Publications in academic journals

• Financial Integration, Economic Instability And Trade Structure in Emerging Markets
  Chambet Anthony, Gibson Rajna 
  In: Journal of International Money and Finance, forthcoming, 2008.
• The Style Consistency of Hedge Funds
  Gibson Rajna, Gyger Sébastien
  In: European Financial Management, Vol. 13, No. 2, 2007.
• Model Risk for European-Style Stock Index Options
  Gençay Ramo, Gibson Rajna
  In: The Journal IEEE Transactions on Neural Networks, Vol. 18, No. 1, 2007.
• Technical Analysis Compared to Mathematical Models Based Methods under Parameters Mis-Specification
  Blanchet-Scalliet Christophett, Diop Awa, Gibson Rajna, Talay Denis, Tanré Etienne
  In: Journal of Banking and Finance, forthcoming , 2007.
• Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies
  Bossy Mireille, Gibson Rajna, Lhabitant François-Serge, Pistre Nathalie, Talay Denis
  In: The Review of Derivatives Research, forthcoming, 2007.
• Stock Market Performance and the Term Structure of Credit Spreads
  Demchuk Andrij, Gibson Rajna
  In: Journal of Financial and Quantitative Analysis, Vol. 41, No. 4, 2006.
• Analyzing Firms' Strategic Investment Decisions in a Real Options' Framework
  Botteron Pascal, Chesney Marc, Gibson Rajna
  In: Journal of Intern. Financial Markets, Instituions & Money, Vol. 13, 2003, pages 1-29.
• Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence
  Bares P.-A., Gibson Rajna, Gyger S.
  In: The Journal of Alternative Investments, 6 (3), 2003.
• The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market
  Gibson Rajna, Mougeot Nicolas
  In: Journal of Banking and Finance, 2003, pages 1 - 74.
• Reducing Asset Substitution with Warrant and Convertible Debt Issues
  Chesney Marc, Gibson Rajna
  In: The Journal of Derivatives, Vol. 9, No. 1, 2001, pages 39 - 52.
• Recovery Risk in Stock Returns
  Aydin Agkun, Gibson Rajna
  In: Journal of Portfolio Management, 2000, pp 22-31.
• Volatility Model Risk Measurement Against Worst Case Volatilities
  Bossy Mireille, Gibson Rajna, Lhabitant François-Serge, Pistre Nathalie, Talay Denis, Zheng Z.
  In: Journal de la Société Française de Statistique, 2000.
• Do Newly Listed Derivatives Affect the Market Risk Premia in a Thin Stock Market?
  Clerc Nicolas, Gibson Rajna
  In: European Finance Review, 2000, pp 97-127.
• A Large Deviation Approach to Portfolio Management
  Bares P.-A., Cont R., Gardiol Lucien, Gibson Rajna, Gyger S.
  In: Theoretical & Applied Finance, 2000, pp 617-639.
• Grandeur et déclin de la gestion de fortune en Suisse à l'aube du 21e siècle
  Gibson Rajna
  Geneviève Armleder et Georges Naef Editeurs, Genève, 1999.
• Rethinking The Quality of Risk Management Disclosure
  Gibson Rajna
  In: Derivatives Use, Trading and Regulation, 1999, pp 248-282.
• Are Investors sensitive to the Quality and the disclosure of Financial Statements?
  Caramanolis Birgul, Gardiol Lucien, Gibson Rajna, Tuchschmid Nils
  In: European Finance Review, 1999, pp 209-225.
• A Theoretical Analysis of the Liquidity Risk Premium Embedded in the Prices of Voting and Non-Voting Stocks.
  Beiner Nicole, Gibson Rajna
  In: Journal of Corporate Finance, 1999, pp 209-225.
• The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims Valuation Approach
