Marc Chesney

Education

1994 Post Graduates Studies«Habilitation à diriger des recherches» University Paris I Panthéon Sorbonne

1989 Ph. D. in Finance, obtained with distinction, unanimous awarded by the Jury University of Geneva

1986 Diploma in Economics of University of Geneva

1984 Diploma of Advanced Studies in Econometrics DEA University Diderot / Paris VII

1983 Diploma of Advanced Studies in Applied Mathematics DEAUniversity Diderot / Paris VII

1981 Master’s Degree in pure and applied Mathematics University Diderot / Paris VII

1980 Bachelor’s Degree in Mathematics University Diderot / Paris VII

1979 Scientific Undergraduate Diploma DEUG University Diderot / Paris VII

Academic appointments

Professor of Finance, Department of Banking and Finance, University of Zurich from 2003 to present.

Vice Director, Department of Banking and Finance, University of Zurich from 2008 to present

Head of Research Priority Program (RPP): “Finance and Financial Markets” from 2005 to present

Publications

2011 The Impact of Terrorism on Financial Markets: An Empirical Study Co-authors: Ganna Reshetar, Mustafa Karaman Journal of Banking & Finance, Vol. 35, pp. 253-267, 2011

2008 Stock Options and Managers’ Incentives to Cheat Co-author: Rajna Gibson Review of Derivatives Research, Vol. 11, pp. 41 – 59, 2008

2006 American Parisian Options. Co-author: Laurent Gauthier. Finance and Stochastics, Vol. 10, pp. 475-506, 2006

2004 Pricing American Currency Options in an Exponential Lévy Model. Co-author: Monique Jeanblanc. Applied Mathematical Finance, Vol.11, pp. 207 – 225, 2004.

2003 Analyzing Firms’ Strategic Investment Decisions in a Real Options’ Framework. Co-authors: Pascal Botteron, Rajna Gibson. Journal of International Financial Markets, Institutions and Money, Vol.13, pp. 451 – 479, 2003.

2003 Illegal Migrants, Tourism and Welfare: A Trade Theoretic Approach. Co-author: Bharat Hazari. Published in a special issue on tourism and trade: Pacific Economic Journal, Vol. 8, pp. 259 – 268, 2003.

2003 The impact of Possible Climate Catastrophes on Global Warming Policy. Co-authors: Andrea Baranzini, Jacques Morisset, Energy Policy Vol. 31, pp. 691 – 701, 2003.

2003 Optimal Timing to Adopt Environmental Policy in a Strategic Framework. Co-author: Pauline Barrieu, Environmental Modelling & Assessment, Vol. 8(3) pp. 149 – 163, 2003.

2002 Long Term Risk Management of Nuclear Waste: A Real Options Approach. Co-authors: Henri Loubergé, Stéphane Villeneuve. Journal of Economic Dynamics and Control Vol. 27, pp. 157 – 180, 2002.

2001 Options Pricing Put Call Theory, Security Design and Shareholders Risk Incentives. Co-author: Rajna Gibson
Journal of Derivatives 2001.

1999 The Investment Policy and the Pricing of Equity in a Levered Firm: A Re-examination of the Contingent Claims Valuation Approach. Co-author: Rajna Gibson. The European Journal of Finance, 1999.

1999 Immigration, Unemployment and Welfare. Co-authors: Bharat Hazari, Pasquale Sgro. International Economic Journal, 1999.

1998 Irrational Entry, Rational Exit. Co-author: Bharat Hazari. Journal of Mathematical Economics, Vol. 29, pp. 1-13, 1998.

1997 Parisian Options and Excursion Theory. Co-authors: Monique Jeanblanc, Marc Yor. Advances in Applied Probabilities, March 1997.

1997 Parisian Barrier Options. A discussion with: Monique Jeanblanc, Glenn Kentwell and Marc Yor
Risk, January 1997.

1997 Les gestions des risques de change et de taux par les options. Co-author: François Quittard-Pinon
Risques, January 1997

1997 Options et risques induits. Risques, 1997

1996 Predicting Premature Exercise of an American Put on Stocks: Theory and Evidence. Co-author: Jean Lefoll
The European Journal of Finance, July 1996.

1996 Options Listing and the Volatility of the Underlying Asset: A Study on the Derivative Market Function. Co-author: William Eid Junior. Revista de Administraçao de Empresas, Vol. 36(1), Jan./Feb. 1996

1995 State Space Symmetry and a Two Factor Option Pricing Model. Co-author: Rajna Gibson. Advances in Futures and Options Research, November 1995.

1995  Arbitrage Trading and Index Option Trading at Soffex: An Empirical Study using Daily and Intradaily Data, Finanzmarkt und Portfolio Management in 1995. Co-authors: Rajna Gibson, Henri Loubergé.

1993 Diffusion Coefficient Estimation and Asset Pricing when Risk Premia and Sensitivities are Time Varying
Co-authors: Robert J. Elliott, Dilip B. Madan, Hailiang Yang. Mathematical Finance, April 1993.

1993 Analytical Solutions for the Pricing of American Bond and Yield Options. Co-authors: Rajna Gibson, Robert J. Elliott. Mathematical Finance, July 1993.

1990 Relations triangulaires entre valeurs d’options sur devises. (Triangular Relationships for Options Values) Finance, December 1990.

1989 Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model. Co-author: Louis Scott. Journal of Financial and Quantitative Analysis, September 1989.

1989 European Currency Options: The Effects of Volatility Changes. Co-author: Louis Scott. Finanzmarkt und Portfolio Management, Vol. 3, No 4, 1989.

1988 Les options sur devises: Une revue des modèles théoriques et des travaux empiriques. Co-author: Henri Loubergé. Finance, Vol. 9, December 1988.

1987 The Pricing of European Currency Options: Empirical Tests Based on Swiss Data. Co-author: Henri Loubergé
Aussenwirtschaft, summer 1987.

1987 Prix d’équilibre et efficience sur le marché suisse des options sur devises: Analyse théorique et tests empiriques. Finance, Vol. 7, January 1987.

1984 Risk Aversion and the Composition of Wealth in the Demand for Full Insurance Coverage. Co-author: Henri Loubergé. Schweiz Zeitschrift für Volkswirtschaft und Statistik, Vol. 122, Sept. 1986.

Books

2009 Mathematical Methods for Financial Markets. Co-authors: Marc Yor, Monique Jeanblanc. Springer Verlag.

2004 Blanchiment et Financement du Terrorisme. Co-authors: Ludovic François, Pascal Chaigneau. Published by: Ellipses, Paris 2004.

2001 El Manejo del riesgo de cambio: Las opciones sobre devisas. Co-authors: Michael B. Marois, Fausto-Hernádez Trillo and Rafal Wojakowski. Published by: Edition Limusa, Mexico.

1995 Les options de change, évaluation et utilisation. (Currency Options: Valuation and Hedging of Standard and Exotic Options). Co-authors: Michael B. Marois, Rafal Wojakowski. Published by: Economica.

1992 Les options de change (Currency Options). Co-author: Henri Loubergé. Que sais-je?, P.U.F. Published by: Economica.

Other Publications

2010 Enseignement de la finance: la crise a-t-elle eu lieu? Published by: Le Temps, October 2010.

2010 Wie sich Lebensversicherungsverträge in Wetten auf den Tod wandeln. Published by: Der Schweizer Treuhänder, October 2010.

2010 Les Paris sur la mort, le jeu dangereux des banques. Published by: Le Temps, Januar 2010.

2009 De l’inefficacité des modèles économiques en temps de crise. Published by: Le Temps, October 2009.