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Marc Chesney
Prof. Dr.
Vice Director of Department of Banking and Finance, Professor of Finance
Head of RPP "Finance"
marc.chesney[at]bf.uzh.ch
+41 44 634 45 80
Plattenstr. 32(PLD); Room G04
Details Team Teaching Betreute Arbeiten Research Projects
Publikationen von Marc Chesney
Marc Chesney hat derzeit 56 Publikationen online...
Um Publikationen anderer Autoren in unserer Datenbank zu finden, steht Ihnen eine Suchmaske zur Verfügung unter: Publications
Publikationen in akademischen Fachzeitschriften (35) The Value of Tradeability
Chesney M., Kempf A.
In: Review of Derivatives Research, forthcoming, 2012The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
Chesney M., Taschini L.
In: Applied Mathematical Finance, forthcoming, 2012The effect of proactive adaptation on green investment
Bahn O., Chesney M., Gheyssens J.
In: Journal of Environmental Science and Policy, 2012, pages: 9-24An experimental study on real option strategies (second revision)
Wang M., Chesney M., Bernstein A.
In: Quantitative Finance, forthcoming, 2011The impact of terrorism on financial markets: an empirical study
Reshetar G., Chesney M., Karaman M.
In: Journal of Banking and Finance, 2011, pages: 253-267Stock options and managers’ incentives to cheat
Gibson R., Chesney M.
In: Review of Derivatives Research, 2008, pages: 41-59American Parisian Options
Chesney M., Gauthier L.
In: Finance and Stochastics, 2006, pages: 475 - 506Pricing American Currency Options in an Exponential Lévy Model
Chesney M., Jeanblanc M.
In: Applied Mathematical Finance, 2004, pages: 207 - 225Illegal Migrants, Tourism and Welfare: A Trade Theoretic Approach
Chesney M., Hazari B.
In: Pacific Economic Review, 2003, pages: 259 - 268Optimal Timing for an Environmental Policy in a Strategic Framework
Barrieu P., Chesney M.
In: Environmental Modelling & Assessment, 2003, pages: 149 - 163Analyzing Firms' Strategic Investment Decisions in a Real Options' Framework
Botteron P., Chesney M., Gibson R.
In: Journal of International Financial Markets, Instituions & Mo, Zürich, 2003, pages: 1-29The Impact of Possible Climate Catastrophes on Global Warming Policy, an Option-Pricing Approach
Baranzini A., Chesney M., Morisset J.
In: Energy Policy, 2003, pages: 691 - 701Long Term Risk Management of Nuclear Waste: A Real Options Approach
Loubergé H., Villeneuve S., Chesney M.
In: Journal of Economic Dynamics and Control, 2002, pages: 157 - 180Reducing Asset Substitution with Warrant and Convertible Debt Issues
Chesney M., Gibson R.
In: The Journal of Derivatives, 2001, pages: 39 - 52Immigration, Unemployment and Welfare
Chesney M., Hazari R., Sgro P.
In: International Economic Journal, 1999The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims Valuation Approach
Chesney M., Gibson R.
In: The European Journal of Finance, 1999, pages: 95-107Irrational Entry, Rational Exit
Hazari B., Chesney M.
In: Journal of Mathematical Economics, 1998, pages: 1 - 13Parisian Options and Excursion Theory
Chesney M., Jeanblanc M., Yor M.
In: Advances in Applied Probabilities, 1997Parisian Barrier Options
Yor M., Chesney M., Jeanblanc M., Kentwell G.
In: Risk, 1997Options et risques induits
Chesney M.
In: Risques, 1997Les gestions des risques de change et de taux par les options
Quittard-Pinon F., Chesney M.
In: Risques, 1997Predicting Premature Exercise of an American Put on Stocks: Theory and Evidence
Lefoll J., Chesney M.
In: The European Journal of Finance, 1996Options Listing and the Volatility of the Underlying Asset: A Study on the Derivative Market Function
Chesney M., Eid Junior W.
In: Revista de Administraçao de Empresas, 1996Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data
Loubergé H., Chesney M., Gibson R.
In: Finanzmarkt und Portfolio Management, Zürich, 1995, pages: 35 - 60Estimating the Instantaneous Volatility and Covariance of Risky Assets
Chesney M., Elliott R.
In: Applied Stochastic Models and Data Analysis, 1995, pages: 51 - 58State Space Symmetry and Two Factor Option Pricing Models
Gibson R., Chesney M.
