivatives Risks - Part 2”, Derivatives Use, Trading and Regulation, Vol. 2, No. 2, 1996, (co-authored with H. Zimmermann).
“Analyzing and Monitoring Derivatives Risks: An Economic Perspective”, Derivatives Use, Trading and Regulation, Vol. 2, No. 1, 1996, (co-authored with H. Zimmermann).
“State Space Symmetry and Two Factor Option Pricing Models”, Advances in Futures and Options Research, Vol. 8, 1995, (co-authored with M. Chesney).
“Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data”, Finanzmarkt und Portfolio Management, Vol. 9, No. 1, 1995, pp. 35-60 (co-authored with M. Chesney and H. Loubergé).
“The Impact of Investment Constraints on Portfolio Performance Measurement: The Power Utility Function Case”, Financial Review, Vol. 30, No.2, May 1995, pp. 243-273 (co-authored with N. Tuchschmid).
“Analytical Solution for the Pricing of American Bond and Yield Options”, Mathematical Finance, Vol. 3, No. 3, July 1993, pp. 277-294, (co-authored with M. Chesney and R.J. Elliott).
“The Pricing of Crude Oil Futures Options Contracts”, Advances in Futures and Options Research, 1993, pp. 291-311 (co-authored with E. Schwartz).
“Valuing Swiss Default-Free Callable Bonds: Theory and Empirical Evidence”, Journal of Banking and Finance, Vol. 14, 1990, pp. 649-672.
“Stochastic Convenience Yield and the Pricing of Oil Contingent Claims”, Journal of Finance, Vol. 45, No. 3, July 1990, pp. 959-976 (co-authored with E. Schwartz).
“Les Modèles d’Equilibre de la Structure des Taux d’Intérêt: Un Essai de Synthèse”, Finance, Vol. 8, No. 2, 1987.
Books:
Model Risk: Concepts, Calibration and Pricing, Editor, Risk Books, London, 2000
L’Evaluation des Options, Presses Universitaires de France, Paris, 1993
Option Valuation: Analyzing and Pricing Standardized Option Contracts, McGraw-Hill, New York, 1991
Obligations et Clauses Optionnelles: Principes d’Evaluation, Presses Universitaires de France, Collection Finance, Paris, 1990
Book Chapters:
“Sacred Values and Ethical Decision-Making”, in Sozialpsychologie und Oekonomie, edited by E. H. Witte and T. Gollan, Pabst Verlag, 2010 (co-authored with C. Tanner and A. Wagner)
”Technical Analysis Techniques versus Mathematical Models: Boundaries of their Validity Domains”, Monte-Carlo and Quasi-Monte Carlo Methods, edited by H. Niederreiter and D. Talay, Springer Verlag, Berlin, 2006, (co-authored with E. Tanré, C. Blanchet-Scaillet, A. Diop and D. Talay)
“Interest Rate Model Risk” in Asset and Liability Management: a Synthesis, edited by Risk Books, 1998 (co-authored with F. Lhabitant, N. Pistre and D. Talay)
“A Comment on Derivatives and Privatization, Evidence from the Telecommunications Industry in Europe and Implications for Switzerland”, in Economic Policy in Switzerland, edited by P. Bacchetta and W. Wasserfallen, MacMillan Press LTD, London, 1997
“Dual Class Share Firms and Seasoned Equity Offerings: Empirical Evidence From the Swiss Stock Market”, Advances in Finance, Investment and Banking Series, Volume: Empirical Issues in Raising Equity Capital, edited by Mario Levis, North-Holland, 1996, pp. 125-150, (co-authored with B. Caramanolis and N. Tuchschmid)
“Valuation of Long-Term Oil-Linked Assets”, in Stochastic Models and Option values: Applications to Resources, Environment and Investment Problems, edited by D. Lund and B. Øksendal, North Holland, 1991, (co-authored with E. Schwartz)
Rajna Gibson Brandon with Azade Seid-Fatemi, Yosuke Morishima, Felix Heise, Carmen Tanner, Alexander F. Wagner and Philippe N. Tobler: "Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against
economic benefits", Scientific Report, 20 September 2016.
