Anlong Li

Portunes LLC

President

1410 N State Pkwy Apt 19a

chicago, IL 60610-4938

United States

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 2,827

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10,515

CITATIONS
Rank 19,365

SSRN RANKINGS

Top 19,365

in Total Papers Citations

16

Scholarly Papers (20)

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
Portunes LLC
Downloads 1,700 (7,360)

Abstract:

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
Portunes LLC
Downloads 1,470 (8,228)
Citation 5

Abstract:

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, Portunes LLC and University of Toronto - Rotman School of Management
Downloads 1,233 (10,223)
Citation 2

Abstract:

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
Portunes LLC and Cantor Fitzgerald
Downloads 1,097 (12,675)
Citation 1

Abstract:

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

5.

Valuation of Swaps and Options on Constant Maturity CDS Spreads

Number of pages: 19 Posted: 22 Jul 2008
Anlong Li
Portunes LLC
Downloads 705 (28,496)
Citation 1

Abstract:

constant maturity credit default swap, convexity adjustment, credit derivatives

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
Portunes LLC
Downloads 680 (26,326)
Citation 1

Abstract:

Option Pricing, Stock Price Numeraire, Change of Measure

7.

Model Calibration, Risk Measurement, and the Hedging of Derivatives

Number of pages: 16 Posted: 02 May 2006
Anlong Li
Portunes LLC
Downloads 584 (35,429)

Abstract:

Derivatives, Model Calibration, Replication, Hedging, Risk Management

8.

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
Portunes LLC
Downloads 492 (44,565)
Citation 3

Abstract:

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

9.

A Jump Diffusion Model for Contingent CDS Valuation

Number of pages: 10 Posted: 14 Sep 2007
Anlong Li
Portunes LLC
Downloads 488 (43,384)
Citation 1

Abstract:

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

10.

Covariance Matrix Extrapolation for Energy Forward Prices

Number of pages: 19 Posted: 18 Oct 2006
Anlong Li
Portunes LLC
Downloads 444 (48,663)

Abstract:

Energy Prices, Covariance Matirx Extrapolation, Correlation Triangular Inequality

11.

Three Essays on Contingent Claims Pricing

Number of pages: 139 Posted: 06 Jun 2006
Anlong Li
Portunes LLC
Downloads 301 (78,630)

Abstract:

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

12.

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
Portunes LLC
Downloads 286 (86,351)
Citation 1

Abstract:

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

13.

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
Portunes LLC and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 245 (101,081)

Abstract:

Futures, Hedging, Marking-to-market

14.

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
Portunes LLC
Downloads 175 (140,617)
Citation 1

Abstract:

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

15.

A Correction to the CBOE VIX Calculation Formula

Number of pages: 11 Posted: 26 Jun 2017
Anlong Li
Portunes LLC
Downloads 0 (294,748)

Abstract:

Options, Volatility Index, Variance Swap

16.

Optimal Bank Portfolio Choice Under Fixed-Rate Deposit Insurance

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

Abstract:

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

17.

Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives

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

Abstract:

Weather Derivatives, Weather Risk Management, Precipitation Modeling

18.

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 Portunes LLC

Abstract:

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 Portunes LLC

Abstract:

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 Portunes LLC

Abstract:

deposit insurance, dynamic model, volatility, capital structure

20.

Lattice Models for Pricing American Interest Rate Claims

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

Abstract: