Prof. Dr. Marc Chesney - Publications

Head of Department of Banking and Finance, Professor of Quantitative Finance
PLD-G 04, Plattenstr. 32, 8032 Zürich
+41 44 634 45 80
CV vCard Details Team Teaching Publications Supervised theses Conferences

Journal Articles (35)

Parisian Options with Jumps: A Maturity-Excursion Randomization Approach
Marc Chesney, Nikola Vasiljevic
In: Quantitative Finance, forthcoming, 2018.

Mitigating Global Warming: A Real Options Approach
Marc Chesney, Pierre Lasserre, Bruno Troja
In: Annals of Operations Research, Vol. 255 (No. 1-2), p. 465-506, August 2017.

Market uncertainty and risk transfer in REDD projects
Marc Chesney, Jonathan Gheyssens, Bruno Troja
In: Journal of Sustainable Forestry, Vol. 36 (No. 5), p. 535-553, July 2017.

Toxic sustainable companies? A critique on the shortcomings of current corporate sustainability ratings and a definition of ‘financial toxicity
Peter Seele, Marc Chesney
In: Journal of Sustainable Finance, Vol. 7 (No. 2), p. 139-146, March 2017.

Endogenous trading in Credit Default Swaps
Marc Chesney, Delia Coculescu, Selim Gokay
In: Decisions in Economics and Finance, Vol. 39 (No. 1), p. 1-31, April 2016.

More than money: exploring the role of investment advisors for sustainable investing
Falko Paetzold, Timo Busch, Marc Chesney
In: Annals in Social Responsibility, Vol. 1 (No. 1), p. 195-223, September 2015.

Detecting abnormal trading activities in option markets
Marc Chesney, Remo Crameri, Loriano Mancini
In: Journal of Empirical Finance, Vol. 33, p. 263-275, September 2015.

Is there room for geoengineering in the optimal climate policy mix?
Olivier Bahn, Marc Chesney, Jonathan Gheyssens, Reto Knutti, Anca Pana
In: Environmental Science & Policy, Vol. 48, p. 67-76, April 2015.

Experimental comparison between markets on dynamic permit trading and investment in irreversible abatement with and without non-regulated companies
Marc Chesney, Luca Taschini, Mei Wang
In: Journal of Regulatory Economics, Vol. 46 (No. 1), p. 23-50, August 2014.

The endogenous price dynamics of emission allowances and an application to CO2 option pricing
Marc Chesney, Luca Taschini
In: Applied Mathematical Finance, Vol. 19 (No. 5), p. 447-475, November 2012.

An experimental study on real option strategies
Mei Wang, Abraham Bernstein, Marc Chesney
In: Quantitative Finance, Vol. 12 (No. 11), p. 1753-1772, November 2012.

The value of tradeability
Marc Chesney, Alexander Kempf
In: Review of Derivatives Research, Vol. 15 (No. 3), p. 193-216, October 2012.

The effect of proactive adaptation on green investment
Olivier Bahn, Marc Chesney, Jonathan Gheyssens
In: Environmental Science & Policy, Vol. 18, p. 9-24, 2012.

The impact of terrorism on financial markets: an empirical study
Marc Chesney, Ganna Reshetar, Mustafa Karaman
In: Journal of Banking and Finance, Vol. 35 (No. 2), p. 253-267, February 2011.

Stock options and managers’ incentives to cheat
Marc Chesney, Rajna Gibson
In: Review of Derivatives Research, Vol. 11 (No. 1-2), p. 41-59, March 2008.

American Parisian Options
Marc Chesney, Laurent Gauthier
In: Finance and Stochastics, Vol. 10 (No. 4), p. 475-506, 2006.

Pricing American currency options in an exponential Lévy model
Marc Chesney, M. Jeanblanc
In: Applied Mathematical Finance, Vol. 11 (No. 3), p. 207-225, September 2004.

Analyzing firms' strategic investment decisions in a real options' framework
Pascal Botteron, Marc Chesney, Rajna Gibson-Asner
In: Journal of International Financial Markets, Institutions and Money, Vol. 13 (No. 5), p. 451-479, December 2003.

Illegal Migrants, Tourism and Welfare: A Trade Theoretic Approach
Marc Chesney, Bharat R. Hazari
In: Pacific Economic Review, Vol. 8 (No. 3), p. 259-268, December 2003.

Optimal Timing to Adopt Environmental Policy in a Strategic Framework
Marc Chesney, Pauline Barrieu
In: Environmental Modelling & Assessment, Vol. 8 (No. 3), p. 149-163, September 2003.

