Vivek Kapoor

Volaris Capital Management

343 Millburn Ave

Suite 304

Millburn, NJ 07041

United States

http://volariscapital.com

  • Volaris Capital Management

    • Email
    • Tel: 973-985-7128
SCHOLARLY PAPERS

5

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Rank 17,265

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Top 17,265

in Total Papers Downloads

4,125

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (5)

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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 1,533 (16,935)
Citation 8

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
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 1,071 (28,772)
Citation 2

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
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 933 (35,048)
Citation 1

Abstract:

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

4.

Irreducible Risks: Fallacy of Risk-Neutral Approach to Options

Number of pages: 30 Posted: 07 Jan 2021 Last Revised: 10 Mar 2021
Margaret Sundberg, Jake Freeman and Vivek Kapoor
Volaris Capital Management, Volaris Capital Management and Volaris Capital Management
Downloads 397 (103,843)

Abstract:

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options, optimal hedging, irreducible risks, risk premium, risk-neutral probability

5.

Irreducible Risks of Hedging a Bond with a Default Swap

Number of pages: 20 Posted: 21 Jun 2019
Vivek Kapoor and Jake Freeman
Volaris Capital Management and Volaris Capital Management
Downloads 191 (217,989)

Abstract:

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hedging, risk, default, static hedging, optimal hedge ratio, bonds, quantitative, risk premium, market efficiency, risk management, irreducible risk