Supplementary Information for "Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits"
Rajna Gibson Brandon with Michel A. Habib and Alexandre Ziegler , “Reinsurance or Securitization: The Case of Natural Catastrophe Risk" , Journal of Mathematical Economics, Volume 53, August 2014, Pages 79–100, 2014.
Rajna Gibson Brandon with Carmen Tanner and Alexander F. Wagner: Preferences for Truthfulness: Heterogeneity Among and Within Individuals, American Economic Review, 103(1): 1–18, 2013. (TEDx Talks Video on Some Truths About Honesty)
Rajna Gibson Brandon with Songtao Wang, Liquidity Risk, Return Predictability and Hedge Funds' Performance: An Empirical Study, Journal of Financial and Quantitative Analysis, volume 48, issue 01, pp. 219-244,2013.
Rajna Gibson Brandon with Carsten Murawski, Margining in Derivatives Markets, and the Stability of the Banking Sector, Journal of Banking & Finance, 2013.
Comprehensive publication list:
Research Publications:
"Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits",
Scientific Report, 20 September 2016, (co-authored with A. Seid-Fatemi, Y. Morishima, F.Heise, C.Tanner, A.F. Wagner and P.N. Tobler).
“Reinsurance or Securitization: The Case of Natural Catastrophe Risk" , Journal of Mathematical Economics, Volume 53, August 2014, Pages 79–100, 2014, (co-authored with M. A. Habib and A. Ziegler).
"Preferences for Truthfulness: Heterogeneity Among and Within Individuals, American Economic Review, 103(1): 1–18, 2013, (co-authored with C. Tanner and A. F. Wagner).
"Liquidity Risk, Return Predictability and Hedge Funds' Performance: An Empirical Study", Journal of Financial and Quantitative Analysis, volume 48, issue 01, pp. 219-244,2013, (co-authored with with S. Wang).
"Margining in Derivatives Markets, and the Stability of the Banking Sector", Journal of Banking & Finance, 2013, (co-authored with C. Murawski),
“Optimal Hedge Fund Portfolios under Liquidation Risk”, Quantitative Finance, Vol. 11, No. 1, January 2011, pp. 53-67, (co-authored with S. Gyger)
“Modeling the Term Structure of Interest Rates: A Review of the Literature”, Foundations and Trends in Finance, Vol. 5, No. 1-2, pp. 1-156, 2010, (co-authored with F. Lhabitant and D. Talay).
“Viscosity Solutions to Optimal Portfolio Allocation Problems in Models with Random Time Changes and Transaction Costs”, Radon Series on Computational and Applied Mathematics, Vol. 8 , pp. 1-37, 2009, ( co-authored with C. Blanchet-Scaillet, B. de Saporta, D. Talay and E. Tanré).
”Stock Options and Managers Incentives to Cheat”, Review of Derivatives Research, Vol. 11, pp. 41-59, 2008 (co-authored with M. Chesney).
“Financial Integration, Economic Instability and Trade Structure in Emerging Markets”, Journal of International Money and Finance, Vol. 27, No. 4, pp. 654-675, 2008 (co-authored with A. Chambet).
“Model Risk for European-Style Stock Index Options”, IEEE Transactions on Neural Networks, Vol. 18, No. 1, January 2007, (co-authored with R. Gencay).
“The Style Consistency of Hedge Funds”, European Financial Management (Special Issue on Hedge Funds), Vol. 13, No. 2, 2007, (co-authored with S. Gyger).
“Technical Analysis Compared to Mathematical Models Based Methods under Parameters Mis-specification”, (shorter version of NCCR FINRISK Working Paper No. 253), Journal of Banking and Finance, Vol. 31, No. 5, 2007, pp. 1351-1373, (co-authored with C. Blanchet-Scaillet, A. Diop, D. Talay and E. Tanré).
“Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies”, Review of Derivatives Research, Vol. 9, No. 2, September 2006, (co-authored with M. Bossy, F. Lhabitant, N. Pistre and D. Talay).
”Stock Market Performance and the Term Structure of Credit Spreads”, Journal of Financial and Quantitative Analysis, Vol. 1, No. 4, December 2006, (co-authored with A. Demchuk).
”Analyzing Firms Strategic Investment Decisions in a Real Options Framework”, Journal of International Financial Markets, Institutions & Money, 2003, pp. 1-29, (co-authored with P. Botteron and M. Chesney).
”Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence”, Journal of Alternative Investments Vol. 6, No. 3, 2003 (co-authored with P. Barès and S. Gyger)
“The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market”, Journal of Banking and Finance, 2003, pp. 1-74, (co-authored with N. Mougeot).
“Reducing Asset Substitution with Warrant and Convertible Debt Issues”, Journal of Derivatives, Vol. 9, No. 1, Fall 2001, pp. 39-52, (co-authored with M. Chesney)
“Volatility Model Risk Measurement against Worst Case Volatilities”, Journal de la Société Française de Statistique, Vol. 141, No. 1-2, 2000 (co-authored with M. Bossy, F. Lhabitant, N. Pistre, D. Talay and Z. Zheng).
“Do Newly Listed Derivatives Affect the Market Risk Premia in a Thin Stock Market?”, European Finance Review, Vol. 4, 2000, pp. 97-127, (co-authored with N. Clerc).
“Recovery Risk in Stock Returns”, Journal of Portfolio Management, Vol. 27, No. 2, Fall 2000 pp. 22-31, (co-authored with A. Agkun).
“A Large Deviation Approach to Portfolio Management”, International Journal of Theoretical & Applied Finance, Vol. 3, No. 4, 2000, pp. 617-639, (co-authored with P. Barès, R. Cont, L. Gardiol and S. Gyger)
“Rethinking the Quality of Risk Management Disclosure”, Derivatives Use, Trading and Regulation, Vol. 5, No. 3, 1999, pp.248-282.
“Are Investors sensitive to the Quality and the disclosure of Financial Statements?”, European Finance Review, Vol. 3, No. 2, 1999, pp. 131-159, (co-authored with B. Caramanolis, L. Gardiol and N. Tuchschmid).
“Interest Rate Risk : An Overview”, Journal of Risk, Vol. 1, No. 3, 1999, pp. 37-62, (co-authored with F. Lhabitant, N. Pistre and D. Talay).
“A Theoretical Analysis of the Liquidity Risk Premium Embedded in the Prices of Voting and Non-Voting Stocks”, Journal of Corporate Finance, 1999, pp. 209-225, (co-authored with N. Beiner)-
“The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims Valuation Approach”, European Financial Journal, Vol. 5, 1999, pp. 95-107, (co-authored with M. Chesney).
“Options, Futures and Stock Market Interactions: Empirical Evidence from the Swiss Stock Market”, Review of Derivatives Research, Vol. 2, No. 1, 1998, pp. 59-86, (co-authored with M. Bruand).
“Forecasting Stock Market Volatility: Does History Matter?”, European Financial Management, Vol. 4, No. 3, November 1998, pp. 293-319 (co-authored with K. Adjaoute and M. Bruand).
“Are Liquidity and Corporate Control Priced by Shareholders? Empirical Evidence from the Swiss Dual Class Shares”, Journal of Corporate Finance, Vol. 3, 1997, pp. 299-323, (co-authored with L. Gardiol and N. Tuchschmid).
“Risikokontrolle und Regulierung der derivativen Finanzmarkte aus ökonomischer Sicht“, Revue de Droit Suisse, Vol. 137, 1996, (co-authored with H. Zimmermann).
“Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies”, Derivatives Quarterly, Vol. 3, Nr. 1, 1996, (co-authored with H. Zimmermann and S. Tolle).
