Anlong Li

Hull Tactical Funds

141 W. Jackson Street #1650

Chicago, IL 60604

United States

SCHOLARLY PAPERS

22

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13,195

SSRN CITATIONS
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Top 33,629

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
York University - Schulich School of Business, Hull Tactical Funds and University of Toronto - Rotman School of Management
Downloads 1,840 (13,208)
Citation 25

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Weather Derivatives, Weather Risk Management

2.

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 1,826 (13,366)
Citation 2

Abstract:

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

3.

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 1,766 (14,126)

Abstract:

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

4.

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 1,419 (19,656)

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
Hull Tactical Funds
Downloads 895 (38,353)

Abstract:

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Option Pricing, Stock Price Numeraire, Change of Measure

6.

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 School of Data Science, City University of Hong Kong
Downloads 830 (42,551)

Abstract:

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options, volatility, prediction, trading strategy

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 759 (47,929)
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 641 (59,776)

Abstract:

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Derivatives, Model Calibration, Replication, Hedging, Risk Management

9.

A Jump Diffusion Model for Contingent CDS Valuation

Number of pages: 10 Posted: 14 Sep 2007
Anlong Li
Hull Tactical Funds
Downloads 553 (72,132)
Citation 2

Abstract:

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

10.

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 530 (76,027)

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

11.

Covariance Matrix Extrapolation for Energy Forward Prices

Number of pages: 19 Posted: 18 Oct 2006
Anlong Li
Hull Tactical Funds
Downloads 514 (78,935)

Abstract:

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Energy Prices, Covariance Matirx Extrapolation, Correlation Triangular Inequality

12.

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 490 (159,929)

Abstract:

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

13.

Three Essays on Contingent Claims Pricing

Number of pages: 139 Posted: 06 Jun 2006
Anlong Li
Hull Tactical Funds
Downloads 350 (123,280)

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 312 (139,284)

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 264 (165,327)

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 187 (228,357)

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 19 (724,427)

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

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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
Hull Tactical Funds, York University - Schulich School of Business and University of Toronto - Rotman School of Management

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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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