Universitaetsstr. 10
Konstanz, 78457
Germany
http://cms.uni-konstanz.de/wiwi/jackwerth/
University of Konstanz - Department of Economics
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Asymmetric volatility, SPX options, VIX options, asymmetric volatility implied correlation, leverage effect, trading strategy
index option returns, option mispricing, volatility jumps, price jumps, liquidity, market efficiency
Libor, manipulation, financial market misconduct, enforcement
Derivatives, Asset Pricing, Option Pricing, Empirical Studies
Derivative pricing; volatility smile, incomplete markets, transaction costs; index options; stochastic dominance bounds
G10, G13
option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency
Ross recovery, pricing kernel, risk-neutral density, transition state prices, physical probabilities
pinning, futures, options, option expiration, hedging
hedge funds, social ties, networks, abnormal performance
Pricing Kernel Puzzle, Stochastic Discount Factor, Options, S&P 500
Second-Order Stochastic Dominance, Portfolio Choice, Out-of-Sample Performance, Portfolio Optimization, Performance Measurement
funding illiquidity, hedge funds, risk premium, return prediction
Employee Stock Options, Dynamic Optimatimization
hedge funds, performance alpha
Pricing Kernel, Option Pricing, Forward Looking Data
Return, Hedge Fund
Risk-neutral distributions, COVID-19, option pricing
Hedge Funds, Performance Measurement, Certainty Equivalent, Alpha
Financial economics, data collection, writing advice, research tips, PhD students
Dynamic Control of Firm Value Process, Managerial Incentives, Derivative Pricing Implications, External Wealth management
Third Reich, Hitler, Jewish Firms, Discrimination, Aryanization, Abnormal Performance
Risk-taking, hedge funds
Dividend term structure, dividend strips, option pricing, interest rate invariant
mortgage, class action, econometrics, t-test
Ross recovery, stochastic discount factor, risk-neutral density, transition state prices, physical probabilities