The impact of possible climate catastrophes on global warming policy
Andrea Baranzini, Marc Chesney, Jacques Morisset
In: Energy Policy, Vol. 31 (No. 8), p. 691-701, June 2003.

Long-term risk management of nuclear waste: a real options approach
Henri Loubergé, Stéphane Villeneuve, Marc Chesney
In: Journal of Economic Dynamics and Control, Vol. 27 (No. 1), p. 157-180, November 2002.

Reducing Asset Substitution with Warrant and Convertible Debt Issue
Marc Chesney, Rajna Gibson-Asner
In: The Journal of Derivatives, Vol. 9 (No. 1), p. 39-52, 2001.

The investment policy and the pricing of equity in a levered firm: a re-examination of the 'contingent claims' valuation approach
R. Gibson-Asner, Marc Chesney
In: The European Journal of Finance, Vol. 5 (No. 2), p. 95-107, 1999.

Immigration, Unemployment and Welfare
Bharat R. Hazari, Pasquale M SGRO, Marc Chesney
In: International Economic Journal, Vol. 13 (No. 2), p. 59-74, 1999.

Irrational entry, rational exit
Marc Chesney, Bharat Hazari
In: Journal of Mathematical Economics, Vol. 29 (No. 1), p. 1-13, 1998.

Brownian Excursions and Parisian Barrier Options
Marc Chesney, Monique Jeanblanc-Picque, Marc Yor
In: Advances in Applied Probability, Vol. 29 (No. 1), p. 165-184, 1997.

Options listing and the volatility of the underling asset: a study on the derivative market function
Marc Chesney, William Eid Júnior
In: Revista de Administração de Empresas, Vol. 36 (No. 1), p. 28-32, March 1996.

Predicting premature exercise of an American put on stocks: theory and empirical evidence
Marc Chesney, Jean Lefoll
In: The European Journal of Finance, Vol. 2 (No. 1), p. 21-39, 1996.

State Space Symmetry and Two Factor Option Pricing Models
Marc Chesney, Rajna Gibson
In: Advances in Futures and Options Research, Vol. 8, 1995.

Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data
Marc Chesney, Henri Loubergé, Rajna Gibson
In: Finanzmarkt und Portfolio Management, Vol. 9 (No. 1), p. 35-60, 1995.

Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Marc Chesney, Robert J Elliott, Dilip B Madan, Hailiang Yang
In: Mathematical Finance, Vol. 3 (No. 2), p. 85-99, 1993.

Analytical solutions for the pricing of american bond and yield options
Marc Chesney, Rajna Gibson, Robert J Elliott
In: Mathematical Finance, Vol. 3 (No. 3), p. 277-294, 1993.

Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model
Marc Chesney, Louis Scott
In: Journal of Financial and Quantitative Analysis, Vol. 24 (No. 3), p. 267-284, 1989.

Risk Aversion and the Composition of Wealth in the Demand for Full Insurance Coverage
Marc Chesney, Henri Loubergé
In: Swiss Journal of Economics and Statistics, Vol. 122 (No. 3), p. 359, 1986.

Articles (non-refereed) (1)

La finance, trahit-elle le capitalisme?
Marc Chesney
In: Finance & bien commun, p. 32-40, 2009.

Studies and Reports Commissoned (2)

Books (7)

Asset Pricing - Finanzderivate und ihre Systemrisiken
Marc Chesney, Jonathan Krakow, Brigitte Maranghino-Singer, Lukas Münstermann
Gabler Verlag, Berlin, 2018.

Environmental finance and investments
Marc Chesney, Jonathan Gheyssens, Anca Pana, Luca Taschini
Springer, Berlin, Heidelberg, 2016.

De la grande guerre à la crise permanente
Marc Chesney
EPFL Press, Presses polytechniques et universitaires romandes, Lausanne, 2015.

Vom Grossen Krieg zur permanenten Krise
Marc Chesney
Versus Verlag, Zürich, 2014.

Mathematical Methods for Financial Markets
Monique Jeanblanc, Marc Yor, Marc Chesney
Springer, Heidelberg, June 2009.

El Manejo Del Riesgo Cambiario: Las Opciones Sobre Divisas
Marc Chesney, Michael B. Marois, Fausto-Hernadez Trillo, Rafal Wojakowski
Limusa, Mexico, 2002.

Les Options de Change: Evaluation et Utilisation
Marc Chesney, Michael B. Marois, Rafal Wojakowski
Economica, London, 1995.

