Zvi Wiener
Sanger Family Chair at The Hebrew University of Jerusalem
Schools
- The Hebrew University of Jerusalem
Links
Biography
The Hebrew University of Jerusalem
Education
- Ph.D. The Weizmann Institute of Science, Rehovot, Israel, 1995
Publications
- The Value of Value-at-Risk: A Theoretical Approach to the Pricing and Performance of Risk Measurement Systems, forthcoming in the Journal of Economics and Business
- Bad Days and Good Nights: A re-examination of Non-Traded and Traded Period Returns
- Credit Risk Spreads in Local and Foreign Currencies, International Monetary Fund publications, 09/110, (2009), forthcoming in the Journal of Money, Credit and Banking
- Optimal Recurrence in Dynamic Auctions
- Brokerage Commissions and Institutional Trading Patterns, The Review of Financial Studies, 22:12 (2009), 5175-5212
- 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 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
Videos
Activism, Strategic Trading, and Liquidity
Prof. Zvi Wiener, Dean - The School of Business Administration - The Hebrew University of Jerusalem
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