Robert Huitema

University of Zurich - Department of Banking and Finance

Sch├Ânberggasse 1

Z├╝rich, 8001

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 22,377

SSRN RANKINGS

Top 22,377

in Total Papers Downloads

2,114

SSRN CITATIONS
Rank 27,131

SSRN RANKINGS

Top 27,131

in Total Papers Citations

3

CROSSREF CITATIONS

21

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 864 (26,743)
Citation 18

Abstract:

Loading...

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 758 (32,007)
Citation 9

Abstract:

Loading...

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, Forthcoming, Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 26 Jan 2017
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 355 (83,487)

Abstract:

Loading...

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 137 (210,253)
Citation 1

Abstract:

Loading...

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