In: Advances in Futures and Options Research, 1995Diffusion Coefficient Estimation and Asset Pricing when Risk Premia and Sensitivities are Time Varying
Chesney M., Elliott R., Madan D., Yang H.
In: Mathematical Finance, 1993, pages: 85 - 99Analytical Solution for the Pricing of American Bond and Yield Options
Gibson R., Chesney M., Elliott R.
In: Mathematical Finance, 1993, pages: 277 - 294Relations triangulaires entre valeurs d'options sur devises
Chesney M.
In: Finance, Zürich, 1990Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model
Chesney M., Scott L.
In: Journal of Financial and Quantitative Analysis, 1989European Currency Options: The Effects of Volatility Changes
Chesney M., Scott L.
In: Finanzmarkt und Portfolio Management, 1989Les Options sur devises: Une revue des modèles théoriques et des travaux empiriques
Loubergé H., Chesney M.
In: Finance, 1988The Pricing of European Currency Options: Empirical Tests based on Swiss Data
Loubergé H., Chesney M.
In: Aussenwirtschaft, 1987Prix d'équilibre et efficience sur le marché suisse des options sur devises: Analyse théorique et tests empiriques
Chesney M.
In: Finance, 1987Risk Aversion and the Composition of Wealth in the Demand for Full Insurance Coverage
Loubergé H., Chesney M.
In: Schweiz Zeitschrift für Volkswirtschaft und Statistik, 1986Bücher (4) Mathematical Methods for Financial Markets
Yor M., Jeanblanc M., Chesney M.
In: Springer Verlag, 2009, pages: 732Blanchiment et Financement du Terrorisme
Chesney M., Ludovic F., Chaigneau P.
In: Ellipses, Paris, 2004El Manejo del Riesgo de Cambio: Las Opciones Sobre Divisas
Wojakowski R., Trillo F., Marois B., Chesney M.
In: Edition Limusa, Mexico, 2001Les Options de Change, Evaluation et Utilisation (Currency Options: Valuation and Hedging of Standard and Exotic Options)
Chesney M., Marois B., Wojakowski R.
In: Economica, 1995Kapitel oder Artikel in Büchern (10) Le Terrorisme se Privatise et Défie l'Occident
Chesney M.
In: Ellipses, Paris, 2004Les spéculations financières de Septembre 2001: l'ombre de Ben Laden?
Chesney M.
In: Al-Qaeda Les nouveaux réseaux de la terreur, Paris, 2004, pages: 87 - 95Les spéculations financières de septembre 2001 et l'argent du terrorisme
Chesney M.
In: Ellipses, Paris, 2002Marchés Financiers, Blanchiment et Financement du Terrorisme
Chesney M.
Paris, 2002Some Combinations of Asian, Parisian, and Barrier Options
Chesney M., Jeanblanc M., Yor M., German H.
Cambridge, 1997Les Options sur Devises (Currency Options)
Chesney M., Marois B., Wojakowski R.
Zürich, 1997La formation par la Recherche
Chesney M., Laurent G.
Paris, 1994Estimating the instantaneous Volatility and Covariance of Risky Assets
Chesney M., Elliott R.
In: Ed. World Scientific, 1992American Path-Dependent Options
Barone-Adesi G., Chesney M.
Zürich, 1992L'économie en 400 Questions et 1600 Réponses
Chesney M.
1989Working Paper (6) Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
Chesney M., Mancini L., Crameri R.
In: NCCR Working Paper 724, Zürich, 2011Regulated and Non-Regulated Companies, Technology Adoption in Experimental Markets for Emission Permits, and Options Contracts
Chesney M., Taschini L., Wang M.
Zürich, 2011Technology Change and Presence of Institutional Investors in Experimental Markets for Emission Permits
Chesney M., Taschini L.
2010American Put Call Symmetry
Chesney M., Carr P.
2003Real Options and Ornstein-Uhlenbeck Processes
Chesney M.
2003LCD's Creditworthiness and The Secondary Market of the Price of Debt : A Theorical Approach and an Empirical Analysis
Chesney M., Morisset J.
1995Studien (1) RAPPORT SUR LES SUSPICIONS DE DÉLITS DÉINITIÉS SUR LE TITRE EADS
Chesney M., Crameri R., Mancini L.
Oct 2010
Marc Chesney in den Medien
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