Book Chapters (8)

Vom Grossen Krieg zur permanenten Krise
Marc Chesney
Editor(s): Andreas Thier, Lea Schwab
In: 1914, vdf Hochschulverlag an der ETH Zürich, Zürich, p. 207-222, 2018.

Der Widerspruch zwischen Neoliberalismus und liberaler Demokratie am Beispiel des Finanzmarktes
Marc Chesney
Editor(s): Daniel Brühlmeier, Philippe Mastronardi
In: Demokratie in der Krise, Chronos Verlag, Zürich, 2016.

An information system supporting cap and trade in organizations
Marc Chesney, Brigitte Maranghino-Singer, Martina Huber, David Oertle, Lorenz Hilty
Editor(s): Lorenz Hilty, Bernard Aebischer
In: ICT Innovations for Sustainybility, Springer, Cham, p. 285-299, 2015.

Emissions Markets and Products
Marc Chesney, Luca Taschini, Jonathan Gheyssens
Editor(s): Andrea Roncoroni
In: Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Managemen, Wiley, Hoboken, p. 223-254, 2015.

Zum Widerspruch zwischen der Logik des Finazsektors und den Prinzipien des Libealismus
Marc Chesney
Editor(s): Georg Pfleiderer, et al
In: Aspekte von Risiko, Vertrauen, Schuld, Pano Verlag, Zürich, p. 59-76, 2015.

Enjeux et conséquences de l'utilisation de l'anglais pour les études d'économie et de gestion à l'université
Marc Chesney
Editor(s): Slatkine Genf
In: L'économie au service des citoyens : essais en mémoire de Peter Tschopp, s.n., Genf, p. 200-215, 2014.

Die Umwandlung des Kapitalismus und seine Finanzdurchdringung
Marc Chesney
Editor(s): Georg Pfleiderer
In: Kapitalismus - eine Religion in der Krise I, Pano Verlag, Basel, p. 325-368, 2013.

Some Combinations of Asian, Parisian, and Barrier Options
Marc Chesney, Helyette German, Monique Jeanblanc, Marc Yor
Editor(s): Michael A. H. Dempster, Stanley R. Pliska
In: Mathematics of Derivatives Securities, Cambridge University Press, Cambridge, p. 61-88, 1997.

Working Papers (7)

Managerial Incentives to Take Asset Risk
Marc Chesney, Jacob Stromberg, Alexander F. Wagner
SFI Research Paper, No. 10-18, 2018.

Market Uncertainty and Risk Transfer in REDD Projects
Marc Chesney, Jonathan Gheyssens, Bruno Troja
June 2016.

Detecting informed trading activities in the options markets
Marc Chesney, Remo Crameri, Loriano Mancini
NCCR FINRISK Working Paper, No. 560, April 2014.

Detecting informed trading activities in the options markets: Appendix on subprime financial crisis
Marc Chesney, Remo Crameri, Loriano Mancini
NCCR FINRISK Working Paper Series, No. 726, September 2012.

Regulated and non-regulated companies, technology adoption in experimental markets for emission permits, and option contracts
Marc Chesney, Luca Taschini, Mei Wang
Grantham Research Institute on Climate Change and the Environment, No. 41, 2011.

Master Theses (1)

What do Sustainability Indices tell us? A comparative analysis of selected Sustainability Indices
Viorica Cucicov, Marc Chesney
Supervisor(s): Annette Krauss
University of Zurich, 2016.

Other research output (6)

Newspaper articles (20)

Wachstum in Frage stellen
Marc Chesney
Tages Anzeiger, 13 February 2017.

Terrorisme, la fin de la trêve
Marc Chesney
Le Temps, 12 January 2017.

Der Terror ist Resultat einer bankrotten Politik
Marc Chesney
Infosperber, 23 December 2016.

La croissance en question
Marc Chesney
Le Temps, 15 November 2016.

Taxons les flux financiers pour financer le RBI
Marc Chesney
Le Temps, 23 May 2016.

Panama Papers, What Now?
Marc Chesney, Alexis Poulin
The World Post: a partnership of The Huffington Post and Berggruen Institute, 2 May 2016.

Bessere Bildung statt hohe Boni
Marc Chesney, Brigitte Maranghino-Singer
Tagesanzeiger, 29 December 2015.

Nein zum Diktat des Englischen an Schweizer Hochschulen
Marc Chesney
NZZ am Sonntag, 4 January 2015.

