Zvi Wiener

Research

• Bad Days and Good Nights: A re-examination of Non-Traded and Traded Period Returns

• Credit Risk Spreads in Local and Foreign Currencies, International Monetray Fund publications, 09/110, (2009)

• Optimal Recurrence in Dynamic Auctions

• Brokerage Commissions and Institutional Trading Patterns, forthcoming in The Review of Financial Studies.

• Solvency II and the Solvency Capital Requiremnts for Insurance Firms in Israel, Israel Economic Review, 5:2, (2008), 33-53

• Stakeholders and the composition of the voting rights of the board of directors, Journal of Corporate Finance, 14:2, (2008), 107-117

• Analytic pricing of the ESO, The Review of Financial Studies, 21:2, (2008), 683-724. For a simple implementation of the analytical formulas for ESO, click here

• Liquidation Triggers and Valuation of Debt and Equity, the Journal of Banking and Finance, 36:12, (2007), 3604-3620

• The Estimation of Nominal and Real Yield Curves from Government Bonds, the Journal of Risk Finance, 7:5, (2006), 488-502

• The Domestic Elasticity of Default-Free Foreign Bonds, the Journal of Applied Finance, 16:2, (2006), 174-182

• Earnings Management

• Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models, Review of Derivatives Research, 7, (2004), 213-239

• Bargaining with an agenda, Games and Economic Behavior, 48:1, (2004), 139-153

• Government support of Investments, Financial Management, 32:3, (2003), 33-50

• On the Use of Numeraires in Option Pricing, Journal of Derivatives, 10:2, (2002), 43-58; working paper

• Integrating Pension Funds into the capital Market: A Proposal to Guarantee Returns Using Market Instruments, The Economic Quarterly, 50:1, (2003), 162-189, in English.

• Differences Between Forward and Futures Prices, International Financial Markets, Institutions and Money, 10:2, (2000), 151-161

• Algorithms behind Term Structure Models of Interest Rates II. The Hull-White Trinomial Tree of Interest Rates

• Algorithms behind Term Structure Models of Interest Rates I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

• The Value of the Freezeout Option

• Value-at-Risk as a risk management tool in Israel, Banking Review, 7 (1999), 61-87

• Comment on Non-Linear Value-at-Risk, European Finance Review, 2:2 (1999)

• An Investigation of the Cheapest to Deliver on Treasury Bond Futures Contracts, The Journal of Computational Finance, 2:3, (1999)

• Introduction to VaR, Risk Management and Regulation in Banking, Kluwer, 1999, 47-63

• The Analysis of Deltas, State Prices and VAR: A New Approach

• Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions, Journal of Risk and Uncertainty, 16:2 (1998), 147-163

• Prospect Theory and Utility Theory: Temporary and Permanent Attitude Toward Risk

• Value-at-Risk (VaR), Mathematica in Education and Research, 7:4, (1998), 39-45

• Binomial Term Structure Models, Mathematica in Education and Research, 7:3, (1998), 11-19

• Term Structure of Interest Rates, Mathematica in Education and Research, 7:2, (1998), 13-22

• Dynamic Hedging Strategies, Mathematica in Education and Research, 7:1, (1998), 12-16

• Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options, Mathematica in Education and Research, 6:4, (1997), 11-14

• The Binomial Option Pricing Model, Mathematica in Education and Research, 6:3, (1997), 27-34

• An interesting matrix exponent formula, Linear Algebra and its Applications, 257 (1997), 307-310

• General Properties of Option Prices, The Journal of Finance, 51:5, (1996), 1573-1610

• From formal numerical solutions of elliptic PDE's to the true ones, Mathematics of Computation 69:229, (2000), 197-235

• Instability with two zero frequencies, Journal of Differential Equations, 103:1, (1993), 58-68

• Instability of a non-isolated equilibrium, Archive for Rational Mechanics and Analysis, 116, (1991), 301-305

• Mechanism of Instability of an Equilibrium of Natural Systems, Functional Analysis and Applications, 23:1, (1989), 55-57

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