5) University of Zürich
Scientific Staff
Prof. Rajna Gibson
Prof. Marc Chesney
Prof. Marc Paolella
Prof. Markus Leippold
Prof. Paolo Vanini
Dr. Carsten Muralski
Gorazd Brumen
Rajna Gibson holds a graduate degree in business administration from the University of Geneva where she also obtained her Ph.D. in economics and social sciences (with a specialization in finance). Since March 2000, she has been a professor in financial economics at the University of Zurich, Switzerland. Since 2001, she is also the director of the National Centre of Competence in Research “Financial Valuation and Risk Management (FINRISK)”.
Expertise of the Team
All team members belong to the Swiss Banking Institute (ISB) of the University of Zurich. Their expertise is relevant to the planned network activities in several fields: Gibson is a professor of finance specialized in asset pricing, risk management, real options and financial integration. Paolella is a statistician with research focus on time series analysis, computational statistics, GARCH modelling, and risk prediction. Chesney is a quantitative finance professor with research interests in option and asset pricing and real options. Leippold and Vanini are both professors in financial economics conducting research on asset pricing, risk management, macro-finance and applicable financial economics.
References:
- M. Chesney, M. Jeanblanc, and M. Yor: “The Mathematics of Financial Markets”, Springer 2005
- R. Gibson, P.-A. Bares, R. Cont, L. Gardiol, and S. Gyger: “A Large Deviation Approach to Portfolio Management”, Theoretical & Applied Finance, 2000.
- R. Gibson, C. Blanchet-Scalliet, A. Diop, D. Talay, and E. Tanré: “Technical Analysis Techniques versus Mathematical Models”, in H. Niederreiter and T. Denis (Eds.): “Monte Carlo and Quasi-Monte Carlo Methods 2004”, Springer, 2005.
- M. Leippold and P. Vanini: “The Quantification of Operational Risk”, Journal of Risk, 2005.
- M. Leippold, S. Ebnoether, and P. Vanini: “Optimal Credit Limit Management under Different Information Regimes”, Journal of Banking and Finance, 2005.
- M. Paolella, M. Haas and S. Mittnik: “Mixed Normal Conditional Heteroskedasticity”, Journal of Financial Econometrics, 2004.
- M. Paolella, S. Mittnik, and S. Rachev: “Stationarity of Stable Power-GARCH Processes”, Journal of Econometrics, 2002.
Expertise in Training Young Scientists
The team at the University of Zurich is part of FINRISK, a research program in finance funded by the Swiss National Science Foundation and encompassing eight Swiss Universities. One of the important tasks of this research network is the fostering of a Swiss wide doctoral program in finance. This Swiss doctoral program has now been in place for 4 years resulting in profound expertise for setting up advanced courses and seminars.
Role of the Research Team
The research activity will be mainly devoted to applying novel statistical methods in finance in the areas of asset pricing, hedging and risk management. A special emphasis will be placed on empirical validations of continuous time pricing models. The research team will also contribute to the training and transfer of knowledge activities, in particular to the training in applied quantitative finance.