2018 Zurich Workshop on Asset Pricing (ZWAP)

2018 Zurich Workshop on Asset Pricing (ZWAP)

On 25-26 January 2018, the Zurich Center for Computational Financial Economics hosts a two-day workshop on recent advances in theoretical and empirical asset pricing as well as computational methods for finance.


Christian Schlag (Frankfurt)
Daniel Andrei (UCLA)
Dongho Song (Boston)
Hening Liu (Manchester)
Jaroslav Borovička (NYU)
Malte Schumacher (Zurich)
Michael Hasler (Toronto)
Michael Weber (Chicago)
Frederik Middelhoff (stand-in for Nicole Branger, Münster)
Ole Wilms (Tilburg)
Pierre Collin-Dufresne (Lausanne

Conference venue: Room RAA-E-30
Workshopraum (TN48) 


Thursday 25th of January

13:30-14:15 1-Michael Weber: Dissecting Characteristics Nonparametrically
14:15-15:00 2-Hening Liu: Does Smooth Ambiguity Matter for Asset Pricing?
15:00-15.30 Coffee Break
15:30-16:15 3-Jaroslav Borovička: Discount Rates and Employment Fluctuations
16:15-17:00 4-Christian Schlag: Implied Volatility Duration and the Early Resolution Premium
17:00-17:30 Coffee Break
17:30-18:15 5-Michael Hasler: Asset Pricing with Persistence Risk
18:15-19:00 Apéro
19:00  Dinner at the Uniturm, see http://www.mensa.uzh.ch/de/standorte/restaurant-uniturm.html

Friday 26th of January

09:00-09:45 6-Ole Wilms: Asset Pricing with Heterogeneous Agents and Long-Run Risk
09:45-10:30 7-Frederik Middelhoff: Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns
10:30-11:00 Coffee Break
11:00-11:45 8-Dongho Song: News-Driven Uncertainty Fluctuations
11:45-12:30 9-Pierre Collin-Dufresne: Liquidity Regimes and Optimal Dynamic Asset Allocation
12:30-13:30 Lunch with the Speakers
13:30-14:15 10-Daniel Andrei: Learning and the Improving Relationship between Investment and q
14:15-15:00 11-Malte Schumacher: Downside Risks and the Price of Variance Uncertainty