Robert Huitema

University of Zurich - Department of Banking and Finance

Sch├Ânberggasse 1

Z├╝rich, 8001

Switzerland

SCHOLARLY PAPERS

4

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Top 27,194

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2,363

SSRN CITATIONS
Rank 34,186

SSRN RANKINGS

Top 34,186

in Total Papers Citations

5

CROSSREF CITATIONS

19

Scholarly Papers (4)

1.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Francesco Audrino, Robert Huitema and Markus Ludwig
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 970 (30,187)
Citation 22

Abstract:

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risk-neutral density, pricing kernel, risk aversion, predictive information

2.

Optimal Portfolio Execution Using Market and Limit Orders

Number of pages: 29 Posted: 01 Jan 2012 Last Revised: 14 Mar 2014
Robert Huitema
University of Zurich - Department of Banking and Finance
Downloads 858 (35,830)
Citation 9

Abstract:

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Optimal portfolio execution, liquidity effects, market order, limit order, HJB equation, partial integro-differential equation, ADI method

3.

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Journal of Banking and Finance, 77, 249-268, (2017), Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 16 Oct 2020
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 393 (96,388)
Citation 2

Abstract:

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Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread

4.

Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying

Number of pages: 67 Posted: 13 Aug 2014
Robert Huitema and Bas Peeters
University of Zurich - Department of Banking and Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 142 (259,046)
Citation 1

Abstract:

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Stochastic volatility, jump-diffusion modeling, risk aversion, market modeling, implied volatility surface