Olivia Siu

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 16,584

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Top 16,584

in Total Papers Downloads

2,884

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (3)

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 1,156 (17,432)
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 893 (25,542)
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 835 (28,048)
Citation 2

Abstract:

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