Dr. Zvi Wiener

Articles
Working Papers

Articles

1. O'Neill B., D. Samet, Z. Wiener, E. Winter, Bargaining with an Agenda, Games and Economic Behavior(2004),48, pp. 139-153.

2. Galai D., Z. Wiener, Government Support of Investment Projects in the Private Sector: A Micro-Economic Approach, Financial Management, forthcoming (2003).

3. Elashvili, Y., M. Sokoler, Z. Wiener, D. Yariv, Integrating Pension Funds into the capital Market: A Proposal to Guarantee Returns Using Market Instruments, The Economic Quarterly (in Hebrew), 50:1 (2003), 162-189.

4. Benninga S., T. Bjork, Z. Wiener, On the Use of Numeraires in Option Pricing, Journal of Derivatives, 10:2 (2002), 43-58.

5. Wiener Z, S. Benninga, A. Protopapadakis, Limiting Differences Between Forward and Futures Prices in a Lucas Consumption Model, International Financial Markets, Institutions and Money,10:2 (2000), 151-161.

6. Benninga S., Z. Wiener, Investigation of Cheapest to Deliver on Treasury Bond Contracts, Journal of Computational Finance, 2:3 (1999), 39-55.

7. Shreiber B., Z. Wiener, D. Zaken, The Implementation of Value-at-Risk (VaR) in Israel’s Banking System, Banking Review, 7 (1999), 61-87.

8. Wiener Z., Introduction to VaR (Value-at-Risk), in Risk Management and Regulation in Banking, (eds. D. Galai, D. Ruthenberg, M. Sarnat, B. Schreiber), Kluwer Academic Publishers, Boston, 1999, 47-63.

9. Wiener Z., Y. Yomdin, From formal numerical solutions of elliptic PDE's to the true ones, Mathematics of Computations, 69:229 (1999), 197-235.

10. Levy H., Z. Wiener, Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions, Journal of Risk and Uncertainty, 16:2 (1998), 147-163.

11. Benninga S., Z. Wiener, Term Structure of Interest Rates, Mathematica in Education and Research, 7:2 (1998), 13-22.

12. Benninga S., Z. Wiener, Dynamic Hedging Strategies, Mathematica in Education and Research, 7:1 (1998), 12-16.

13. Benninga S., Z. Wiener, Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options, Mathematica in Education and Research, 6:4 (1997), 11-14.

14. Benninga S., Z. Wiener, The Binomial Option Pricing Model, Mathematica in Education and Research, 6:3 (1997), 27-34.

15. Benninga S., Z. Wiener, Duration and the Cheapest to Deliver Problem for Treasury Bond Futures Contracts, Chapter 18, in Financial Modeling (ed. S. Benninga), MIT Press, 1997.

16. Wiener Z., An Interesting Formula of Matrix Exponent, Linear Algebra and its Applications, 257 (1997), 307-310.

17. Bergman Y., B. Grundy, Z. Wiener, Generalized Theory of Rational Option Pricing, The Journal of Finance, 51:5 (1996), 1573-1610 (leading article).

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Working Papers

1. Cvitanik, J., Z. Wiener and F. Zapatero, "Analytic Pricing of Executive Stock Options".

2. Galai, D., A. Raviv and Z. Wiener, "Liquidation Triggers and The Valuation of Equity and Debt", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

3. Milne, A. and Z. Wiener, "An Analysis of the Costs and Benefits of Risk-based Capital Regulation", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

4. Galai D., E. Sulganik and Z. Wiener, "Investments in Real Assets and Earnings Management in Banks", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

5. Goldstein, M., P. Irvine, E. Kandel and Z. Wiener, "Brokerage Commissions and Institutional Trading Patterns", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

6. Leippold, M. and Z. Wiener, "Algorithms behind Term Structure Models of Interest Rates II. The Hull-White Trinomial Tree of Interest Rates", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

7. Leippold, M. and Z. Wiener, "Algorithms behind Term Structure Models of Interest Rates I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

8. Goshen, Z. and Z. Wiener, "Freezeout Option", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

9. Wiener, Z., "Value of Value-at-Risk", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

10. Levy, H. and Z. Wiener, "Prospect Theory and Utility Theory, Temporary and Permanent Attitude toward Risk", Working Paper, School of Business Administration, The Hebrew University of Jerusalem.

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