Rupak Chatterjee

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 16,808

SSRN RANKINGS

Top 16,808

in Total Papers Downloads

2,920

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

Number of pages: 85 Posted: 01 Jan 2010 Last Revised: 21 Jun 2019
Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology, affiliation not provided to SSRN and Volaris Capital Management
Downloads 1,179 (17,391)
Citation 3

Abstract:

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options, hedging, kurtosis, skewness, residual-risk, transaction-costs, hurdle-return, risk-capital, volatility trading

2.

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 898 (25,980)
Citation 1

Abstract:

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

3.

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 843 (28,369)
Citation 2

Abstract:

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

4.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 0 (681,686)

Abstract:

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variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations

5.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34, http://jod.pm-research.com/content/26/3/22
Posted: 15 Jun 2018 Last Revised: 05 Oct 2019
Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionut Florescu
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology

Abstract:

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variance swaption, stochastic volatility, multinomial tree