Johan Walden - Research
Finance
Asset pricing
Heavy-tailed risks
Networks in capital markets
Insurance
Reseach Interests
The Limits of Diversification When Losses May Be Large (with Rustam Ibragimov), Journal of Banking and Finance, 2007,31(8), 2551-2569.
Publications
Working
papers
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Research
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Johan Walden
Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008, 42(2), 594-599.
Optimal Bundling Strategies under Heavy Tailed Valuations (with Rustam Ibragimov), Management Science, 2010, 56(11), 1963-1976.
Nondiversification Traps in Catastrophe Insurance Markets (with Dwight Jaffee and Rustam Ibragimov), Review of Financial Studies, 2009, 22(3), 959-993.
Investor Networks in the Stock Market, (with Han Ozsoylev, Deniz Yavuz and Recep Bildik), Review of Financial Studies, 2014, 27(5), 1323-1366.
Markup Cycles, Dynamic Resource Misallocation and Amplification, (with Marcus Opp and Christine Parlor), Journal of Economic Theory, 2014, 154, 126-161.
Asset Pricing in Large Information Networks, (with Han Ozsoylev), Journal of Economic Theory, 2011, 146(6), 2252-2280.
Financial Flexibility, Bank Capital Flows, and Asset Prices, (with Christine Parlour and Richard Stanton), Journal of Finance, 2012, 67(5), 1685-1722.
Working
papers
Hedging Labor Income Risk, (with Sebastien Betermeier, Christine Parlour and Thomas Jansson), Journal of Financial Economics, 2012, 105(3), 622-639.
Limited Capital Market Participation and Human Capital Risk, (with Jonathan Berk), Review of Asset Pricing Studies, 2013, 3(1), 1-37.
Pricing and Capital Allocation for Multiline Insurance Firms (with Rustam Ibragimov and Dwight Jaffee), Journal of Risk and Insurance, 2010, 77(3), 551-578
Value at Risk and Efficiency Under Dependence and Heavy Tailedness (with Rustam Ibragimov), Annals of Finance, 2011, 7(3), 285-319.
Diversification Disasters (with Rustam Ibragimov and Dwight Jaffee), Journal of Financial Economics, 2011, 99(2), 333-348.
General Equilibrium Returns to Human and Investment Capital under Moral Hazard (with Christine Parlour), Review of Economic Studies, 2011, 78(1), 394-428.
Revisiting Asset Pricing Puzzles in an Exchange Economy (with Christine Parlour and Richard Stanton), Review of Financial Studies, 2011, 24(3), 629-674.
Market Selection and Welfare in a Multi-Asset Economy, (with Yuri Fedyk and Christian Heyerdahl-Larsen), Review of Finance, 2013, 17, 1179-1237.
Trading, Profits, and Volatility in a Dynamic Information Network Model.
Internet Appendix
Internet Appendix
Situational Awareness: Estimating the Size and Time of a Bioterror Attack (with Edward Kaplan), Emerging Infectious Diseases, 2004, 10(7), 1202-1205.
Slides
Internet Appendix
The Industrial Organization of the U.S. Residential Mortgage Market, (with Richard Stanton and Nancy Wallace), Annual Review of Financial Economics, 2014, 6, 259-88.
Optimal Insurance with Costly Internal Capital, (with Dwight Jaffee), Risk Management & Insurance Rewview, 2014, 17(2), 137-161.
Recovery with Unbounded Diffusion Processes, Review of Finance, 2017, 21(4), 1445-1484.
Equilibrium with Monoline and Multiline Insurers, (with Rustam Ibragimov and Dwight Jaffee), Review of Finance, forthcoming.
Mortgage Loan Flow Networks and Financial Norms in U.S. Mortgage Markets, (with Richard Stanton and Nancy Wallace), Review of Financial Studies, forthcoming.
Welfare in Economies with Production and Heterogeneous Beliefs, (with Christian Heyerdahl-Larsen).
Books Proceedings
Heavy-Tailed Distributions and Robustness in Economics and Finance, (with Marat Ibragimov and Rustam Ibragimov), Lecture Notes in Statistics, Springer, 2015.
Making Money: Commercial Banks, Money Creation and the Payment System (with Christine Parlour and Uday Rajan).
Comment on: The intended an unintended consequences of financial-market regulations, Journal of Monetary Economics, 2016, 81, 44-47.
Beauty is in the bid of the beholder: An empirical basis for style, (with Will Goetzmann, Peter Jones, and Mauro Maggioni), Research in Economics, 2016, 70(3), 388-402.
BENCHOP – The Benchmarking Project in Options Pricing, (with Lina von Sydow et al.), International Journal of Computer Mathematics, 2015, 92(12), 2361-2379.
Bounds for Path-Dependent Options, (with Rustam Ibragimov and Donald Brown), Annals of Finance, 2015, 11(3), 433-451
Analysis of The Direct Fourier Method for Computer Tomography, IEEE Transactions on Medical Imaging, 2000, 19(3), 211-222.
A General Adaptive Solver for Hyperbolic PDEs Based on Filter Bank Subdivisions, Applied Numerical Mathematics, 2000, 33(1-4), 317-325
Filter Bank Subdivisions of Bounded Domains, Applied Numerical Mathematics, 2000, 32(3), 331-357.
Filter Bank Methods for Hyperbolic PDEs, SIAM Journal on Numerical Analysis, 1999, 36(4), 1183-1233.
On the Approximation of Singular Source Terms in Differential Equations, Numerical Methods for Partial Differential Equations, 1999, 15(4), 503-520.
Adaptive Wavelet Methods for Hyperbolic PDE (with Mats Holmström), Journal of Scientific Computing, 1998, 13(1), 19-49.
Spectral Analysis of the Differential Operator in Wavelet Bases, Applied and Computational Harmonic Analysis, 1995, 2(4), 382-391
Situational Awareness in a bioterror attack via probability modeling, in Risk Assessment and Risk Communication Strategies in Bioterrorism Preparedness, (Green et. al. Eds.), Springer 2007.
Filter Banks, L-cycles and Hyperbolic PDE in Hackbusch W. and Wittum G. (Ed. by) Numerical Treatment of Multi-Scale Problems, Vieweg-Verlag (1999).
Reports
The Pseudopolar FFT and its Applications (with Amir Averbuch, Ronald Coifman, David Donoho, Moshe Israeli), Research Report DCS/RR-1178, Yale University, Dept. of Computer Science, New Haven CT, 1999
Fast Slant Stack: A Notion of Radon Transform for Data in a Cartesian Grid which is Rapidly Computable, Algebraically Exact, Geometrically Faithful and Invertible (with Amir Averbuch, Ronald Coifman, David Donoho, and Moshe Israeli), Stanford University, Department of Statistics, 2001.
Solving the Compressible Euler and Navier-Stokes Equations with the Filter Bank Method. Research Report DCS/RR-1184, Yale University, Dept. of Computer Science, New Haven CT, 1999.
Filter Bank Preconditioners for Finite Difference Discretizations of PDEs, Technical Report 198, Uppsala University, Department of Scientific Computing, 1997.
Social Transmission Bias and Investor Behavior, (with Bing Han and David Hirshleifer).