Daniël Linders

University of Illinois

Assistant Professor

306 Altgeld Hall,

1409 West Green Street

Champaign, IL 61822

United States

  • University of Illinois

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 19,338

SSRN RANKINGS

Top 19,338

in Total Papers Downloads

2,512

SSRN CITATIONS
Rank 10,764

SSRN RANKINGS

Top 10,764

in Total Papers Citations

36

CROSSREF CITATIONS

52

Scholarly Papers (18)

Actions:
Email selected abstracts
1.

The Herd Behavior Index: A New Measure for the Implied Degree of Co-Movement in Stock Markets

Downloads 823 ( 29,113)
Citation 7

The Herd Behavior Index: A New Measure for the Implied Degree of Co-Movement in Stock Markets

Insurance: Mathematics and Economics, Vol. 50, No. 3, 2012
Number of pages: 31 Posted: 12 Sep 2011 Last Revised: 22 Feb 2012
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 644 (40,028)
Citation 8

Abstract:

Loading...

Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index

The Herd Behavior Index: A New Measure for Systemic Risk in Financial Markets

Number of pages: 32 Posted: 01 Dec 2011 Last Revised: 18 Jan 2015
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 179 (170,748)

Abstract:

Loading...

Comonotonicity, systemic risk, correlation, VIX volatility index

2.

FIX - The Fear Index: Measuring Market Fear

Downloads 388 ( 76,686)
Citation 5

FIX - The Fear Index: Measuring Market Fear

Number of pages: 17 Posted: 18 Jul 2011 Last Revised: 18 Jan 2015
Jan Dhaene, Julia Dony, Monika B. Forys, Daniël Linders and Wim Schoutens
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 325 (93,247)
Citation 6

Abstract:

Loading...

FIX - The Fear Index: Measuring Market Fear

Number of pages: 18 Posted: 01 Dec 2011
Jan Dhaene, Julia Dony, Monika B. Forys, Daniël Linders and Wim Schoutens
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 63 (358,516)
Citation 4

Abstract:

Loading...

3.

Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

Proceedings of the conference 'Challenges in Derivatives Markets', eds: Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, 2015
Number of pages: 33 Posted: 21 Jul 2014 Last Revised: 28 Oct 2015
Daniël Linders and Wim Schoutens
University of Illinois and KU Leuven - Department of Mathematics
Downloads 193 (159,579)
Citation 4

Abstract:

Loading...

basket options, characteristic function, implied correlation, Lévy market, Variance-Gamma

4.

Pricing Index Options in a Multivariate Black & Scholes Model

Downloads 178 (171,604)
Citation 2

Pricing Index Options in a Multivariate Black & Scholes Model

Number of pages: 23 Posted: 03 Oct 2013 Last Revised: 05 Nov 2013
Daniël Linders
University of Illinois
Downloads 91 (288,659)
Citation 3

Abstract:

Loading...

Comonotonicity, index option, basket option, multivariate Black & Scholes

Pricing Index Options in a Multivariate Black & Scholes Model

Number of pages: 25 Posted: 20 Jan 2014
Daniël Linders
University of Illinois
Downloads 87 (297,121)
Citation 3

Abstract:

Loading...

5.

A Multivariate Dependence Measure for Aggregating Risks

Downloads 112 (249,032)
Citation 2

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 16 Posted: 19 Jan 2014
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 71 (335,846)
Citation 3

Abstract:

Loading...

comonotonic copula, independence, aggregate distribution, concordance order, positive quadrant dependence

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 14 Posted: 22 Aug 2013
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 41 (436,364)

Abstract:

Loading...

comonotonic copula, independence, aggregate distribution, concordance order, positive

6.

Affordable and Adequate Annuities with Stable Payouts: Fantasy or Reality?

Number of pages: 61 Posted: 20 Nov 2017 Last Revised: 27 Feb 2019
Servaas van Bilsen and Daniël Linders
University of Amsterdam - Department of Quantitative Economics and University of Illinois
Downloads 104 (262,330)

Abstract:

Loading...

Variable Annuities, Buffering of Portfolio Shocks, General Financial Market, Risk Management Framework, Model Risk

7.

Index Options: A Model-Free Approach

Downloads 104 (262,330)
Citation 6

Index Options: A Model-Free Approach

Number of pages: 55 Posted: 28 Mar 2012 Last Revised: 03 Apr 2012
Daniël Linders, Jan Dhaene, Hippolyte Hounnon and Michèle Vanmaele
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 59 (370,812)
Citation 5

Abstract:

Loading...

index call and put options, comonotonicity, model-free approach, static super-replicating strategies

Index Options: A Model-Free Approach

Number of pages: 57 Posted: 18 Feb 2012
Daniël Linders, Jan Dhaene, Hippolyte Hounnon and Michèle Vanmaele
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 45 (420,140)
Citation 6

Abstract:

Loading...

index call and put options, comonotonicity, model-free approach, static super-replicating strategies

8.

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Downloads 100 (269,425)

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 32 Posted: 21 Dec 2014
Daniël Linders, Jan Dhaene and Wim Schoutens
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 62 (361,444)

Abstract:

Loading...

comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX.

