Nikola Vasiljevic

University of Zurich, Department of Banking and Finance

Plattenstrasse 14

Zurich, CH-8032

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

858

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Swiss Finance Institute Research Paper No. 15-08
Number of pages: 43 Posted: 03 Mar 2015 Last Revised: 04 Mar 2015
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 272 (140,252)
Citation 8

Abstract:

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American options, early exercise premium, hyper-exponential jump-diffusion model, maturity randomization, jump-diffusion disentanglement.

2.

Option-Implied Intra-Horizon Value-at-Risk

Number of pages: 60 Posted: 06 Jul 2016 Last Revised: 11 May 2018
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 205 (184,380)
Citation 1

Abstract:

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value at risk, intra-horizon risk, displaced mixed-exponential model, first-passage disentanglement, option-implied estimates

3.

Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

Swiss Finance Institute Research Paper No. 19-76, Forthcoming, Mathematical Finance
Number of pages: 50 Posted: 02 Jan 2020 Last Revised: 12 Jan 2021
Walter Farkas, Ludovic Mathys and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 189 (198,596)
Citation 1

Abstract:

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Intra-Horizon Risk, Value at Risk, Expected Shortfall, Levy Processes, Hyper-Exponential Distribution, Risk Decomposition

4.

Ambiguity, Optimal Currency Overlay, and Home Currency Bias

Swiss Finance Institute Research Paper No. 20-73
Number of pages: 48 Posted: 31 Aug 2020 Last Revised: 19 Aug 2021
Urban Ulrych and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 105 (315,203)

Abstract:

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Ambiguity aversion, home currency bias, model uncertainty, optimal currency overlay, generalized ridge regression, international asset allocation.

5.

Parisian Options with Jumps: A Maturity–Excursion Randomization Approach

Number of pages: 46 Posted: 09 Aug 2017
Marc Chesney and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 87 (355,563)
Citation 3

Abstract:

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Parisian Options, Maturity–Excursion Randomization, Hyper-Exponential Jump–Diffusion Model, Excursion Disentanglement