Jens Carsten Jackwerth

University of Konstanz - Department of Economics

Universitaetsstr. 10

Konstanz, 78457

Germany

http://cms.uni-konstanz.de/wiwi/jackwerth/

  • University of Konstanz - Department of Economics

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    • Tel: +497531882196
    • Fax: +497531883120
SCHOLARLY PAPERS

33

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CITATIONS
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265

Scholarly Papers (33)

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1.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Downloads 2,897 (3,802)
Citation 62

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2.

Is Volatility Risk Priced in the Option Market?

Number of pages: 46 Posted: 19 Apr 1999
Andrea Buraschi and Jens Carsten Jackwerth
Imperial College Business School and University of Konstanz - Department of Economics
Downloads 1,543 (10,911)
Citation 9

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3.

Generalized Binomial Trees

Journal of Derivatives, Vol. 5, No. 2, pp. 7-17
Number of pages: 21 Posted: 09 Sep 1996 Last Revised: 20 Nov 2008
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Downloads 1,519 (11,196)
Citation 19

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4.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 34 Posted: 15 Sep 2013 Last Revised: 16 Jul 2018
Jens Carsten Jackwerth and Grigory Vilkov
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,294 (14,416)
Citation 6

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Asymmetric volatility, SPX options, VIX options, asymmetric volatility implied correlation, leverage effect, trading strategy

5.

The Puzzle of Index Option Returns

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-24
Number of pages: 42 Posted: 21 Oct 2009 Last Revised: 25 Sep 2012
George M. Constantinides, Jens Carsten Jackwerth and Alexi Savov
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and New York University (NYU) - Department of Finance
Downloads 962 (22,546)
Citation 46

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index option returns, option mispricing, volatility jumps, price jumps, liquidity, market efficiency

6.

The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory

Number of pages: 24 Posted: 27 Feb 2002
Jens Carsten Jackwerth and David P. Brown
University of Konstanz - Department of Economics and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 657 (38,336)
Citation 9

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Derivatives, Asset Pricing, Option Pricing, Empirical Studies

7.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 04 Mar 2018
Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and Swiss Finance Institute
Downloads 640 (39,707)
Citation 10

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Libor, manipulation, financial market misconduct, enforcement

8.

Mispricing of S&P 500 Index Options

Downloads 577 ( 45,576)
Citation 41

Mispricing of S&P 500 Index Options

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 24 Feb 2005
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 529 (50,282)
Citation 48

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Derivative pricing; volatility smile, incomplete markets, transaction costs; index options; stochastic dominance bounds

Mispricing of S&P 500 Index Options

NBER Working Paper No. w14544
Number of pages: 50 Posted: 15 Jan 2009 Last Revised: 29 Sep 2010
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 48 (397,193)

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Mispricing of S&P 500 Index Options

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1247-1277, 2009
Posted: 17 Mar 2009
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

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G10, G13

9.

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Downloads 576 ( 45,689)
Citation 25

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 380 (75,571)
Citation 26

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 177 (167,646)
Citation 2

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

NBER Working Paper No. w16302
Number of pages: 56 Posted: 30 Aug 2010 Last Revised: 24 Jul 2014
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, McGill University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 19 (539,210)

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10.

Incentive Contracts and Hedge Fund Management: a Numerical Evaluation Procedure

Number of pages: 42 Posted: 15 Mar 2007
James E. Hodder and Jens Carsten Jackwerth
University of Wisconsin - Madison - School of Business and University of Konstanz - Department of Economics
Downloads 521 (51,880)
Citation 56

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11.

Recovering Risk Aversion from Option Prices and Realized Returns

Downloads 478 ( 57,861)

Recovering Risk Aversion from Option Prices and Realized Returns

Paper No. 47
Number of pages: 20 Posted: 09 Sep 1996
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Downloads 478 (57,225)
Citation 254

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Recovering Risk Aversion from Option Prices and Realized Returns

Review of Financial Studies, Vol. 13, No. 2
Posted: 17 Jul 2000
Jens Carsten Jackwerth
University of Konstanz - Department of Economics

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12.

Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns

THE LEGACY OF FISHER BLACK, Bruce N. Lehmann, ed., Oxford University Press, 2004
Number of pages: 34 Posted: 18 Nov 2008
Mark Rubinstein and Jens Carsten Jackwerth
University of California, Berkeley - Haas School of Business and University of Konstanz - Department of Economics
Downloads 324 (91,529)
Citation 4

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13.

Pinning in the S&P 500 Futures

Journal of Financial Economics (JFE), 106, December 2012, 566-585
Number of pages: 75 Posted: 25 Aug 2010 Last Revised: 13 Feb 2013
Benjamin Golez and Jens Carsten Jackwerth
University of Notre Dame and University of Konstanz - Department of Economics
Downloads 312 (95,408)
Citation 4

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pinning, futures, options, option expiration, hedging

14.

Improved Portfolio Choice Using Second Order Stochastic Dominance

Number of pages: 41 Posted: 15 Jun 2009 Last Revised: 25 Sep 2013
James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova
University of Wisconsin - Madison - School of Business, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 287 (104,455)
Citation 11

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Second-Order Stochastic Dominance, Portfolio Choice, Out-of-Sample Performance, Portfolio Optimization, Performance Measurement

15.

Does the Ross Recovery Theorem Work Empirically?

Number of pages: 63 Posted: 01 May 2017 Last Revised: 02 Nov 2018
Jens Carsten Jackwerth and Marco Menner
University of Konstanz - Department of Economics and University of Konstanz
Downloads 277 (108,462)
Citation 8

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Ross recovery, pricing kernel, risk-neutral density, transition state prices, physical probabilities

16.

The Pricing Kernel Puzzle: Survey and Outlook

Number of pages: 79 Posted: 06 Jun 2016 Last Revised: 22 Nov 2016
Horatio Cuesdeanu and Jens Carsten Jackwerth
University of Konstanz - Department of Economics and University of Konstanz - Department of Economics
Downloads 277 (108,462)
Citation 6

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Pricing Kernel Puzzle, Stochastic Discount Factor, Options, S&P 500

17.

Employee Stock Options: Much More Valuable than You Thought

Number of pages: 31 Posted: 08 Dec 2004
James E. Hodder and Jens Carsten Jackwerth
University of Wisconsin - Madison - School of Business and University of Konstanz - Department of Economics
Downloads 271 (110,978)
Citation 4

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Employee Stock Options, Dynamic Optimatimization

18.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 45 Posted: 10 Feb 2016 Last Revised: 14 Apr 2018
Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi
Berenberg, University of Konstanz - Department of Economics and Swiss Finance Institute
Downloads 262 (114,987)
Citation 3

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hedge funds, social ties, networks, abnormal performance

19.

Funding Illiquidity Implied by S&P 500 Derivatives

Number of pages: 76 Posted: 08 Aug 2015 Last Revised: 14 Mar 2018
Benjamin Golez, Jens Carsten Jackwerth and Anna Slavutskaya
University of Notre Dame, University of Konstanz - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 221 (136,425)
Citation 2

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funding illiquidity, hedge funds, risk premium, return prediction

20.

Option Pricing: Real and Risk-Neutral Distributions

HANDBOOKS IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE: FINANCIAL ENGINEERING, J.R. Birge, V. Linetsky, eds., Vol. 15, pp. 565-591, Elsevier, 2007
Number of pages: 37 Posted: 18 Nov 2008 Last Revised: 05 Dec 2008
George M. Constantinides, Stylianos Perrakis and Jens Carsten Jackwerth
University of Chicago - Booth School of Business, Concordia University, Quebec - John Molson School of Business and University of Konstanz - Department of Economics
Downloads 217 (138,862)
Citation 1

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21.

Recovering Delisting Returns of Hedge Funds

Number of pages: 27 Posted: 03 Nov 2008 Last Revised: 16 Mar 2009
James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova
University of Wisconsin - Madison - School of Business, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 207 (145,130)
Citation 10

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Return, Hedge Fund

22.

