Archives for CORE

During the past decade, both academics and policymakers have recognised the importance of studying interconnectedness and complexity. The objective of our winter school and the associated events over this full week of events is to assess recent progress made in the application of networks for...

Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps Damiano BRIGO, Imperial College Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the...

Does Higher Productivity Dispersion Imply Greater Misallocation? A Theoretical and Empirical Analysis John Earle (Central European University) (Joint paper with J.David Brown and Emin Dinlersoz) Recent research maintains that the observed variation in productivity within industries...

Semidefinite Approximations of Matrix Logarithm Hamza FAWZI, Massachusetts Institute of Technology (Joint work with James Saunderson (Monash University) and Pablo Parrilo (MIT)) We propose a new way to treat the exponential/relative entropy cone using symmetric cone solvers. Our...