Anlong Li

Hull Tactical Funds

141 W. Jackson Street #1650

Chicago, IL 60604

United States

SCHOLARLY PAPERS

22

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14,993

SSRN CITATIONS
Rank 39,531

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Top 39,531

in Total Papers Citations

0

CROSSREF CITATIONS

24

Scholarly Papers (22)

1.

Weather Derivatives: A New Class of Financial Instruments

Number of pages: 30 Posted: 24 Sep 2007
Melanie Cao, Anlong Li and Jason Wei
York University - Schulich School of Business, Hull Tactical Funds and University of Toronto - Rotman School of Management
Downloads 2,025 (15,024)
Citation 29

Abstract:

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Weather Derivatives, Weather Risk Management

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
Hull Tactical Funds
Downloads 1,884 (16,823)

Abstract:

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

3.

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
Hull Tactical Funds
Downloads 1,854 (17,269)
Citation 2

Abstract:

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

4.

Option Pricing Via Breakeven Volatility

Financial Analysts Journal, Forthcoming
Number of pages: 56 Posted: 11 Oct 2021 Last Revised: 10 Jul 2022
Blair Hull, Anlong Li and Xiao Qiao
HTAA, LLC, Hull Tactical Funds and City University of Hong Kong (CityU)
Downloads 1,731 (19,208)

Abstract:

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options, volatility, prediction, trading strategy

5.

Libor-in-Arrears Swaps

Journal of Derivatives, Spring 1996
Number of pages: 10 Posted: 22 Oct 2000
Anlong Li and Vijay raghavan
Hull Tactical Funds and Cantor Fitzgerald
Downloads 1,624 (21,202)

Abstract:

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

6.

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
Hull Tactical Funds
Downloads 920 (48,439)

Abstract:

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Option Pricing, Stock Price Numeraire, Change of Measure

7.

Valuation of Swaps and Options on Constant Maturity CDS Spreads

Number of pages: 19 Posted: 22 Jul 2008
Anlong Li
Hull Tactical Funds
Downloads 787 (59,948)
Citation 1

Abstract:

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constant maturity credit default swap, convexity adjustment, credit derivatives

8.

Model Calibration, Risk Measurement, and the Hedging of Derivatives

Number of pages: 16 Posted: 02 May 2006
Anlong Li
Hull Tactical Funds
Downloads 658 (75,638)

Abstract:

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Derivatives, Model Calibration, Replication, Hedging, Risk Management

9.

Improvements to the CBOE VIX Calculation Formula

Number of pages: 26 Posted: 26 Jun 2017 Last Revised: 13 Jan 2020
Anlong Li
Hull Tactical Funds
Downloads 612 (159,929)

Abstract:

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

10.

A Jump Diffusion Model for Contingent CDS Valuation

Number of pages: 10 Posted: 14 Sep 2007
Anlong Li
Hull Tactical Funds
Downloads 581 (88,443)
Citation 2

Abstract:

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

11.

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
Hull Tactical Funds
Downloads 557 (93,199)

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

12.

Covariance Matrix Extrapolation for Energy Forward Prices

Number of pages: 19 Posted: 18 Oct 2006
Anlong Li
Hull Tactical Funds
Downloads 542 (96,504)

Abstract:

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Energy Prices, Covariance Matirx Extrapolation, Correlation Triangular Inequality

13.

Three Essays on Contingent Claims Pricing

Number of pages: 139 Posted: 06 Jun 2006
Anlong Li
Hull Tactical Funds
Downloads 372 (150,198)

Abstract:

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

14.

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
Hull Tactical Funds
Downloads 331 (170,512)

Abstract:

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

15.

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
Hull Tactical Funds and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 280 (203,229)

Abstract:

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Futures, Hedging, Marking-to-market

16.

Binomial Approximations of Singular Diffusions in Financial Models

International Journal of Financial Engineering, pp. 443-465, December 1993
Number of pages: 26 Posted: 20 Oct 2006
Anlong Li
Hull Tactical Funds
Downloads 203 (277,257)

Abstract:

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

17.

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 Hull Tactical Funds
Downloads 32 (844,571)

Abstract:

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Risk Management, Risk Reporting, Financial Institutions

18.

Optimal Bank Portfolio Choice Under Fixed-Rate Deposit Insurance

Annals of Operation Research, Vol. 45, No. 1, 1993
Posted: 17 Oct 2007
Anlong Li
Hull Tactical Funds

Abstract:

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

19.

Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives

Journal of Alternative Investments, Vol. 7, No. 2, 2004
Posted: 22 Sep 2007
Anlong Li, Melanie Cao and Jason Wei
Hull Tactical Funds, 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

20.

The Asset Flexibility Option and the Value of Deposit Insurance

Research in Finance, Vol. 13, 1995, Bank Structure and Competition: Rebuilding Banking, Federal Reserve Bank of Chicago, pp. 153-176, 1991
Posted: 16 Jun 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and Hull Tactical Funds

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deposit insurance, regulation, banks, options

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 Hull Tactical Funds

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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 Hull Tactical Funds

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deposit insurance, dynamic model, volatility, capital structure

22.

Lattice Models for Pricing American Interest Rate Claims

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

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