Semyon Malamud

Swiss Finance Institute Associate Professor at EPFL

Research Fellow Center for Economic Policy Research

Email: semyon.malamud [at] epfl.ch
Phone: +41 21 693 0137
Fax: +41 21 693 0110
Postal: Swiss Finance Institute @ EPFL
Quartier UNIL-Dorigny, Extranef 213
CH – 1015 Lausanne, Switzerland 

Link to a recent Curriculum Vitae

Publications in Financial Economics

Liquidity, Innovation, and Endogenous Growth,
with Francesca Zucchi,
forthcoming in the Journal of Financial Economics

Decentralized Exchage,
with Marzena Rostek, 
American Economic Review, 2017, 107(11), 3320-3362.

Non-Myopic Betas,
with Grigory Vilkov, 
forthcoming in the Journal of Financial Economics.

Capital Supply Uncertainty, Cash Holdings, and Investment,
with Julien Hugonnier and Erwan Morellec, 
Review of Financial Studies, 2015, 28(2), 391-445.

Credit Market Frictions and Capital Structure Dynamics,
with Julien Hugonnier and Erwan Morellec, 
Journal of Economic Theory, 2015, 157, 1130-1158

Information Percolation in Segmented Markets,
with Darrell Duffie and Gustavo Manso,
Journal of Economic Theory, 2014, 153, 1-32

Optimal Incentives and Securitization of Defaultable Assets, 
with Huaxia Rui and Andrew Whinston,  
Journal of Financial Economics, 2013, 107(1), 111-135

Endogenous Completeness of Diffusion Driven Equilibrium Markets,
with Julien Hugonnier and Eugene Trubowitz,
Econometrica, 2012, 80, 1249-1270

Financial Markets Equilibrium with Heterogenous Agents,
with Jaksa Cvitanic, Elyes Jouini and Clotilde Napp,
Review of Finance, 2012, 16(1), 285-321

Price Impact and Portfolio Impact,
with Jaksa Cvitanic
Journal of Financial Economics, 2011, 100(1), 201-225

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation,
with Darrell Duffie and Gustavo Manso,
Journal of Economic Theory, 2010, 145(4), 1574-1601

Information Percolation with Equilibrium Search Dynamics,
with Darrell Duffie and Gustavo Manso,
Econometrica, 2009, 77, 1513-1574

Publications in Mathematical Finance

Optimal Reinsurance with Multiple Tranches, 
with Huaxia Rui and Andrew Whinston,
forthcoming in the Journal of Mathematical Economics

Non-myopic Optimal Portfolios in Viable Markets, 
with Jaksa Cvitanic,
Mathematics and Financial Economics, 2014, 8(1), 71-108

Indifference Pricing for Power Utilities, 
with Eugene Trubowitz and Mario Wuethrich,
Mathematics and Financial Economics, 2013, 7(3), 247-280

Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation,
with Christoph Frei and Martin Schweizer,
Probability Theory and Related Fields, 2011, 150, 219-255

Relative Extinction of Heterogeneous Agents, 
with Jaksa Cvitanic,
B. E. Journal of Theoretical Economics, 2010, 10(1)

Market Consistent Pricing of Insurance Products, 
with Eugene Trubowitz and Mario Wuethrich,
Astin Bulletin, 2008, 38(2), 483-526

Universal Bounds for Asset Prices in Heterogenous Economies, 
Finance and Stochastics, 2008, 12, 411-422

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogenous Equilibria, 
Finance and Stochastics, 2008, 12, 245-264

The Structure of Optimal Consumption Streams in General Incomplete Markets, 
with Eugene Trubowitz,
Mathematics and Financial Economics, 2007, 1, 129-161

Working Papers

Dominant Currency Debt, 
joint with Egemen Eren

An Intermediation-Based Model of Exchange Rates, 
joint with Andreas Schrimpf

Asset Pricing with Large Investors, 
joint with Alberto Teguia

Intermediation Markups and Monetary Policy Passthrough, 
joint with Andreas Schrimpf

Managing Inventory with Proportional Transaction Costs,
with Floran Gallien, Serge Kassibrakis, and Filippo Passerini

A Dynamic Equilibrium Model of ETFs  
Noisy Arrow-Debreu Equilibria 

Concavity of the Consumption Function with Recursive Preferences 
Portfolio Delegation and Market Efficiency, 
with Evgeny Petrov

Portfolio Selection with Options