Umstrittenes Universitätssponsoring
Marc Chesney, Peter Ulrich
NZZ, 22 July 2014.

Le sponsoring universitaire au centre des tensions
Marc Chesney, Peter Ulrich
Le Temps, 25 June 2014.

Der Liberalismus und die Logik des Finanzsektors
Marc Chesney
NZZ, 1 July 2013.

Arrêtons la cotation en temps continu sur les marchés
Marc Chesney, Denis Dupré, Ollivier Taramasco
Le Monde, 26 November 2012.

La finance casino risque de détruire nos sociétés
Marc Chesney, Denis Dupré, Paul Jorion
Le Temps, 26 September 2012.

Derivative Finanzinstrumente und ihre Systemrisiken
Marc Chesney
NZZ, 20 July 2011.

Wie sich Lebensversicherungsverträge in Wetten auf den Tod wandeln
Marc Chesney, Christine Hirszowicz, Brigitte Maranghino-Singer
Der Schweizer Treuhänder, 10 October 2010.

Les paris sur la mort, le jeu dangereux des banques
Marc Chesney, Christine Hirszowicz, Brigitte Maranghino-Singer
Le Temps, 15 January 2010.

Banken ohne moralischen Kompass
Marc Chesney, Christoph Weber-Berg
UZH News, 8 January 2010.

De l'inefficacité des modèles économiques en temps de crise
Marc Chesney
Le Temps, 21 October 2009.

Haben die Finanzmärkte den Kapitalismus verraten?
Marc Chesney
Der Schweizer Treuhänder, 1 August 2009.

Il faut réformer les bombes financières que sont les CDS
Marc Chesney
Les Echos, 30 March 2009.

Media coverage (60)

Une microtaxe soulagerait les ménages
Concerns: Marc Chesney
Le Matin Dimanche, 27 May 2018.

Finanzmärkte im Wandel
Concerns: Marc Chesney
NZZ Online, 24 April 2018.

Mikrosteuer statt Stillstand
Concerns: Marc Chesney
Tages Anzeiger, 17 February 2018.

«Mikrosteuer» soll alle anderen Steuern ersetzen
Concerns: Marc Chesney
NZZ, 7 February 2018.

Bitcoin: Bolla in vista?
Concerns: Marc Chesney
RSI Rete Uno, 11 December 2017.

Die krisenresistente Wirtschaft ist noch nicht erfunden
Concerns: Marc Chesney
Horizonte, 1 September 2017.

Bildung: Umweltkompetenzen für die Finanzbranche
Concerns: Marc Chesney
Bundesamt für Umwelt (BAFU), 21 June 2017.

Nationalbank soll klimafreundlich investieren
Concerns: Marc Chesney
Der Bund, 18 April 2017.

Are the conventional ways to measure managerial incentives to take asset risk still correct?
Concerns: Marc Chesney, Alexander F. Wagner
SFI Blog, 24 January 2017.

La finance est en proie à une crise des valeurs
Concerns: Marc Chesney
24 heures, 23 January 2017.

Welche Steuer erfinden wir heute?
Concerns: Marc Chesney
Basler Zeitung, 25 November 2016.

Mit Mikrosteuern das Steuersystem revolutionieren
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 20 November 2016.

Initiative fordert eine revolutionäre Steuer (neuer Vorschlag Mikrosteuer)
Concerns: Marc Chesney
BZ Berner Zeitung, 3 November 2016.

Une "micro-taxe" pour abolir tous les impôts
Concerns: Marc Chesney
Le temps, 25 October 2016.

Un économiste veut remplacer les impôts par une taxe sur les transactions financières
Concerns: Marc Chesney
RTS Radio La 1ère, 25 October 2016.

Mikrosekunden-Wettgeschäft an Börsen verbieten
Concerns: Marc Chesney
infosperber, 13 October 2016.

Pluie de critiques après la nomination de Barroso chez Goldman Sachs
Concerns: Marc Chesney
RTS Radio La 1ère, 9 July 2016.

L'irrésistible attrait de Goldman Sachs
Concerns: Marc Chesney, 16 June 2016.

Eine Frage der Werte
Concerns: Marc Chesney
Oec. Magazin der Wirtschaftswissenschaftlichen Fakultät der UZH und deren Alumni, 1 June 2016.

Das Grundeinkommen wäre in der Schweiz umsetzbar
Concerns: Marc Chesney
Handelszeitung, 18 May 2016.

Financer le RBI, c’est très simple: un carton sur les réseaux
Concerns: Marc Chesney
Le temps, 18 May 2016.