  Chesney Marc, Gibson Rajna
  In: The European Journal of Finance, 5, 1999, pages 95-107.
• Interest Rate Risk: An Overview
  Gibson Rajna, Lhabitant François-Serge, Pistre Nathalie, Talay Denis
  In: Journal of Risk, 1999, pp 37-62.
• Forecasting Stock Market Volatility: Does History Matter?
  Adjaoute Kpate, Bruand Martin, Gibson Rajna
  In: European Financial Management, 1998, pp 293-319.
• Options, Futures and Stock Market Interactions: Empirical Evidence From the Swiss Stick Market
  Gibson Rajna
  In: Review of Derivatives Research, 1998, pp 59-86.
• Are Liquidity and Corporate Control Priced by Shareholders? Empirical Evidence From the Swiss Dual Class Shares
  Gardiol Lucien, Gibson Rajna, Tuchschmid Nils
  In: Journal of Corporate Finance, 1997, pp 299-323.
• Dual Class Shares' Firms and Seasoned Equity Offerings: Empirival Evidence From the Swiss Stock Market
  Caramanolis Birgul, Gibson Rajna, Tuchschmid Nils
  North-Holland, 1996, pp 125-150.
• Risiko Kontrolle und Regulierung der derivativen Finanzmärkte aus ökonomischer Sicht
  Gibson Rajna, Zimmermann Heinz
  In: Revue de Droit Suisse, 1996.
• Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies
  Gibson Rajna, Tolle S., Zimmermann Heinz
  In: Derivatives Quarterly, 1996.
• Analyzing and Monitoring Derivatives' Risk - Part 2
  Gibson Rajna, Zimmermann Heinz
  In: Derivatives Use, Trading and Regulation, 1996.
• Analyzing and Monitoring Derivatives' Risk: An Economic Perspective
  Gibson Rajna, Zimmermann Heinz
  In: Derivatives Use, Trading and Regulation, 1996.
• The Impact of Investment Contraints on Portfolio Performance Measurement: The Power Utility Function Case
  Gibson Rajna, Tuchschmid Nils
  In: The Financial Review, 1995, pp 243-273.
• State Space Symmetry and Two Factor Option Pricing Models
  Chesney Marc, Gibson Rajna
  In: Advances in Futures and Options Research, 1995.
• Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data
  Chesney Marc, Gibson Rajna, Loubergé Henri
  In: Finanzmarkt und Portfolio Management, 1995, pages 35-60.
• Analytical Solution for the Pricing of American Bond and Yield Options
  Chesney Marc, Elliott R. J., Gibson Rajna
  In: Mathematical Finance, 1993, pages 277-294.
• The Pricing of Crude Oil Futures Options Contracts
  Gibson Rajna, Schwartz Eduardo
  In: Advances in Futures and Options Research, 1993, pp 291-311.
• L'Evaluation des Options
  Gibson Rajna
  Presses Universitaires de France, Paris, 1993.
• Option Valuation: Analyzing and Pricing Standardized Option Contracts
  Gibson Rajna
  McGraw-Hill, New York, 1991.
• Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
  Gibson Rajna, Schwartz Eduardo
  In: Journal of Finance, 1990, pp 959-976.
• Les Modèles d'Equilibre de la Structure des Taux d'Intéreêt: Un Essai de Synthèse.
  Gibson Rajna
  In: Finance, 1987.
• Evaluation des Obligations, Structure des Taux d'Intérêt et Risque Systématique
  Dumont Pierre-André, Gibson Rajna
  Association des Analystes Financiers (ASAF), 1985.
• Aspects Récents de l'Analyse des Obligations: Volatilité, Duration et Risque Systématique
  Dumont Pierre-André, Gibson Rajna
  Association Suisse des Analystes Financiers (ASAF), Genève, 1984.

