Daniël Linders

University of Illinois

Assistant Professor

306 Altgeld Hall,

1409 West Green Street

Champaign, IL 61822

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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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)

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

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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)

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Comonotonicity, systemic risk, correlation, VIX volatility index

2.
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
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

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FIX - The Fear Index: Measuring Market Fear

Number of pages: 18 Posted: 01 Dec 2011
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

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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

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

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

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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

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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

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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)

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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)

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

7.
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
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

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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
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

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

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)

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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)

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

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

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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

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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)

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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

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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)

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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)

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

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)

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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)

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

15.
Downloads 40 (431,453)
Citation 3

Ordered Random Vectors and Equality in Distribution

Number of pages: 23 Posted: 12 Jan 2013
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 38 (449,453)
Citation 1

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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
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 2 (680,368)
Citation 3

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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)

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17.

On an Optimization Problem Related to Static Super-Replicating Strategies

Number of pages: 42 Posted: 13 May 2014 Last Revised: 18 Jan 2015
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

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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

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Comonotonicity, arbitrage-free markets, Black & Scholes