Asset pricing, portfolio theory, option theory, yield curve

Sandro Lera, Matthias Leiss and Didier Sornette
Currency target zones as mirrored options,
The Journal of Derivatives 26 (3), 53-67 (2019)
external page(http://ssrn.com/abstract=2969663)

Sandro Lera and Didier Sornette, Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015, Journal of International Money and Finance 63, 28-47 (2016) Swiss Finance Institute Research Paper No. 15-22. Available at SSRN: external pagehttp://ssrn.com/abstract=2634425Link: external pagehttp://www.sciencedirect.com/science/article/pii/S0261560616000115

Diego Ardila-Alvarez, Zalan Forro and Didier Sornette. The Acceleration effect and Gamma factor in Asset Pricing, Journal of Finance (submitted 7 Aug. 2015) Swiss Finance Institute Research Paper No. 15-30. Available at SSRN: external pagehttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2645882

Sandro Lera and Didier Sornette, Currency target zone modelling: An interplay between physics and economics, Physical Review E 92, 062828 (2015) Swiss Finance Institute Research Paper No. 15-33.
Available at SSRN: external pagehttp://ssrn.com/abstract=2648134(external pagehttp://arxiv.org/abs/1508.04754)

A. Huesler, Y. Malevergne and D. Sornette, Investors' expectations, management fees and the underperformance of Mutual Funds, International Journal of Portfolio Analysis & Management 1 (4), 345-379 (2014) external page(http://ssrn.com/abstract=1998823)

Zalan Forro, Peter Cauwels and Didier Sornette, When games meet reality: is Zynga overvalued? external pageJournal of Investment Strategies 1 (3), 119-145 (2012) first version of 26 December 2011: Valuation of Zynga (2011) (external pagehttp://arxiv.org/abs/1112.6024) external page(http://arxiv.org/abs/1204.0350: final version 3 April 2012) (SSRN preprint external pagehttp://ssrn.com/abstract=2191602)

Peter Cauwels and Didier Sornette, Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics, Journal of Portfolio Management 38 (2), 56-66 (2012) (external pagehttp://arxiv.org/abs/1110.1319 and external pagehttp://ssrn.com/abstract=2191556) Update at https://www.ethz.ch/content/dam/ethz/special-interest/mtec/chair-of-entrepreneurial-risks-dam/documents/FacebookIPOupdated_valuation_and_user_forecastingMay2012.pdf

Ryohei Hisano and Dider Sornette, Predicted and verified evolution of power-law exponent in product market, submitted to the Proceedings of the National Academy of Sciences USA
external page(http://arxiv.org/abs/1101.5888)

Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann, DownloadRobust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM (PDF, 1.5 MB), Journal of Portfolio Management 37 (4), 76-85 (2011)
DOI: 10.3905/jpm.2011.37.4.076 external page(http://ssrn.com/abstract=1753014)

Y. Malevergne, A. Saichev and D. Sornette, Zipf's law and maximum sustainable growth, Journal of Economic Dynamics and Control 37 (6), 1195-1212 (2013) external page(http://ssrn.com/abstract=1083962 and external pagehttp://arxiv.org/abs/1012.0199)

Yannick Malevergne, Pedro Santa-Clara and Didier Sornette, Professor Zipf Goes to Wall Street (2009)
external page(http://ssrn.com/abstract=1458280)

S. Hu, Y. Malevergne and D. Sornette, Investor's Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
external page(http://ssrn.com/abstract=1346935)

Gilles Daniel, Didier Sornette and Peter Wohrman, Look-Ahead Benchmark Bias in Portfolio Performance Evaluation, Journal of Portfolio Management 36 (1), 121-130 (Fall 2009)
external page(http://arXiv.org/abs/0810.1922) and external page(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1289222), Swiss Finance Institute Research Paper Nr. 08-33

Y. Malevergne and D. Sornette, A Two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes, preprint (2007)
external page(http://papers.ssrn.com/sol3/papers-cfm?abstract_id=960002)

Y. Malevergne and D. Sornette, Self-Consistent Asset Pricing Models, Physica A 382, 149-171 (2007) (large version with 6 appendices for the Proceedings of the 5th International Conference APFS (Applictions of Physics in Financial Analysis), June 29 - July 1, 2006, Torino)
external page(http://arxiv.org/abs/physics/0608284)

Y. Malevergne and D. Sornette, Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets, In Multi-moment Asset Allocation and Pricing Models, B. Maillet and E. Jurczenko eds., Wiley & Sons, pp. 165-193 (2006)
external page(http://arXiv.org/abs/cond-mat/0207475) and external page(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=319544)

R. Crane, J. Escobar and D. Sornette, The Donation-Payment Gift Card Concept: how to give twice with one card, submitted to the The Economists' Voice, The Berkeley Electronic Press (2005)
external page(http://arxiv.org/abs/physics/0510068)

Y. Malevergne and D. Sornette, Higher-Moment Portfolio Theory (Capitalizing on Behavioral Anomalies of Stock Markets), Journal of Portfolio Management 31 (4), 49-55 (2005)

Y. Malevergne and D. Sornette, High-Order Moments and Cumulants of Multivariate Weibull Asset Returns Distributions: Analytical Theory and Empirical Tests: II, Finance Letters 3 (1), 54-63 (2004)
external page(http://ssrn.com/abstract=714185)

Y. Malevergne and D. Sornette, Multivariate Weibull Distributions for Asset Returns: I, Finance Letters 2 (6), 16-32 (2004)
external page(http://ssrn.com/abstract=714161)

