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Dr Jean-Pierre Zigrand
Page contents > Research interests | Recent publications | Teaching | Lectures/classes | Other web pages | Contact information
Research interests
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General equilibrium asset pricing
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Financial intermediation and delegation
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Continuous time asset pricing
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Market crashes
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Foundations of arbitrage
Recent publications
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with Rohit Rahi, 'Strategic Financial Innovation in Segmented Markets', forthcoming, Review of Financial Studies
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with J Danielsson, 'Equilibrium Asset Pricing with Systemic Risk', forthcoming, Economic Theory
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with J Danielsson, 'Regulating Hedge Funds', Banque de France Financial Stability Reviews - Special Issue on Hedge Funds, No. 10, April 2007
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with J Danielsson, 'On Time-Scaling of Risk and the Square-Root-of-Time Rule', Journal of Banking and Finance, Vol.30, pp 2701-2713, 2006
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'Endogenous Market Integrating, Manipulation and Limits to Arbitrage', Journal of Mathematical Economics, Vol. 42, pp 301-314, 2006
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with J Danielsson and Ashley Taylor, 'Highwaymen or Heroes: Should Hedge Funds be Regulated? A Survey', Journal of Financial Stability, Vol.1, pp 522-543, 2005
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'Rational Asset Pricing from Realistic Trading Frictions', Journal of Business, Vol. 78, pp 871-892, 2005
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with J Danielsson and HS Shin, 'The Impact of Risk Regulation on Price Dynamics', Journal of Banking and Finance, Vol.28 pp 1069-1087, 2004
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'A General Equilibrium Analysis of Strategic Arbitrage', Journal of Mathematical Economics Vol. 40(8), pp 923-952, 2004
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'Physics of Finance', Frascati Physics Series 17 Issue, 2000
Teaching
Lectures/classes
Other web pages
Contact information
Room OLD 4.22
Department of Finance
London School of Economics
Houghton Street
London WC2A 2AE
Phone: +44 (0)20 7955 6201
Fax: +44 (0)20 7849 4647
Email: j.p.zigrand at lse.ac.uk
Administrative Contact
Lewis Ahlquist, l.p.ahlquist@lse.ac.uk|
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