The Pricing Kernel Puzzle in Forward Looking Data

Number of pages: 33 Posted: 07 Mar 2016 Last Revised: 22 Aug 2016
Horatio Cuesdeanu and Jens Carsten Jackwerth
University of Konstanz - Department of Economics and University of Konstanz - Department of Economics
Downloads 193 (155,041)
Citation 7

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Pricing Kernel, Option Pricing, Forward Looking Data

23.

Relative Alpha

Number of pages: 51 Posted: 21 May 2014 Last Revised: 30 Mar 2018
Jens Carsten Jackwerth and Anna Slavutskaya
University of Konstanz - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 192 (155,757)
Citation 1

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hedge funds, performance alpha

24.

The Total Benefit of Alternative Assets to Pension Fund Portfolios

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 21 Oct 2013 Last Revised: 13 Jun 2016
Jens Carsten Jackwerth and Anna Slavutskaya
University of Konstanz - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 132 (214,153)
Citation 5

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Hedge Funds, Performance Measurement, Certainty Equivalent, Alpha

25.

Managerial Control, Compensation, and Derivative Pricing

Number of pages: 33 Posted: 19 Sep 2006
James E. Hodder and Jens Carsten Jackwerth
University of Wisconsin - Madison - School of Business and University of Konstanz - Department of Economics
Downloads 109 (246,805)

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26.

Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management

Number of pages: 38 Posted: 17 Mar 2008
James E. Hodder and Jens Carsten Jackwerth
University of Wisconsin - Madison - School of Business and University of Konstanz - Department of Economics
Downloads 96 (268,954)
Citation 1

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Dynamic Control of Firm Value Process, Managerial Incentives, Derivative Pricing Implications, External Wealth management

27.

Artificial Stupidity: A Reply

Journal of Portfolio Management, Vol. 24 , No. 1, pp. 120-121, 1997
Number of pages: 5 Posted: 19 Nov 2008
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Downloads 61 (349,408)

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28.

Money for Nothing…: A Case Study of Financial Class Action Litigation

Number of pages: 9 Posted: 23 Nov 2012
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Downloads 36 (435,214)

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mortgage, class action, econometrics, t-test

29.

Option-Implied Risk-Neutral Distributions and Risk Aversion

CFA Institute Research Foundation of AIMR Publications, pp. 1-86, March 2004
Posted: 19 Nov 2008
Jens Carsten Jackwerth
University of Konstanz - Department of Economics

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30.

Incentive Contracts and Hedge Fund Management

Journal of Financial and Quantitative Analysis, May 2006
Posted: 28 Mar 2007
James E. Hodder and Jens Carsten Jackwerth
University of Wisconsin - Madison - School of Business and University of Konstanz - Department of Economics

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31.

The Price of a Smile: Hedging and Spanning in Option Markets

Review of Financial Studies, Vol. 14, No. 2
Posted: 17 Mar 2001
Andrea Buraschi and Jens Carsten Jackwerth
Imperial College Business School and University of Konstanz - Department of Economics

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32.

Implied Probability Distributions: Empirical Analysis

Posted: 10 Oct 1998
Mark Rubinstein and Jens Carsten Jackwerth
University of California, Berkeley - Haas School of Business and University of Konstanz - Department of Economics

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33.

Recovering Probability Distributions from Option Prices

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 24 Oct 1996
Mark Rubinstein and Jens Carsten Jackwerth
University of California, Berkeley - Haas School of Business and University of Konstanz - Department of Economics

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Other Papers (1)

Total Downloads: 1
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1.

Does the Ross Recovery Theorem Work Empirically?

31st Australasian Finance and Banking Conference 2018
Number of pages: 63 Posted: 24 Jul 2018
Jens Carsten Jackwerth and Marco Menner
University of Konstanz - Department of Economics and University of Konstanz
Downloads 1

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Ross recovery, stochastic discount factor, risk-neutral density, transition state prices, physical probabilities