Jun Zhang

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

General Auto-Regressive Asset Model

Number of pages: 40 Posted: 02 Jul 2009 Last Revised: 07 Jan 2010
affiliation not provided to SSRN, Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology and Volaris Capital Management
Downloads 892 (25,566)
Citation 1

Abstract:

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asymmetry, skewness, leverage-effect, kurtosis, filtering, conditional simulation, financial time-series

2.

Optimal Dynamic Hedging of Multi-Asset Options

Number of pages: 50 Posted: 13 Mar 2009
Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology and Volaris Capital Management
Downloads 833 (28,123)
Citation 2

Abstract:

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Multi-Asset Option, Correlation-Trading, Hedging, Residual-Risk, Risk-Capital, Hurdle-Rate