Working papers

• «Volatilité du Cours des Obligations et Duration», Etudes et Recherches en Finance, Université de Genève, 1983/2 (in collaboration with P.-A. Dumont).
• «La Mesure de la Rentabilité Ex Post d’un Portefeuillle Obligataire», Etudes et Recherches en Finance, Université de Genève, 1983/1 (in collaboration with A. Bender).
• «Rendement à l’Echéance, Structure des Taux et Effets du Coupon», Etudes et Recherches en Finance, Université de Genève, 1983/1 (in collaboration with A. Bender).
• «La Théorie de l’Immunisation», Etudes et Recherches en Finance, Université de Genève, 1984/2 (in collaboration with P.-A. Dumont).
• «Apports de Modèles d’Arbitrage à la Détermination de la Structure des Taux d’Intérêt et à la Gestion du Risque Systématique», Etudes et Recherches en Finance, Université de Genève, 1985/1.
• «Conception et Spécification d’une Base de Données Pour l’Analyse du Marché Obligatoire Suisse», Base de Données Boursières de l’Université de Genève, Faculté des Sciences et Economiques et Sociales, Genève, 1986 (en collaboration avec P.-A. Dumont et J.-J. Snella).
• «L’Evaluation des Options sur Indice en Univers non Stationnaire», Cahier de Recherche, Université de Genève, Département d’Economie Politique, mai 1993 (en collaboration avec M. Chesney et H. Loubergé).
• «Modeling the Term Structure of Interest Rates : A Review of the Literature», Working Paper Nr. 9801, Ecole des HEC, Lausanne University, April 1998 (in collaboration with F.-S. Lhabitant and D. Talay).
• «The Determinants and Effects of Voluntary Versus Market driven Disclosure Policies in Switzerland», Working Paper, Ecole des HEC. Lausanne University, First draft 1998, last revision January 2000 (in collaboration with P. Tamburini and N.S. Tuchschmid).
• «Systematic Credit Risk and Asset Pricing: Empirical Study on the US Stock Market», Working Paper, University of Zurich, January 2001. (in collaboration with T. Berrada and N. Mougeot).
• ”Financial Integration And Domestic Sovereignty In European Stock Markets”, NCCR Working Paper, IP 2, No. 28, 2004. (in collaboration with A. Chambet).
• ”The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison”, NCCR Working Paper, IP 2, No. 183, 2004. (in collaboration with A. Chambet).
• ”Sovereign Borrowing and Yield Spreads”, Working Paper, University of Zurich, latest revised version September 2005 (in collaboration with S. Sundaresan).
• «Hedge Funds Portfolios under Liquidation Risk and Investment Constraints», (originally NCCR Working Paper, IP 2, No. 13), latest revision, September 2006. (in collaboration with S. Gyger).
• ”Stock Options and Managers Incentives to Cheat”, NCCR Working Paper, IP 2, No. 184, latest version March 2007. (in collaboration with M. Chesney).
• “The Price of Protection: Derivatives, Default Risk, and Margining”, NCCR FINRISK Working Paper Series, No. 255, revised 2008. (in collaboration with C. Murawski).
• “Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?”, NCCR FINRISK Working Paper Series, No. 371, 2007. (in collaboration with M. Habib and A. Ziegler).
• “Thou Shalt Note Lie (even when it hurts) . Sacred Values in Financial Economic Decision- Making: Experimental Evidence.”, NCCR FINRISK WP 472, May 2008 ( in collaboration with Carmen Tanner and Alexander Wagner).
• “Hedge Fund Alphas: Do They reflect Managerial Skills or Mere Compensation for Liquidity Risk Bearing?”, NCCR FINRISK WP 485, July 2008 ( in collaboration with Songtao Wang).

Books

• Model Risk: Concepts, Calibration and Pricing Gibson Rajna Risk Books, London, 2000, 280 pp.
• Obligations et Clauses Optionnelles: Principes d'Evaluation Gibson Rajna Presses Universitaires de France, Collection Finance, Paris, 1990.

Chapter or Article in collective books

• Technical Analysis Techniques versus Mathematical Models: Boundaries of their Validity Domains Blanchet-Scalliet C., Diop A., Gibson Rajna, Talay Denis, Tanr E. In: Monte Carlo and Quasi-Monte Carlo Methods 2004, H. Niederreiter und D. Talay, Springer Verlag, 2004.
• Assessing and Managing Model Risk Gibson Rajna In: Risk and Risky Management, National Center of Competence in Research, Finrisk, Zurich, 2003.
• Interest Rate Model Risk Gibson Rajna, Lhabitant François-Serge, Pistre Nathalie, Talay Denis In: Asset and Liability Management: A Synthesis, Risk Books, 1998.

Doctoral dissertation

• Un Modèle d'Evaluation en Univers Incertain des Obligations Assorties d'une Clause de Remboursement Anticipé: Le Cas des Titres Emis pa la Confédérations Helvétique
  Gibson Rajna
  Université de Genève, Sciences Economiques et Sociales, Genève, 1987.

Other publication

• Die Option zu betrügen
  Chesney Marc, Gibson Rajna
  2004.
• Sind Schweizer Banken gute Risikomanager?
  Geiger Hans, Gibson Rajna
  In: Manager Bilanz, 2002.
• Long Term Options (LTO'S) on the Swiss Market Index and Portfolio Insurance Strategies
  Gibson Rajna, Tolle Steffen, Zimmermann Heinz
  Zurich, 1994, pp 1-20.
• Major Economic Impacts Associated to the Use of Index Options: An Overview
  Gibson Rajna
  1988.
• La Mesure de la Performance des Fonds de Pension
  Bender André, Dumont Pierre-André, Gibson Rajna
  Association Suisse des Analystes Financiers (ASAF), Genève, 1986.
• Introduction à la Théorie de l'Immunisation
  Dumont Pierre-André, Gibson Rajna
  Association Suisse des Analystes Financiers (ASAF), Genève, 1985.
• Aspects Récents de l'Analyse des Obligations: Volatilité, Duration et Risque Systématique
  Dumont Pierre-André, Gibson Rajna
  Association Suisse des Analystes Financiers (ASAF), Genève, 1984.