Andrew P. Carverhill

City University of Hong Kong

Dr

Department of Economics and Finance

Tat Chee Avenue, Kowloon Tong

Hong Kong, Hong Kong SAR 000000

China

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 11,838

SSRN RANKINGS

Top 11,838

in Total Papers Downloads

4,146

SSRN CITATIONS
Rank 17,796

SSRN RANKINGS

Top 17,796

in Total Papers Citations

11

CROSSREF CITATIONS

37

Scholarly Papers (15)

1.

Alternative Neural Network Approach for Option Pricing and Hedging

Number of pages: 17 Posted: 27 Dec 2003
Andrew P. Carverhill and Terry H. F. Cheuk
City University of Hong Kong and The University of Hong Kong - School of Business
Downloads 644 (41,595)
Citation 8

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Derivatives, Options, Hedging, Neural Network, Non-Parametric Estimation

2.
Downloads 591 ( 46,665)
Citation 2

A Model of Corporate Liquidity

EFA 2004 Maastricht Meetings Paper No. 4013
Number of pages: 42 Posted: 24 Jul 2004
Ronald W. Anderson and Andrew P. Carverhill
London School of Economics & Political Science - Department of Finance and City University of Hong Kong
Downloads 568 (48,487)
Citation 2

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A Model of Corporate Liquidity

CEPR Discussion Paper No. 4994
Number of pages: 45 Posted: 22 Aug 2005
Ronald W. Anderson and Andrew P. Carverhill
London School of Economics & Political Science - Department of Finance and City University of Hong Kong
Downloads 23 (539,378)
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Corporate finance, contingent claims, liquidity, dividend policy

3.

The Price of the Smirk: Returns to Delta and Vega Neutral Portfolios of S&P 500 Futures Options

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 30 Posted: 08 Feb 2002
Andrew P. Carverhill, Terry H. F. Cheuk and Sigurd Dyrting
City University of Hong Kong, The University of Hong Kong - School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 480 (60,692)
Citation 3

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4.

Liquidity and Capital Structure

Number of pages: 56 Posted: 15 Mar 2011
Andrew P. Carverhill
City University of Hong Kong
Downloads 465 (63,135)

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Capital structure, cash holding, corporate finance, liquidation

The Smirk in the S&P500 Futures Options Prices: A Linearized Factor Analysis

Number of pages: 39 Posted: 11 Mar 2005
Andrew P. Carverhill, Terry H. F. Cheuk and Sigurd Dyrting
City University of Hong Kong, The University of Hong Kong - School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 249 (126,907)

Abstract:

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futures, options, S&P500 index, smirk

The Smirk in the S&P500 Futures Options Prices: A Linearized Factor Analysis

Number of pages: 34 Posted: 14 Feb 2009
Terry H. F. Cheuk, Sigurd Dyrting and Andrew P. Carverhill
The University of Hong Kong - School of Business, Hong Kong University of Science & Technology (HKUST) - Department of Finance and City University of Hong Kong
Downloads 118 (245,747)
Citation 3

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Index options, smirk, factor analysis

6.

Predictability and the Dynamics of Long Forward Rates

Number of pages: 39 Posted: 08 May 2001
Andrew P. Carverhill
City University of Hong Kong
Downloads 294 (107,036)

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Predictability, autocorrelation, STRIPS, interest rates, forward rates, term structure, volatility

7.

The Cme Quanto Nikkei Future: Does it Reveal International Market Segmentation?

Number of pages: 27 Posted: 11 Mar 2002
Andrew P. Carverhill and Ron Schramm
City University of Hong Kong and Columbia University - Columbia Business School
Downloads 291 (108,259)

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International Market Segmentation, Correlation, Quanto futures contracts

8.

Price, Production, Storage and Futures Markets

EFA 2001 Barcelona Meetings
Number of pages: 24 Posted: 11 Jul 2001
Andrew P. Carverhill
City University of Hong Kong
Downloads 280 (112,781)

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9.

Pricing and Integration of Credit Default Swap Index Tranches

Carverhill, Andrew and Dan Luo, 2019. Pricing and Integration of Credit Default Swap Index Tranches, Journal of Futures Markets, Forthcoming.
Number of pages: 49 Posted: 17 Mar 2011 Last Revised: 24 Nov 2019
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 193 (162,764)
Citation 2

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Credit Default Swap Index, Collateralized Debt Obligation Tranches, Default Intensity, Option Smirk, Market Integration

10.

An Affine Model of Long Maturity Forward Rates, with Predictable Risk Premium

AFA 2004 San Diego Meetings
Number of pages: 44 Posted: 04 Dec 2003
Andrew P. Carverhill
City University of Hong Kong
Downloads 182 (171,710)

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11.

Modelling Long Maturity Interest Rates

Number of pages: 32 Posted: 03 Mar 2007
Andrew P. Carverhill
City University of Hong Kong
Downloads 124 (235,789)
Citation 1

Abstract:

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Interest rate, term structure, affine models, long maturity

12.

A Q-Theory Model of Corporate Liquidity and Capital Structure: Development, Fitting and Applications

Number of pages: 42 Posted: 09 Sep 2014
Andrew P. Carverhill
City University of Hong Kong
Downloads 117 (246,167)
Citation 1

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Q-Theory, capital structure, liquidity, zero leverage, cash flow sensitivity of cash

13.

Modelling Long Maturity Forward Rates with Overshooting

Number of pages: 40 Posted: 05 Mar 2008
Andrew P. Carverhill
City University of Hong Kong
Downloads 84 (306,947)

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forward rates, overshooting, long maturity, term structure of interest rates

14.

‘Up’ and ‘Down’ Lévy Jumps and the Risk Premia in Options and Returns

Number of pages: 34 Posted: 14 May 2019
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 17 (558,950)

Abstract:

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Leverage effect, Levy jumps, Equity premium

15.

Liquidity and Capital Structure

CEPR Discussion Paper No. 6044
Number of pages: 52 Posted: 28 Jun 2007
Ronald W. Anderson and Andrew P. Carverhill
London School of Economics & Political Science - Department of Finance and City University of Hong Kong
Downloads 17 (558,950)
Citation 3
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Capital structure, dynamic corporate finance, liquidity