Grzegorz Andruszkiewicz

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

786

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Taming Animal Spirits: Risk Management with Behavioural Factors

Number of pages: 23 Posted: 12 Apr 2012
Mark Davis, Sebastien Lleo and Grzegorz Andruszkiewicz
Imperial College London, NEOMA Business School and Imperial College London
Downloads 489 (68,898)
Citation 1

Abstract:

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collateralized loans, animal spirits, confidence indices, market-consistent valuation, numeraire portfolio, structural credit risk models

2.

Animal Spirits and Value at Risk Estimation

Number of pages: 25 Posted: 18 Apr 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 101 (310,165)
Citation 1

Abstract:

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animal spirits, behavioural finance, value at risk, hidden Markov models, estimation

3.

Risk-Sensitive Investment in a Market with Animal Spirits

Number of pages: 24 Posted: 05 Aug 2014
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Imperial College London, Imperial College London and NEOMA Business School
Downloads 98 (316,218)

Abstract:

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jump-diffusion processes, Markov chains, piecewise deterministic process, risk-sensitive control, animal spirits, fund separation result, Kelly strategies.

4.

Noise, Risk Premium, and Bubble

Number of pages: 14 Posted: 22 Feb 2011
Grzegorz Andruszkiewicz and Dorje C. Brody
Imperial College London and Brunel University London - School of Information Systems, Computing and Mathematics
Downloads 98 (316,218)
Citation 1

Abstract:

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Pricing Kernel, Market Information, Noise, Risk Premium, Financial Bubble