“Analyzing and Monitoring Derivatives Risks - Part 2”, Derivatives Use, Trading and Regulation, Vol. 2, No. 2, 1996, (co-authored with H. Zimmermann).
“Analyzing and Monitoring Derivatives Risks: An Economic Perspective”, Derivatives Use, Trading and Regulation, Vol. 2, No. 1, 1996, (co-authored with H. Zimmermann).
“State Space Symmetry and Two Factor Option Pricing Models”, Advances in Futures and Options Research, Vol. 8, 1995, (co-authored with M. Chesney).
“Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data”, Finanzmarkt und Portfolio Management, Vol. 9, No. 1, 1995, pp. 35-60 (co-authored with M. Chesney and H. Loubergé).
“The Impact of Investment Constraints on Portfolio Performance Measurement: The Power Utility Function Case”, Financial Review, Vol. 30, No.2, May 1995, pp. 243-273 (co-authored with N. Tuchschmid).
“Analytical Solution for the Pricing of American Bond and Yield Options”, Mathematical Finance, Vol. 3, No. 3, July 1993, pp. 277-294, (co-authored with M. Chesney and R.J. Elliott).
“The Pricing of Crude Oil Futures Options Contracts”, Advances in Futures and Options Research, 1993, pp. 291-311 (co-authored with E. Schwartz).
“Valuing Swiss Default-Free Callable Bonds: Theory and Empirical Evidence”, Journal of Banking and Finance, Vol. 14, 1990, pp. 649-672.
“Stochastic Convenience Yield and the Pricing of Oil Contingent Claims”, Journal of Finance, Vol. 45, No. 3, July 1990, pp. 959-976 (co-authored with E. Schwartz).
“Les Modèles d’Equilibre de la Structure des Taux d’Intérêt: Un Essai de Synthèse”, Finance, Vol. 8, No. 2, 1987.
Books:
Model Risk: Concepts, Calibration and Pricing, Editor, Risk Books, London, 2000
L’Evaluation des Options, Presses Universitaires de France, Paris, 1993
Option Valuation: Analyzing and Pricing Standardized Option Contracts, McGraw-Hill, New York, 1991
Obligations et Clauses Optionnelles: Principes d’Evaluation, Presses Universitaires de France, Collection Finance, Paris, 1990
Book Chapters:
“Sacred Values and Ethical Decision-Making”, in Sozialpsychologie und Oekonomie, edited by E. H. Witte and T. Gollan, Pabst Verlag, 2010 (co-authored with C. Tanner and A. Wagner)
”Technical Analysis Techniques versus Mathematical Models: Boundaries of their Validity Domains”, Monte-Carlo and Quasi-Monte Carlo Methods, edited by H. Niederreiter and D. Talay, Springer Verlag, Berlin, 2006, (co-authored with E. Tanré, C. Blanchet-Scaillet, A. Diop and D. Talay)
“Interest Rate Model Risk” in Asset and Liability Management: a Synthesis, edited by Risk Books, 1998 (co-authored with F. Lhabitant, N. Pistre and D. Talay)
“A Comment on Derivatives and Privatization, Evidence from the Telecommunications Industry in Europe and Implications for Switzerland”, in Economic Policy in Switzerland, edited by P. Bacchetta and W. Wasserfallen, MacMillan Press LTD, London, 1997
“Dual Class Share Firms and Seasoned Equity Offerings: Empirical Evidence From the Swiss Stock Market”, Advances in Finance, Investment and Banking Series, Volume: Empirical Issues in Raising Equity Capital, edited by Mario Levis, North-Holland, 1996, pp. 125-150, (co-authored with B. Caramanolis and N. Tuchschmid)
“Valuation of Long-Term Oil-Linked Assets”, in Stochastic Models and Option values: Applications to Resources, Environment and Investment Problems, edited by D. Lund and B. Øksendal, North Holland, 1991, (co-authored with E. Schwartz)