Activity Report 2008-9 [PDF] - Swiss Finance Institute

2008 and Forthcoming Publications in AcademicJournals and Books by SFI ResearchersPhilippe BacchettaHigher Order Expectations inAsset Pricing, with E. van Wincoop,Journal of Money, Credit, and Banking,vol. 40, pp 837-866, 2008.Predictability in Financial Markets:What Do Survey Expectations TellUs?, with E. Mertens and E. vanWincoop, Journal of InternationalMoney and Finance, forthcoming.Exchange Rate Volatility andProductivity Growth: The Roleof Financial Development, withPh. Aghion, R. Rancière and K.Rogoff, Journal of Monetary Economics,forthcoming.Giovanni Barone-AdesiBarrier Option Pricing UsingAdjusted Transition Probabilities,with N. Fusari and J. Theal, Journalof Derivatives, vol.16 (2), pp 36-53,2008. Book chapters.The Design of New Security Markets,Risk Management in CommodityMarkets, Chapter 4, Wiley,forthcoming.The World Oil Market, withC. Bärlocher, Encyclopedia ofQuantitative Finance, Wiley,forthcoming.Tony BerradaBounded Rationality and Asset Pricingwith Intermediate Consumption,Review of Finance, forthcoming.Peter BossaertsEquilibrium Asset Pricing UnderHeterogeneous Information, withB. Biais and Ch. Spatt, Review ofFinancial Studies, forthcoming.Modeling Price Pressure in FinancialMarkets, with E. Asparouhova,Journal of Economic Behavior andOrganization, forthcoming.From Market Jaws to the Newton Method:The Geometry of How a MarketCan Solve Systems of Equations, withCharles R. Plott, Handbook ofExperimental Economics Results,Charles Plott and Vernon L. Smith,eds. 2008, Amsterdam: North-Holland.Risk Aversion in Laboratory AssetMarkets, with W. Zame, Risk Aversionin Experiments, Ed. J. Coxand G. Harrison, volume 12, 2008,Greenwich. CT: JAI Press, Researchin Experimental Economics.Promoting Intellectual Discovery:Patents vs. Markets, with J. Copicand D.Meloso, Science, forthcoming.Contributions of FunctionalNeuroimaging, with J. O’Doherty,Current Directions in PsychologicalScience (Special Issue on The InterfaceBetween Neuroscience and PsychologicalScience), vol. 17, 2008.Human Insula Activation ReflectsRisk Predictions Errors As WellAs Risk, with K. Preuschoff and S.Quartz, Journal of Neuroscience, vol.28, pp 2745-2752, 2008.Markowitz in the Brain?, with K.Preuschoff and S. Quartz, Revued’Economie Politique, pp 75-96, 2008.Investigating Signal Integrationwith Canonical Correlation Analysisof fMRI Brain Activation Data,with A. Bruguier, K. Preuschoff andS. Quartz, NeuroImage, vol. 41, pp35-44, 2008.Neural Correlates of Mentalizing-Related Computations DuringStrategic Interactions in Humans,with A. Hampton and J. O’Doherty,Proceedings of the National Academyof Sciences, vol. 105, pp 6741-6746,2008.The Neurobiological Foundations ofValuation in Human Decision Makingunder Uncertainty, with M. Hsu andK. Preuschoff, Neuroeconomics:Decision Making and the Brain,Ed. P.W. Glimcher, C.F. Camerer,E. Fehr, R.A. Poldrack, New York:Academic Press, forthcoming.Neurobiological Studies of RiskAssessment: A Comparison of ExpectedUtility and Mean-VarianceApproaches, with M. d’Acremont,Journal of Cognitive, Affective andBehavioral Neuroscience, vol. 8(4),pp 363-374, 2008.Neural Coding of OutcomeUncertainty, with W. Schultz,K. Preuschoff, C. Camerer, M. Hsu,C.D. Fiorillo, and P. Tobler, PhilosophicalTransactions of the Royal SocietyB: Biological Sciences, 2008.Predicting Risk in a Multiple Simulus- Multiple Reward Environment,with M. d‘Acremont and M. Gilli,Reward And Decision Making, ed. J.C.Dreher and L. Tremblay, Elsevier,forthcoming.Marc ChesneyStock Options and Manager’sIncentives to cheat, with R. Gibson,The Review of Derivatives Research,vol. 11, 2008.Mathematical Methods for FinancialMarkets, with M. Jeanblanc and M.Yor, Springer Verlag, forthcoming.Jean-Pierre DanthineDistribution Risk and EquityReturns, with J.B. Donaldson andP. Siconolfi, in The Handbook of theEquity Risk Premium, R. Mehra, ed.,2008, North Holland Handbooks ofFinance Series, Elsevier, Amsterdam.Enrico De GiorgiThe -Beauty Contest: Choosing26