Olivia Siu

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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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
Andrea Petrelli, Ram Balachandran, Olivia Siu, Rupak Chatterjee, Zhang Jun and Vivek Kapoor
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 1,719 (17,326)
Citation 8

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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
Jiaxin Wang, Andrea Petrelli, Ram Balachandran, Olivia Siu, Jun Zhang, Rupak Chatterjee and Vivek Kapoor
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 1,173 (30,715)
Citation 2

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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
Andrea Petrelli, Ram Balachandran, Jun Zhang, Olivia Siu, Rupak Chatterjee and Vivek Kapoor
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 1,015 (37,647)
Citation 1

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