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Figlewski, Stephen's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,632 |
Total
Citations
177 |
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1.
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Figlewski, Stephen
New York University - Stern School of Business Wang, Xiaozu
City University of Hong Kong (CityUHK) - Department of Economics & Finance
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1,722
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2.
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Market Risk and Model Risk for a Financial Institution Writing Options
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Green, T. Clifton
Emory University - Goizueta Business School Figlewski, Stephen
New York University - Stern School of Business
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Posted:
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07 May 99
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Last Revised:
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29 Apr 08
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1,227
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36
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Green, T. Clifton
Emory University - Goizueta Business School Figlewski, Stephen
New York University - Stern School of Business
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Green, T. Clifton
Emory University - Goizueta Business School Figlewski, Stephen
New York University - Stern School of Business
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1,227
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36
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3.
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Pricing Discrete Barrier Options with an Adaptive Mesh Model
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Ahn, Dong-Hyun
University of North Carolina at Chapel Hill Figlewski, Stephen
New York University - Stern School of Business Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area
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Posted:
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01 Jul 99
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Last Revised:
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29 Apr 08
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1,197
(6,852)
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4
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Ahn, Dong-Hyun
University of North Carolina at Chapel Hill Figlewski, Stephen
New York University - Stern School of Business Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area
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Ahn, Dong-Hyun
University of North Carolina at Chapel Hill Figlewski, Stephen
New York University - Stern School of Business Gao, Bin
University of North Carolina (UNC) at Chapel Hill - Finance Area
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1,197
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4.
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Figlewski, Stephen
New York University - Stern School of Business Frydman, Halina
New York University (NYU) - Department of Information, Operations, and Management Sciences Liang, Weijian
NYU Stern School of Business
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700
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13
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credit risk, default intensity, Cox model
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5.
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Canina, Linda
Cornell University - School of Hotel Administration Figlewski, Stephen
New York University - Stern School of Business
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544
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3
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6.
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Forecasting Volatility Using Historical Data
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Figlewski, Stephen
New York University - Stern School of Business
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Posted:
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20 Dec 98
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Last Revised:
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15 Dec 08
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475
(27,269)
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9
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Figlewski, Stephen
New York University - Stern School of Business
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475
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9
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Figlewski, Stephen
New York University - Stern School of Business
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7.
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Figlewski, Stephen
New York University - Stern School of Business
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27 Aug 08
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Last Revised:
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07 Sep 08
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416
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risk neutral density, implied probabilities, option pricing
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8.
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Estimation Error in the Assessment of Financial Risk Exposure
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Figlewski, Stephen
New York University - Stern School of Business
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Posted:
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23 Jul 03
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Last Revised:
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07 Nov 08
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388
(35,390)
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4
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Figlewski, Stephen
New York University - Stern School of Business
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36
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4
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Figlewski, Stephen
New York University - Stern School of Business
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352
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9.
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Figlewski, Stephen
New York University - Stern School of Business
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334
(42,515)
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22
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10.
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Assessing the Incremental Value of Option Pricing Theory Relative to an 'Informationally Passive' Benchmark
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Figlewski, Stephen
New York University - Stern School of Business
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Posted:
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16 Jan 03
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Last Revised:
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23 Dec 08
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313
(45,876)
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2
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Figlewski, Stephen
New York University - Stern School of Business
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34
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Figlewski, Stephen
New York University - Stern School of Business
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279
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2
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informationally passive model, Black-Scholes model, option pricing, dynamic arbitrage
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11.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Figlewski, Stephen
New York University - Stern School of Business
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295
(49,162)
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1
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stochastic volatility, hedging correlation, implied volatility, GARCH
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12.
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Figlewski, Stephen
New York University - Stern School of Business
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189
(79,043)
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risk neutral volatility, implied volatility, option pricing, risk aversion
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13.
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Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008
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Birru, Justin
New York University - Stern School of Business Figlewski, Stephen
New York University - Stern School of Business
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Posted:
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05 May 09
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Last Revised:
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17 Mar 10
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183
(81,561)
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10
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Birru, Justin
New York University - Stern School of Business Figlewski, Stephen
New York University - Stern School of Business
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116
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10
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risk neutral density, implied probabilities, stock index options, 2008 financial crisis
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Birru, Justin
New York University - Stern School of Business Figlewski, Stephen
New York University - Stern School of Business
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| Posted: |
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05 May 09
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Last Revised:
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16 Sep 09
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67
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10
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risk neutral density, market expectations, 2008 financial crisis, option valuation
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14.
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Birru, Justin
New York University - Stern School of Business Figlewski, Stephen
New York University - Stern School of Business
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| Posted: |
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18 Mar 10
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Last Revised:
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02 Apr 10
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180
(82,764)
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2
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risk neutral density, Fed funds target announcement, efficient markets
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15.
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Figlewski, Stephen
New York University - Stern School of Business
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162
(91,381)
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3
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16.
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Figlewski, Stephen
New York University - Stern School of Business Heisler, Jeffrey
Boston University - Department of Finance & Economics Weigend, Andreas
Stern School of Business, New York University
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148
(99,168)
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17.
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Is the "Leverage Effect" a Leverage Effect?
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Figlewski, Stephen
New York University - Stern School of Business Wang, Xiaozu
City University of Hong Kong (CityUHK) - Department of Economics & Finance
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Posted:
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04 Nov 08
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Last Revised:
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23 Dec 08
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127
(112,772)
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23
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Figlewski, Stephen
New York University - Stern School of Business Wang, Xiaozu
City University of Hong Kong (CityUHK) - Department of Economics & Finance
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107
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23
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Figlewski, Stephen
New York University - Stern School of Business Wang, Xiaozu
City University of Hong Kong (CityUHK) - Department of Economics & Finance
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18.
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Figlewski, Stephen
New York University - Stern School of Business
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32
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2
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19.
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Chidambaran, N.K.
Fordham University - Schools of Business Figlewski, Stephen
New York University - Stern School of Business
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20.
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Chidambaran, N.K.
Fordham University - Schools of Business Figlewski, Stephen
New York University - Stern School of Business
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21.
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Figlewski, Stephen
New York University - Stern School of Business
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