Jimmy E. Hilliard

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Cherie H. Flores Endowed Chair of MBA Studies and Professor

Department of Finance

Baton Rouge, LA 70803-6308

United States

SCHOLARLY PAPERS

16

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15

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Scholarly Papers (16)

Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes

Journal of Financial Research, Vol. 24, No. 4, Winter 2001
Number of pages: 40 Posted: 23 Nov 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 538 (48,897)

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps

Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes

Journal of Financial Research, Vol. 24, No. 2, Winter 2001
Number of pages: 40 Posted: 02 Jan 2001
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 144 (198,999)

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps

2.

Pricing European and American Derivatives Under a Jump-Diffusion Process: A Bivariate Tree Approach

Number of pages: 50 Posted: 23 Jun 2003
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 436 (64,333)

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jump-diffusion, bivariate tree, options

3.

Testing a Jump-Diffusion Stochastic Interest Rates Model in Currency Options Markets

Advances in Futures and Options Research, Vol. 11, 2001
Number of pages: 42 Posted: 04 Dec 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 393 (72,842)

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps, Skewness, Kurtosis

4.

On Stochastic Volatility and More Powerful Parametric Tests of Event Effects on Unsystematic Returns

Number of pages: 50 Posted: 07 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 331 (88,859)

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On the Statistical Significance of Event Effects on Unsystematic Volatility

Number of pages: 41 Posted: 25 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 318 (92,278)

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On the Statistical Significance of Event Effects on Unsystematic Volatility

Forthcoming in Journal of Financial Research
Posted: 08 Jun 2001
Robert Savickas and Jimmy E. Hilliard
George Washington University - School of Business - Department of Finance and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

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6.

Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue

Number of pages: 44 Posted: 18 Dec 2005
Don M. Chance, Eric T. Hillebrand and Jimmy E. Hilliard
Louisiana State University, Baton Rouge - Department of Finance, Aarhus University - CREATES and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 213 (140,509)

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option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update

7.

Short Maturity Options and Jump Memory: An Empirical Analysis

Number of pages: 40 Posted: 26 Nov 2002
Tom Arnold, Jimmy E. Hilliard and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 179 (164,972)

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options, jump-memory, jump-diffusions, SPX, genetic

8.

Information Inherent in Implicit Distributions

Research in Finance, Vol.18, pp. 195-220, 2001
Number of pages: 32 Posted: 22 Nov 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 111 (242,239)

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Implicit Distributions, Skewness, Kurtosis, Probabilistic Information, Parametric Approach

9.

Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices

Financial Review, Vol. 50, Issue 1, pp. 27-56, 2015
Number of pages: 30 Posted: 14 Jan 2015
Jimmy E. Hilliard and Jitka Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Auburn University
Downloads 1 (637,860)
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gold, copper, options, density matching, early exercise, Kalman filter

10.

Timing Versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance

Financial Review, Vol. 46, Issue 4, pp. 595-620, 2011
Number of pages: 26 Posted: 08 Oct 2011
Jimmy E. Hilliard and Jitka Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and affiliation not provided to SSRN
Downloads 1 (637,860)
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market timing, timer model, buy and hold, G11, G14, G17

11.

Regulatory Soft Interventions in the Chinese Market: Compliance Effects and Impact on Option Market Efficiency

Financial Review, Vol. 54, Issue 2, pp. 265-301, 2019
Number of pages: 37 Posted: 03 Apr 2019
Jimmy E. Hilliard and Haoran Zhang
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Auburn University, Harbert College of Business, Department of Finance, Students
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Chinese market, soft interventions, options, efficient markets, putā€call parity

12.

Bivariate Binomial Options Pricing (with an Application to American Futures Options with Stochastic Interest Rates)

Posted: 17 Aug 1999
Jimmy E. Hilliard, Adam Schwartz and Alan L. Tucker
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, Washington and Lee University - Department of Business Administration and Pace University - Lubin School of Business

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13.

Analytics Underlying the Ag Metallgesellschaft Hedge: Short Term Forwards in a Multi-Period Environment

Posted: 23 Jul 1999
Jimmy E. Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

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14.

Valuing Prepayment and Default in a Fixed Rate Mortgage: A Bivariate Binomial Options Pricing Technique

Posted: 03 Nov 1998
Jimmy E. Hilliard, James B. Kau and V. Carlos Slawson
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Georgia - Department of Insurance, Legal Studies, Real Estate and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Abstract:

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15.

Pricing Options on Traded Assets Under Stochastic Interest Rates and Volatility: A Binomial Approach

The Journal of Financial Engineering, Vol. 6, No. 4, December 1997
Posted: 19 May 1998
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

J. OF DERIVATIVES, Fall 1996
Posted: 29 Aug 1996
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

Posted: 15 Mar 1995
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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