Jens Carsten Jackwerth

University of Konstanz - Department of Economics

Universitaetsstr. 10

Konstanz, 78457

Germany

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

SCHOLARLY PAPERS

33

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CITATIONS
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in Total Papers Citations

471

Scholarly Papers (33)

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 2,390 (3,271)
Citation 41

Abstract:

2.

Is Volatility Risk Priced in the Option Market?

Number of pages: 46 Posted: 19 Apr 1999
Andrea Buraschi and Jens Carsten Jackwerth
The University of Chicago and University of Konstanz - Department of Economics
Downloads 1,461 (8,901)
Citation 7

Abstract:

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 1,406 (9,431)
Citation 18

Abstract:

4.

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 745 (22,355)
Citation 8

Abstract:

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

5.

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 626 (31,613)
Citation 19

Abstract:

Derivatives, Asset Pricing, Option Pricing, Empirical Studies

6.
Downloads 552 ( 39,323)
Citation 35

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 514 (42,532)
Citation 35

Abstract:

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
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 38 (370,514)
Citation 35

Abstract:

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

Abstract:

G10, G13

7.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 50 Posted: 15 Sep 2013 Last Revised: 18 Sep 2015
Jens Carsten Jackwerth and Grigory Vilkov
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 541 (27,190)
Citation 1

Abstract:

Asymmetric volatility, SPX options, VIX options, implied correlation, leverage effect

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
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 354 (67,282)
Citation 13

Abstract:

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
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 167 (147,303)
Citation 13

Abstract:

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
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 16 (479,817)
Citation 13

Abstract:

9.

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 483 (44,470)
Citation 10

Abstract:

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 438 (52,064)
Citation 161

Abstract:

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

Abstract:

11.

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

Number of pages: 54 Posted: 18 Oct 2013 Last Revised: 11 Feb 2016
Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, University of Notre Dame, University of Konstanz - Department of Economics and USI-Lugano
Downloads 281 (45,162)

Abstract:

Libor, manipulation, financial market misconduct, enforcement

12.

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 257 (93,276)
Citation 4

Abstract:

Employee Stock Options, Dynamic Optimatimization

13.

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 253 (90,680)

Abstract:

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

14.

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 245 (85,441)
Citation 2

Abstract:

pinning, futures, options, option expiration, hedging

15.

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 214 (99,536)
Citation 148

Abstract:

16.

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 186 (122,567)
Citation 1

Abstract:

17.

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 179 (128,432)
Citation 3

Abstract:

Return, Hedge Fund

18.

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 104 (207,288)

Abstract:

19.

Relative Alpha

Number of pages: 62 Posted: 21 May 2014 Last Revised: 03 May 2017
Jens Carsten Jackwerth and Anna Slavutskaya
University of Konstanz - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 88 (160,667)

Abstract:

20.

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 88 (231,348)

Abstract:

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

21.

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 40 (248,660)

Abstract:

Hedge Funds, Performance Measurement, Certainty Equivalent, Alpha

22.

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 36 (325,024)

Abstract:

23.

Funding Illiquidity Implied by S&P 500 Derivatives

Number of pages: 72 Posted: 08 Aug 2015 Last Revised: 17 Mar 2017
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 28 (158,839)

Abstract:

funding illiquidity, hedge funds, risk premium, return prediction

24.

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 28 (381,202)

Abstract:

mortgage, class action, econometrics, t-test

25.

Does the Ross Recovery Theorem Work Empirically?

Number of pages: 55 Posted: 01 May 2017 Last Revised: 18 May 2017
Jens Carsten Jackwerth and Marco Menner
University of Konstanz - Department of Economics and University of Konstanz - Department of Economics
Downloads 0 (288,313)

Abstract:

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

26.

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 0 (118,612)

Abstract:

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

27.

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 0 (173,031)

Abstract:

Pricing Kernel, Option Pricing, Forward Looking Data

28.

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

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 03 Jun 2016
Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi
Berenberg, University of Konstanz - Department of Economics and USI-Lugano
Downloads 0 (129,043)

Abstract:

hedge funds, social ties, networks, abnormal performance

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

Abstract:

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

Abstract:

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
The University of Chicago and University of Konstanz - Department of Economics

Abstract:

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

Abstract:

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

Abstract: