Anlong Li

KL Capital

Portfolio Manager

141 Jackson Blvd

Suite 1650

Chcago, IL 60604

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 3,688

SSRN RANKINGS

Top 3,688

in Total Papers Downloads

11,526

SSRN CITATIONS
Rank 29,273

SSRN RANKINGS

Top 29,273

in Total Papers Citations

0

CROSSREF CITATIONS

26

Scholarly Papers (21)

1.

Valuation of Credit Contingent Options with Applications to Quanto CDS

Number of pages: 19 Posted: 30 Jun 2008 Last Revised: 20 Nov 2013
Anlong Li
KL Capital
Downloads 1,774 (9,853)
Citation 2

Abstract:

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Credit Derivatives, Quanto CDS, Extingushable Cross Currency Swap, Credit Correlaton, Jump Diffusion, Copula, Currency Devaluation

2.

The Pricing of Double Barrier Options and Their Variations

Advances in Futures and Options Research, Vol. 10, 1998
Number of pages: 25 Posted: 07 Nov 2005
Anlong Li
KL Capital
Downloads 1,670 (10,865)

Abstract:

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Double Barrier Options, Reflection Principal of Brownian Motion,Change of Measures

3.

Weather Derivatives: A New Class of Financial Instruments

Number of pages: 30 Posted: 24 Sep 2007
York University - Schulich School of Business, KL Capital and University of Toronto - Rotman School of Management
Downloads 1,620 (11,430)
Citation 20

Abstract:

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Weather Derivatives, Weather Risk Management

4.

Libor-in-Arrears Swaps

Journal of Derivatives, Spring 1996
Number of pages: 10 Posted: 22 Oct 2000
Anlong Li and Vijay raghavan
KL Capital and Cantor Fitzgerald
Downloads 1,299 (16,107)

Abstract:

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LIBOR-in-arrears, Convexity Adjustment, Interest Rate Swap

5.

Using Stock Price as Numeraire in Option Pricing Models with Non-Constant Volatility

Advances in Futures and Options Research, Vol. 9, 1997
Number of pages: 16 Posted: 20 Oct 2006
Anlong Li
KL Capital
Downloads 824 (31,408)

Abstract:

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Option Pricing, Stock Price Numeraire, Change of Measure

6.

Valuation of Swaps and Options on Constant Maturity CDS Spreads

Number of pages: 19 Posted: 22 Jul 2008
Anlong Li
KL Capital
Downloads 733 (36,854)
Citation 1

Abstract:

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constant maturity credit default swap, convexity adjustment, credit derivatives

7.

Model Calibration, Risk Measurement, and the Hedging of Derivatives

Number of pages: 16 Posted: 02 May 2006
Anlong Li
KL Capital
Downloads 628 (45,349)

Abstract:

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Derivatives, Model Calibration, Replication, Hedging, Risk Management

8.

A Jump Diffusion Model for Contingent CDS Valuation

Number of pages: 10 Posted: 14 Sep 2007
Anlong Li
KL Capital
Downloads 543 (54,636)
Citation 2

Abstract:

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Contingent Credit Default Swap, Counterparty Credit Risk, Jump Diffusion, Annuity Measure

9.

A One-Factor Lognormal Markovian Interest Rate Model: Theory and Implementation

Advances in Futures and Options Research, Vol. 8, 1995
Number of pages: 12 Posted: 20 Oct 2006
Anlong Li
KL Capital
Downloads 520 (57,751)

Abstract:

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Term Structure of Interest Rates, Short Rate Model, Markovian Interest Rate Model, Lognormal Interest Rates, Re-combining Tree, Tirnomial Tree, Fast Calibration

10.

Covariance Matrix Extrapolation for Energy Forward Prices

Number of pages: 19 Posted: 18 Oct 2006
Anlong Li
KL Capital
Downloads 485 (62,991)

Abstract:

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Energy Prices, Covariance Matirx Extrapolation, Correlation Triangular Inequality

11.

Improvements to the CBOE VIX Calculation Formula

Number of pages: 26 Posted: 26 Jun 2017 Last Revised: 13 Jan 2020
Anlong Li
KL Capital
Downloads 345 (159,929)

Abstract:

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Options, VIX, Volatility Index, Variance Swap, CBOE, SPX

12.

Three Essays on Contingent Claims Pricing

Number of pages: 139 Posted: 06 Jun 2006
Anlong Li
KL Capital
Downloads 336 (97,048)

Abstract:

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Binomial Models, Singular Diffusions, Weak Convergence, American Options, Term Structure of Interest Rate, Deposit Insurance, Optimal Stopping Time

13.

A One-Factor Volatility Smile Model with Closed-Form Solutions for European Options

European Financial Management Journal, Vol. 5, pp. 203-222, 1999
Number of pages: 32 Posted: 19 Oct 2006
Anlong Li
KL Capital
Downloads 301 (109,517)

Abstract:

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option pricing, implied volatility, skewness, volatility smiles, equivalent martingale measure

14.

Futures Hedging Under Mark-to-Market Risk

Journal of Futures Markets, Vol. 23, No. 4, 2003
Number of pages: 16 Posted: 17 Oct 2007
Anlong Li and Donald D. Lien
KL Capital and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 257 (129,473)

Abstract:

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Futures, Hedging, Marking-to-market

15.

Binomial Approximations of Singular Diffusions in Financial Models

Number of pages: 26 Posted: 20 Oct 2006
Anlong Li
KL Capital
Downloads 182 (179,631)

Abstract:

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Binomial Models, Singular Diffusions, Weak Convergence, Term Structure of Interest Rate

16.

Emerging Trends in Risk Reporting

Appeared in "Risk Management - A Modern Perspective", 2006, Academic Press
Number of pages: 17 Posted: 10 Oct 2018
Vijay raghavan and Anlong Li
Cantor Fitzgerald and KL Capital
Downloads 9 (635,923)

Abstract:

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Risk Management, Risk Reporting, Financial Institutions

17.

Optimal Bank Portfolio Choice Under Fixed-Rate Deposit Insurance

Annals of Operation Research, Vol. 45, No. 1, 1993
Posted: 17 Oct 2007
Anlong Li
KL Capital

Abstract:

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Contingent Credit Default Swap, Counterparty Credit Risk, Jump Diffusion, Annuity Measure

18.

Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives

Journal of Alternative Investments, Vol. 7, No. 2, 2004
Posted: 22 Sep 2007
KL Capital, York University - Schulich School of Business and University of Toronto - Rotman School of Management

Abstract:

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Weather Derivatives, Weather Risk Management, Precipitation Modeling

19.

The Asset Flexibility Option and the Value of Deposit Insurance

Research in Finance, Vol. 13, 1995
Posted: 16 Jun 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and KL Capital

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deposit insurance, regulation, banks, options

On Flexibility, Capital Structure, and Investment Decisions for the Insured Bank

Journal of Banking and Finance, Vol. 27
Posted: 05 May 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and KL Capital

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deposit insurance, synamic model, volatility, capital structure

On Flexibility, Capital Structure, and Investment Decisions for the Insured Bank

Posted: 05 May 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and KL Capital

Abstract:

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deposit insurance, dynamic model, volatility, capital structure

21.

Lattice Models for Pricing American Interest Rate Claims

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 20 Dec 1998
KL Capital, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

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