Lorenz Schneider

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

7

DOWNLOADS

768

SSRN CITATIONS
Rank 44,810

SSRN RANKINGS

Top 44,810

in Total Papers Citations

9

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options

Journal of Banking & Finance, Volume 95, October 2018, Pages 185-202
Number of pages: 39 Posted: 27 Sep 2014 Last Revised: 23 Feb 2019
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 277 (131,258)
Citation 5

Abstract:

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Multi-factor stochastic volatility, Futures curve modelling, Option pricing, Calendar spread options, Crude oil, Fourier inversion methods

2.

Seasonal Volatility in Agricultural Markets: Modelling and Empirical Investigations

Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 11 Mar 2021
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 226 (160,737)
Citation 2

Abstract:

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Stochastic Volatility, Model Selection, Agricultural Commodities, Seasonal Volatility

3.

Transaction Costs, Option Prices, and Model Risk in Fair Value Accounting

European Accounting Review, Forthcoming
Number of pages: 56 Posted: 02 Sep 2015 Last Revised: 03 Sep 2019
Loïc Belze, Francois Larmande and Lorenz Schneider
EMLYON Business School, HEC Paris - Accounting and Management Control Department and EMLYON Business School
Downloads 138 (247,378)
Citation 2

Abstract:

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Fair Value, ESO, Transaction Costs, Mark-to-Model, Non-Tradability

4.

Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

Finance Stochastics, Vol. 16, No. 2, 2012
Number of pages: 23 Posted: 21 Oct 2014
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Downloads 40 (496,877)
Citation 2

Abstract:

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Entropy, Information theory, I-divergence, Asset distribution, Option pricing, Volatility smile

5.

Firm Value in Emerging Network Industries

Information Economics and Policy, Vol. 26, 2014
Number of pages: 23 Posted: 01 Oct 2014
Lorenz Schneider
EMLYON Business School
Downloads 38 (506,113)

Abstract:

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Network Industries, Network Effects, Market Expectations, Firm Valuation, Monte Carlo Simulation

6.

The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

Entropy, Vol. 16 Nr. 5, May 2014, pp. 2642-2668
Number of pages: 25 Posted: 21 Oct 2014
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Downloads 28 (557,973)

Abstract:

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Entropy, Relative Entropy, Kullback-Leibler Information Number, Asset Distribution, Option Pricing, Fourier Transform, Variance Swap

7.

A Family of Maximum Entropy Densities Matching Call Option Prices

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 27 Posted: 21 Oct 2014
Cassio Neri and Lorenz Schneider
Lloyds Banking Group and EMLYON Business School
Downloads 21 (602,414)
Citation 2

Abstract:

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Entropy, Information Theory, I-Divergence, Asset Distribution, Option Pricing