Publications:
- How Much is the Gap? — Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates (2017), Quantitative Finance, Vol. 17, No. 9, pp. 1387-1401, joint with Matthias Thul
Working Papers:
- Presale Discounts and Risk Sharing: Theory and Evidence from the Hong Kong Real Estate Market (Under Review)
- The Macroeconomic Implications of Limited Arbitrage (Under Review)
- Influence of Price Elasticity of Demand on Monopoly Games under Different Returns to Scale
(R&R) - Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model (Under Review)
- Recursive equilibria in dynamic economies with bounded rationality