Y. Malevergne and D. Sornette, How to account for extreme co-movements between individual stocks and the market, The Journal of Risk 6 (3), 71-116 (2004)
external page(http://arXiv.org/abs/cond-mat/0202356) and external page(http://www.ssrn.com/link/econometrics.html)

Y. Malevergne and D. Sornette, VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions, Quantitative Finance 4 (1), 17-36 (2003)
external page(http://arXiv.org/abs/physics/0301009)

Y. Malevergne and D. Sornette, Testing the Gaussian copula hypothesis for financial assets dependences, Quantitative Finance, 3, 231-250 (2003)
external page(http://arXiv.org/abs/cond-mat/0202356) and external page(http://www.ssrn.com/link/econometrics.html)

J.V. Andersen, Y. Malevergne and D. Sornette, Comprendre et gerer les risques grands et extremes, Risques 49, 105-110 (2002)

Y. Malevergne and D. Sornette, Minimizing Extremes, RISK, November issue, 129-133 (2002)
external page(http://www.risk.net) and external page(http://arXiv.org/abs/cond-mat/0205636)

Y. Malevergne and D. Sornette, Investigating Extreme Dependences: Concepts and Tools, (2002), unpublished and extended into the book "Extreme financial risks"
external page(http://arXiv.org/abs/cond-mat/0203166) and external page(http://papers.ssrn.com/paper.taf?abstract_id=303465)

D. Sornette, "Slimming" of power law tails by increasing market returns, Physica A 309, 403-418 (2002)
external page(http://arXiv.org/abs/cond-mat/0010112)

D. Sornette, Economy of scales in R&D with block-busters, Quantitative Finance 2, 224-227 (2002)
external page(http://arXiv.org/abs/cond-mat/0001434)

Malevergne, Y. and Sornette D., General framework for a portfolio theory with non-Gaussian risks and non-linear correlations, paper presented at the 18th INTERNATIONAL CONFERENCE IN FINANCE , 26, 27 & 28 JUNE 2001 NAMUR - Belgium
(e-print at external pagehttp://arXiv.org/abs/cond-mat/0103020)

D. Sornette, Fokker-Planck equation of distributions of financial returns and power laws, Physica A 290 (1-2), 211-217 (2001)
external page(http://arXiv.org/abs/cond-mat/0011088)

J.V. Andersen and D. Sornette, Have your cake and eat it too: increasing returns while lowering large risks! Journal of Risk
Finance 2 (3), 70-82 (2001)
external page(http://xxx.lanl.gov/abs/cond-mat/9907217)

P. Santa-Clara and D. Sornette, The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks, The Review of Financial Studies 14(1), 149-185 (2001)
external page(http://xxx.lanl.gov/abs/cond-mat/9801321)

D. Sornette, P. Simonetti and J. V. Andersen, phi^q-field theory for Portfolio optimization: ``fat tails'' and non-linear correlations, Physics Report 335 (2), 19-92 (2000)
external page(http://xxx.lanl.gov/abs/cond-mat/9903203)

D. Sornette, J. V. Andersen and P. Simonetti, Portfolio Theory for ``Fat Tails'', International Journal of Theoretical and Applied Finance 3 (3), 523-535 (2000)
external page(http://xxx.lanl.gov/abs/cond-mat/9811292)

Didier Sornette and Daniel Zajdenweber, The economic return of research: the Pareto law and its implications, European Physical Journal B, 8 (4), 653-664 (1999)
external page(http://xxx.lanl.gov/abs/cond-mat/9809366)

D. Sornette, "String" formulation of the Dynamics of the Forward Interest Rate Curve, European Physical Journal B 3, 125-137 (1998)
external page(http://xxx.lanl.gov/abs/cond-mat/9802136)

D. Sornette, Large deviations and portfolio optimization, Physica A 256, 251-283 (1998)
external page(http://xxx.lanl.gov/abs/cond-mat/9802059)

J.-P. Bouchaud, D. Sornette, C. Walter and J.-P. Aguilar, Taming large events : Optimal portfolio theory for strongly fluctuating assets, International Journal of Theoretical and Applied Finance 1, 25-41 (1998)

J.-P. Bouchaud, D. Sornette and M. Potters, Option pricing in the presence of extreme fluctuations, in Mathematics of Derivative Securities, edited by MA.H. Dempster and S.R. Pliska, Cambridge University Press 1997, pp. 112-125

J.-P. Bouchaud and D. Sornette, Physics Today, p.91-92, July (1996); reply to O. Cheyette and R.N. Kahn, Derivatives trading again: Finance pros take on physicists, Physics Today, p.90-91, July (1996)

J.-P. Bouchaud, G. Iori and D. Sornette, Real-world options, Risk 9 (3), 61-65, March (1996)
external page(http://xxx.lanl.gov/abs/cond-mat/9509095)

J.-P. Bouchaud and D. Sornette, Derivatives trading: Physicists favor less complex and risky theory, Physics Today, March (1996), p.15

J.-P. Bouchaud and D. Sornette, Reply to Mikheev's comment on the Black-Scholes pricing problem, J.Phys.I France 5, 219-220 (1995)

J.-P. Bouchaud and D. Sornette, The Black-Scholes option pricing problem in mathematical finance : Generalization and extensions for a large class of stochastic processes, J.Phys.I France 4, 863-881 (1994)