User profiles for Zvi Wiener
Zvi WienerThe Hebrew University of Jerusalem Verified email at mail.huji.ac.il Cited by 1915 |
Brokerage commissions and institutional trading patterns
The institutional brokerage industry faces an ever-increasing pressure to lower trading costs,
which has already driven down average commissions and shifted volume toward low-cost …
which has already driven down average commissions and shifted volume toward low-cost …
General properties of option prices
When the underlying price process is a one‐dimensional diffusion, as well as in certain
restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and …
restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and …
Stochastic dominance and prospect dominance with subjective weighting functions
Laboratory experiments with and without real money repeatedly reveal that even if all subjects
observe the same pair of cumulative distributions F and G, they act as if they were other …
observe the same pair of cumulative distributions F and G, they act as if they were other …
Analytic pricing of employee stock options
We introduce a model that captures the main properties that characterize employee stock
options (ESO). We discuss the likelihood of early voluntary ESO exercise, and the obligation to …
options (ESO). We discuss the likelihood of early voluntary ESO exercise, and the obligation to …
[PDF][PDF] Value-at-risk (VaR)
S Benninga, Z Wiener - matrix, 1998 - simonbenninga.com
… Zvi Wiener is assistant professor of finance at the business school of the Hebrew University
of Jerusalem. His finance research concentrates on the pricing of derivative securities, Value-…
of Jerusalem. His finance research concentrates on the pricing of derivative securities, Value-…
Liquidation triggers and the valuation of equity and debt
Many bankruptcy codes implicitly or explicitly contain net-worth covenants, which provide the
firm’s bondholders with the right to force reorganization or liquidation if the value of the firm …
firm’s bondholders with the right to force reorganization or liquidation if the value of the firm …
Introduction to VaR (value-at-risk)
Z Wiener - Risk Management and Regulation in Banking …, 1999 - Springer
Modern financial theory is based on several important principles, two of which are no-arbitrage
and risk aversion. The single major source of profit is risk. The expected return depends …
and risk aversion. The single major source of profit is risk. The expected return depends …
Prospect theory and utility theory: Temporary versus permanent attitude toward risk
Prospect theory (PT), which relies on subjects’ behavior as observed in laboratory experiments,
contradicts the behavior predicted by the Expected Utility (EU) paradigm. Having wealth …
contradicts the behavior predicted by the Expected Utility (EU) paradigm. Having wealth …
The exclamation mark of Cain: Risk salience and mutual fund flows
We study a regulation that increased mutual funds’ risk salience through name change.
Using daily fund flow data and several identification strategies, we find that requiring certain …
Using daily fund flow data and several identification strategies, we find that requiring certain …
On the use of numeraires in option pricing
In this paper we discuss the significant computational simplification that occurs when option
pricing is approached through the change of numeraire technique. The original impetus was …
pricing is approached through the change of numeraire technique. The original impetus was …