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 34 Posted: 15 Mar 2015
Daniël Linders, Jan Dhaene and Wim Schoutens
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 38 (449,453)

Abstract:

Loading...

comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX

9.

A Framework for Robust Measurement of Implied Correlation

Downloads 95 (278,601)
Citation 3

A Framework for Robust Measurement of Implied Correlation

Daniël Linders, Wim Schoutens, 'A framework for robust measurement of implied correlation', Journal of Computational and Applied Mathematics, 271, 39-52.
Number of pages: 29 Posted: 20 Jan 2014 Last Revised: 23 Apr 2014
Daniël Linders and Wim Schoutens
University of Illinois and KU Leuven - Department of Mathematics
Downloads 69 (341,268)
Citation 4

Abstract:

Loading...

Implied correlation estimate, index option, vanilla option, implied volatility, VIX.

A Framework for Robust Measurement of Implied Correlation

Number of pages: 28 Posted: 21 Dec 2013
Daniël Linders and Wim Schoutens
University of Illinois and KU Leuven - Department of Mathematics
Downloads 26 (510,839)
Citation 1

Abstract:

Loading...

implied correlation estimate, index option, vanilla option, implied volatility, VIX

10.

On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures

Insurance: Mathematics and Economics, Vol. 51, No. 1, pp. 10-18
Number of pages: 21 Posted: 25 Jul 2011 Last Revised: 20 Mar 2012
Marc Goovaerts, Daniël Linders, Koen Van Weert and Fatih Tank
Catholic University of Leuven (KUL) - Department of Economics, University of Illinois, Catholic University of Leuven (KUL). Faculty of Business and Economics and Ankara University - Department of Statistics
Downloads 79 (312,359)

Abstract:

Loading...

11.

The Multivariate Black & Scholes Market: Conditions for Completeness and No-Arbitrage

Theory of Probability and Mathematical Statistics, vol 88, pages 1-14, 2013
Number of pages: 13 Posted: 09 Dec 2012 Last Revised: 06 Nov 2013
Jan Dhaene, Alexander Kukush and Daniël Linders
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 65 (348,128)
Citation 2

Abstract:

Loading...

Black & Scholes, multivariate asset price models, arbitrage-free, completeness, Brownian motion, risk-neutral probability measure

12.

Remarks on Quantiles and Distortion Risk Measures

European Actuarial Journal, 2(2), 319-328
Number of pages: 12 Posted: 20 Oct 2012 Last Revised: 07 Dec 2012
Jan Dhaene, Alexander Kukush, Daniël Linders and Qihe Tang
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL), University of Illinois and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 55 (378,268)

Abstract:

Loading...

comonotonicity, distorted expectation, distortion risk measure, TVaR, quantile

13.

Stochastic Modeling of Herd Behavior Indices

Number of pages: 26 Posted: 28 Mar 2014
Florence Guillaume and Daniël Linders
Independent and University of Illinois
Downloads 50 (394,720)

Abstract:

Loading...

herd behavior modeling, time-dependent diffusion processes, mean-reverting processes, comonotonicity

14.

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Downloads 47 (307,856)

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Number of pages: 32 Posted: 25 Oct 2014
Daniël Linders and Ben Stassen
University of Illinois and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 47 (412,495)

Abstract:

Loading...

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Daniël Linders & Ben Stassen (2015): The multivariate Variance Gamma model: basket option pricing and calibration, Quantitative Finance
Posted: 30 Aug 2014 Last Revised: 04 Jul 2015
Daniël Linders and Ben Stassen
University of Illinois and KU Leuven - Faculty of Business and Economics (FEB)

Abstract:

Loading...

Multivariate Variance Gamma model, basket options, calibration, Dow Jones

15.

Ordered Random Vectors and Equality in Distribution

Downloads 40 (431,453)
Citation 3

Ordered Random Vectors and Equality in Distribution

Number of pages: 23 Posted: 12 Jan 2013
Ka Chun Cheung, Jan Dhaene, Alexander Kukush and Daniël Linders
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 38 (449,453)
Citation 1

Abstract:

Loading...

supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

Ordered Random Vectors and Equality in Distribution

KU Leuven - Faculty of Economics and Business Working Paper No. AFI_1377
Number of pages: 25 Posted: 18 May 2013
Ka Chun Cheung, Jan Dhaene, Alexander Kukush and Daniël Linders
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 2 (680,368)
Citation 3

Abstract:

Loading...

supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

16.

Aggregating Risks with Partial Dependence Information

Number of pages: 24 Posted: 17 Nov 2016
Daniël Linders and Fan Yang
University of Illinois and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 39 (435,627)

Abstract:

Loading...

17.

On an Optimization Problem Related to Static Super-Replicating Strategies

Number of pages: 42 Posted: 13 May 2014 Last Revised: 18 Jan 2015
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders and Michèle Vanmaele
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, University of Illinois and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 31 (470,269)
Citation 7

Abstract:

Loading...

Asian options, basket options, comonotonicity

18.

Comonotonic Asset Prices in Arbitrage-Free Markets

Number of pages: 22 Posted: 15 Mar 2018
Jan Dhaene, Alexander Kukush and Daniël Linders
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 9 (598,575)
Citation 5

Abstract:

Loading...

Comonotonicity, arbitrage-free markets, Black & Scholes