Jean-Pierre Zigrand

Associate Professor of Finance; Director, Systemic Risk Centre

Research interests

• General equilibrium asset pricing
• Financial intermediation and delegation
• Continuous time asset pricing
• Market crashes
• Foundations of arbitrage

Selected papers

• Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2012) 'Endogenous extreme events and the dual role of prices', Annual review of economics, 4 . pp. 111-129. ISSN 1941-1383

• with Rohit Rahi, 'Strategic Financial Innovation in Segmented Markets', 2009, Review of Financial Studies, 22 (8). pp. 2941-2971. ISSN 0893-9454

• with J Danielsson, 'Equilibrium Asset Pricing with Systemic Risk', 2008, Economic Theory, 35 (2). pp. 293-319. ISSN 1432-0479

• with J Danielsson, 'Regulating Hedge Funds', Banque de France Financial Stability Reviews - Special Issue on Hedge Funds, No. 10, April 2007

• with J Danielsson, 'On Time-Scaling of Risk and the Square-Root-of-Time Rule', Journal of Banking and Finance, Vol.30, pp 2701-2713, 2006

• 'Endogenous Market Integrating, Manipulation and Limits to Arbitrage', Journal of Mathematical Economics, Vol. 42, pp 301-314, 2006

• with J Danielsson and Ashley Taylor, 'Highwaymen or Heroes: Should Hedge Funds be Regulated? A Survey', Journal of Financial Stability, Vol.1, pp 522-543, 2005

• 'Rational Asset Pricing from Realistic Trading Frictions', Journal of Business, Vol. 78, pp 871-892, 2005

• with J Danielsson and HS Shin, 'The Impact of Risk Regulation on Price Dynamics', Journal of Banking and Finance, Vol.28 pp 1069-1087, 2004

• 'A General Equilibrium Analysis of Strategic Arbitrage', Journal of Mathematical Economics Vol. 40(8), pp 923-952, 2004

• 'Physics of Finance', Frascati Physics Series 17 Issue, 2000

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM408 Financial Engineering
  Current students click here for course information

• FM438 Advanced Asset Pricing
  Current students click here for course information

Other webpages

• LSE Experts