Schönberggasse 1
Zürich, 8001
Switzerland
University of Zurich - Department Finance
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risk-neutral density, pricing kernel, risk aversion, predictive information
Optimal portfolio execution, liquidity effects, market order, limit order, HJB equation, partial integro-differential equation, ADI method
Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread
Stochastic volatility, jump-diffusion modeling, risk aversion, market modeling, implied volatility surface