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

  • City University of Hong Kong

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SCHOLARLY PAPERS

16

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4,690

SSRN CITATIONS
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Top 19,500

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11

CROSSREF CITATIONS

42

Scholarly Papers (16)

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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 785 (49,361)
Citation 11

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

2.

A Model of Corporate Liquidity

Downloads 618 (67,620)
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 595 (70,072)
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 (775,903)
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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

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 546 (78,942)
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 493 (89,567)

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Capital structure, cash holding, corporate finance, liquidation

5.

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

Downloads 400 (114,456)
Citation 2

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 269 (174,538)

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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 131 (332,636)
Citation 3

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Index options, smirk, factor analysis

6.

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 347 (134,313)

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International Market Segmentation, Correlation, Quanto futures contracts

7.

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 309 (151,869)
Citation 1

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

8.

Price, Production, Storage and Futures Markets

Number of pages: 24 Posted: 11 Jul 2001
Andrew P. Carverhill
City University of Hong Kong
Downloads 291 (161,727)

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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 237 (198,573)
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

Number of pages: 44 Posted: 04 Dec 2003
Andrew P. Carverhill
City University of Hong Kong
Downloads 195 (238,176)
Citation 1

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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 143 (309,745)
Citation 2

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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 139 (316,738)
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 99 (404,225)

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

14.

"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options

Number of pages: 57 Posted: 05 May 2020 Last Revised: 06 May 2020
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 44 (615,341)

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Levy Jumps, Leverage Effect, Risk Premia, Market Liquidity, Return Predictability

15.

CGMY-Modeling of Equity Index Options: Optimal Econometric Specifications

Number of pages: 33 Posted: 28 Dec 2022
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 27 (721,584)

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Leverage effect, Lévy jumps, risk premia, market liquidity, return predictability.

16.

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 (800,214)
Citation 6
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Capital structure, dynamic corporate finance, liquidity