The Economics of Over-the-Counter Markets

News
Research

Prof. Julien Hugonnier has published a new book at Princeton University Press entitled "The Economics of Over-the-Counter Markets: A Toolkit for the Analysis of Decentralized Exchange". It is a comprehensive book that delves into the intricate workings of over-the-counter (OTC) markets, which are prevalent in the trading of corporate and government bonds, as well as many financial derivatives. Authored by leading researchers, the book offers a unified theoretical framework that examines the economic mechanisms driving these markets. It provides valuable insights and analytical tools for regulators, market participants, graduate students, and researchers to better understand and navigate the complexities of decentralized exchanges.

Ambiguity's Role in Global Currency Hedging and Portfolio Stability

23.01.25NewsResearch

The paper written by Dr. Urban Ulrych and co-author Nikola Vasiljević has been published in the Journal of Banking & Finance. It explores optimal currency allocation for international investors who are both risk- and ambiguity-averse, using a robust mean–variance model that incorporates smooth ambiguity preferences. The findings show that accounting for ambiguity increases hedging demand, reduces estimation bias, and improves portfolio stability, as demonstrated through empirical analysis and out-of-sample backtesting.

MFE Student Awarded Prestigious Master Excellence Fellowship 2024

12.12.24NewsEPFL

Ghina Saleh, master student in Financial Engineering received the 2024 Master Excellence Fellowship from Squarepoint Capital.

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The Swiss Finance Institute @ EPFL has been created to foster research in finance and to develop a strong offering of programs in finance and financial engineering at the Ecole Polytechnique Fédérale de Lausanne. The focus is on the areas within finance that have a natural interaction with mathematics, statistics, engineering, and science, namely, mathematical finance, financial econometrics, and entrepreneurial finance.

SFI teaching programs

The Swiss Finance Institute @ EPFL participates in serveral teaching programs:

The Master in Financial Engineering at EPFL, which is a highly selective 2-year master program
The Minor in Financial Engineering
The Doctoral Program in Finance, which is organized jointly with the Swiss Finance Institute and the Universities of Geneva and Lausanne.
Executive Education: A short course “Leading with Technology in Finance”

Fields of Competences

Asset pricing
Corporate finance and governance
Financial engineering
Financial technology
International finance
Risk management
Sustainable finance

Support

The Swiss Finance Institute @ EPFL benefits from the institutional support of the Swiss Finance Institute, a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities, and from Swissquote, who endowed the Swissquote Chair in Quantitative Finance.