Journal Publications

ZORA Publication List

Publications

• 2012

  • Chesney, Marc; Taschini, Luca (2012). The endogenous price dynamics of emission allowances and an application to CO2 option pricing. Applied Mathematical Finance, 19(5):447-475.
  • Wang, Mei; Bernstein, Abraham; Chesney, Marc (2012). An experimental study on real option strategies. Quantitative Finance, 12(11):1753-1772.
  • Chesney, Marc; Kempf, Alexander (2012). The value of tradeability. Review of Derivatives Research, 15(3):193-216.
  • Bahn, Olivier; Chesney, Marc; Gheyssens, Jonathan (2012). The effect of proactive adaptation on green investment. Environmental Science & Policy, 18:9-24.

• 2011

  • Chesney, Marc; Reshetar, Ganna; Karaman, Mustafa (2011). The impact of terrorism on financial markets: an empirical study. Journal of Banking and Finance, 35(2):253-267.

• 2010

  • Chesney, Marc; Weber-Berg, Christoph (2010). Banken ohne moralischen Kompass. UZH magazin: die Wissenschaftszeitschrift:online.

• 2008

  • Chesney, Marc; Gibson, Rajna (2008). Stock options and managers’ incentives to cheat. Review of Derivatives Research, 11(1-2):41-59.

• 2006

  • Chesney, Marc; Gauthier, Laurent (2006). American Parisian Options. Finance and Stochastics, 10(4):475-506.

• 2004

  • Chesney, Marc; Jeanblanc, Monique (2004). Pricing American currency options in an exponential Lévy model. Applied Mathematical Finance, 11(3):207-225.

• 2003

  • Chesney, Marc; Hazari, Bharat R (2003). Illegal Migrants, Tourism and Welfare: A Trade Theoretic Approach. Pacific Economic Review, 8(3):259-268.
  • Botteron, Pascal; Chesney, Marc; Gibson-Asner, Rajna (2003). Analyzing firms' strategic investment decisions in a real options' framework. Journal of international financial markets, institutions & money, 13(5):451-479.
  • Chesney, Marc; Barrieu, Pauline (2003). Optimal Timing to Adopt Environmental Policy in a Strategic Framework. Environmental Modeling & Assessment, 8(3):149-163.
  • Baranzini, Andrea; Chesney, Marc; Morisset, Jacques (2003). The impact of possible climate catastrophes on global warming policy. Energy Policy, 31(8):691-701.

• 2002

  • Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc (2002). Long-term risk management of nuclear waste: a real options approach. Journal of Economic Dynamics and Control, 27(1):157-180.

• 2001

  • Chesney, Marc; Gibson-Asner, Rajna (2001). Reducing asset substitution with warrant and convertible debt issue. The Journal of Derivatives, 9(1):39-52.

• 1999

  • Chesney, Marc; Hazari, Bharat R; Sgro, Pasquale M (1999). Immigration, unemployment and welfare. International Economic Journal, 13(2):59-74.
  • Chesney, M; Gibson-Asner, R (1999). The investment policy and the pricing of equity in a levered firm: a re-examination of the 'contingent claims' valuation approach. The European Journal of Finance, 5(2):95-107.

• 1998

  • Chesney, Marc; Hazari, Bharat (1998). Irrational entry, rational exit. Journal of Mathematical Economics, 29(1):1-13.

• 1997

  • Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc (1997). Brownian excursions and Parisian barrier options. Advances in Applied Probability, 29(1):165-184.

• 1996

  • Chesney, Marc; Eid Júnior, William (1996). Options listing and the volatility of the underling asset: a study on the derivative market function. Revista de administração de empresas, 36(1):28-32.
  • Chesney, Marc; Lefoll, Jean (1996). Predicting premature exercise of an American put on stocks: theory and empirical evidence. The European Journal of Finance, 2(1):21-39.

• 1995

  • Chesney, Marc; Gibson, Rajna; Loubergé, Henri (1995). Arbitrage trading and index option pricing at SOFFEX: an empirical study using daily and intradaily data. Finanzmarkt und Portfolio Management, 9(1):35-60.

• 1993

  • Chesney, Marc; Elliott, Robert J; Madan, Dilip; Yang, Hailiang (1993). Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Mathematical Finance, 3(2):85-99.
  • Chesney, Marc; Gibson, Rajna; Elliott, Robert J (1993). Analytical solutions for the pricing of american bond and yield options. Mathematical Finance, 3(3):277-294.

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