Mit einer Mikrosteuer mehr Finanzstabilität schaffen
Concerns: Marc Chesney
Die Südostschweiz, 29 March 2016.

Spekulation mit Nahrungsmitteln
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 29 February 2016.

Comprendre la crise financière
Concerns: Marc Chesney
Le Monde Moderne, 29 February 2016.

Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 29 February 2016.

Spekulationen mit Nahrungsmitteln sind eine Frage des Masses
Concerns: Marc Chesney
Tages Anzeiger, 26 January 2016.

Il aurait fallu diminuer les tailles des banques systémiques
Concerns: Marc Chesney
RTS Radio La 1ère, 30 December 2015.

Mehr Eigenmittel helfen Volkswirtschaft
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 16 November 2015.

Ethik und Ästhetik der Börse
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 27 July 2015.

La réglementation? Trop compliquée pour être applicable
Concerns: Marc Chesney
LeTemps, 27 June 2015.

Radikale Reformen gegen die Krise
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 18 May 2015.

Une longue crise pour rien
Concerns: Marc Chesney
24 heures, 13 May 2015.

L'économiste qui veut taxer les transactions électroniques
Concerns: Marc Chesney
L'Express, 8 May 2015.

Finanz-Casino ist ohne Nutzen für reale Wirtschaft
Concerns: Marc Chesney
infosperber, 5 May 2015.

Der Homo financiarius tickt ganz anders
Concerns: Marc Chesney
Schweizer Monat, 1 May 2015.

Les solutions possibles à une crise qui n'en finit pas
Concerns: Marc Chesney
L'Agefi, 1 May 2015.

Die Jagd nach schnellen Profiten eindämmen
Concerns: Marc Chesney
infosperber, 9 April 2015.

Risiko Hochfrequenzhandel
Concerns: Marc Chesney
Tages Anzeiger, 20 March 2015.

Schulden und soziale Not: Milliarden Euro wären da
Concerns: Marc Chesney
infosperber, 23 February 2015.

Zürcher Professor schlägt Lösung für EU-Schuldenproblematik vor
Concerns: Marc Chesney
SonntagsZeitung, 22 February 2015.

Ein weiterer Schuldenschnitt ist überfällig
Concerns: Marc Chesney
infosperber, 14 January 2015.

Vom Grossen Krieg zur permanenten Krise - Rezension
Concerns: Marc Chesney
Neue Zürcher Zeitung, 1 December 2014.

Finanz- und Börsenkrisen - von 1914 bis 2014
Concerns: Marc Chesney
Schweizer Radio und Fernsehen SRF, 20 October 2014.

Wie stark bedrohen Raiffeisen und Co. die Schweiz?
Concerns: Marc Chesney
Handelszeitung, 13 August 2014.

Die Bevölkerung leidet unter einem Finanzkrieg
Concerns: Marc Chesney
Handelszeitung, 31 July 2014.

Nein, die Krise ist nicht ausgestanden
Concerns: Marc Chesney
WOZ Die Wochenzeitung, 5 June 2014.

Die Finanzkrise hat auch die Ausbildung erschüttert
Concerns: Thorsten Hens, Alexander F. Wagner, Marc Chesney
NZZ Equity, 8 May 2014.

Maschinen auf Speed
Concerns: Marc Chesney
The European Value Investor, 16 December 2013.

Die Systemrisiken sind nach wie vor gross
Concerns: Marc Chesney
take it, 12 December 2013.

Wegzug? Bonne chance
Concerns: Marc Chesney
Blick, 20 October 2013.

Gebt die Boni den Controllern
Concerns: Marc Chesney
Blick, 8 October 2013.

UBS und CS sind immer noch viel zu gross für unser Land
Concerns: Marc Chesney
NZZ am Sonntag, 28 July 2013.

Aktien werden noch 22 Sekunden gehalten
Concerns: Marc Chesney
Tages Anzeiger, 26 July 2013.

Diskrepanz zwischen Börsendynamik und Wirtschaft
Concerns: Marc Chesney, 7 May 2013.

Finanzsphäre sollte Realwirtschaft dienen
Concerns: Marc Chesney
NZZ, 5 April 2012.

Die gesellschaftliche Verantwortung auch im Finanzbereich wahrnehmen
Concerns: Marc Chesney
Zeit - Fragen, 3 January 2012.

La finance bientôt à la vitesse de la lumière - High Frequency Trading
Concerns: Marc Chesney
LeTemps, 1 January 2011.