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Semyon Malamud

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Related publications (30)

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Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

The relative contributions of private information sharing and public information releases to information aggregation

Semyon Malamud

We calculate learning rates when agents are informed through public and private observation of other agents' actions. We characterize the evolution of the distribution of posterior beliefs. If the private learning channel is present, convergence of the dis ...

Elsevier2010

Managing inventory with proportional transaction costs

Semyon Malamud

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...

SPRINGER HEIDELBERG2020

Price impact and portfolio impact

Semyon Malamud

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...

2011

Optimal incentives and securitization of defaultable assets

Semyon Malamud

We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...

Elsevier2013

Dominant currency debt

Semyon Malamud

We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...

2022

The Structure of Optimal Consumption Streams in General Incomplete Markets

Semyon Malamud

We prove that for any incomplete market and any concave utility function the marginal propensities to consume and to save are always positive. Furthermore, we intro- duce a class of incomplete markets that includes almost all well known examples of market ...

2007

Credit market frictions and capital structure dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2015

Market Consistent Pricing of Insurance Products

Semyon Malamud

We present the ﬁrst step in a program to develop a comprehen- sive, uniﬁed equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod ﬁnancial market. This framework reﬂects classical ...

2008

Optimal reinsurance with multiple tranches

Semyon Malamud

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...

Elsevier Science Sa2016

An Intermediation-Based Model of Exchange Rates

Semyon Malamud

We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, in ...

Oxford University Press (OUP)2025

Universal Bounds for Asset Prices in Heterogeneous Economies

Semyon Malamud

We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artiﬁcial homogeneous economy populated solely by this agent, and calculate the ...

2008

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

2012

Relative Extinction of Heterogeneous Agents

Semyon Malamud

In all the existing literature on survival in heterogeneous economies, the rate at which an agent vanishes in the long run relative to another agent can be characterized by the diﬀerence of the so-called survival indices, where each survival index only dep ...

2009

Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Semyon Malamud

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2015

Information Percolation with Equilibrium Search Dynamics

Semyon Malamud

We solve for the equilibrium dynamics of Information sharing in a large population Each agent is endowed with signals regarding the likely outcome of a random variable of common concern Individuals choose the effort with which they search for others from w ...

2009

Information percolation in segmented markets

Semyon Malamud

Elsevier2014

Liquidity, Innovation, And Endogenous Growth

Semyon Malamud, Francesca Maria Zucchi

We build a model of endogenous, innovation-driven growth in which innovative firms have costly access to outside financing and hoard cash reserves to maintain financial flexibility. We show that financing frictions slow down Schumpeterian creative destruct ...

2019