Ehud I. Ronn

University of Texas at Austin - Department of Finance

Professor

Graduate School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 9,357

SSRN RANKINGS

Top 9,357

in Total Papers Downloads

5,800

SSRN CITATIONS
Rank 22,327

SSRN RANKINGS

Top 22,327

in Total Papers Citations

7

CROSSREF CITATIONS

36

Scholarly Papers (25)

1.

Computing the Market Price of Volatility Risk in the Energy Commodity Markets

Journal of Banking and Finance, Vol. 32 (pp. 2541-2552) December 2008
Number of pages: 32 Posted: 10 Dec 2004 Last Revised: 31 Oct 2014
James Doran and Ehud I. Ronn
University of New South Wales and University of Texas at Austin - Department of Finance
Downloads 2,129 (7,976)
Citation 2

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Derivatives, volatility, energy, options

2.

The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets

Review of Derivatives Research, Vol. 8, No. 3, 2005
Number of pages: 34 Posted: 08 Dec 2004 Last Revised: 07 Nov 2014
James Doran and Ehud I. Ronn
University of New South Wales and University of Texas at Austin - Department of Finance
Downloads 1,445 (14,879)
Citation 3

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Option pricing, volatility, energy, derivatives

A Simple Model for Time-Varying Expected Returns on the S&P 500 Index

Journal of Investment Management, Forthcoming
Number of pages: 41 Posted: 29 Aug 2005 Last Revised: 26 Feb 2009
James Doran, Ehud I. Ronn and Robert S. Goldberg
University of New South Wales, University of Texas at Austin - Department of Finance and Adelphi University - School of Business
Downloads 739 (38,925)
Citation 1

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Risk Premium, Time-Series, Growth-Rates, S&P 500, VIX Index

A Simple Model for Time - Varying Expected Returns on the S&P 500 Index

Journal of Investment Management, Second Quarter 2009
Posted: 11 Nov 2009
James Doran, Ehud I. Ronn and Robert S. Goldberg
University of New South Wales, University of Texas at Austin - Department of Finance and Adelphi University - School of Business

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Equity risk-premium, time-varying expected returns, conditional volatility

4.

Modeling the Correlation Function in the Crude-Oil Futures Market

Number of pages: 11 Posted: 15 Aug 2009
Ehud I. Ronn
University of Texas at Austin - Department of Finance
Downloads 314 (112,718)
Citation 2

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Oil futures contracts, correlation

The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

Number of pages: 40 Posted: 20 Dec 2000
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business
Downloads 308 (114,419)
Citation 9

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The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

Financial Review, Vol. 44, Issue 3, pp. 405-436, August 2009
Number of pages: 32 Posted: 09 Jul 2009
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business
Downloads 1 (779,844)
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The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

The Financial Review, Vol. 44, No. 3, August 2009
Posted: 18 May 2009
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business

Abstract:

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Conditional correlation, Roll's R2, Value-at-Risk

6.

Fine-Tuning a Corporate Hedging Portfolio – The Case of an Airline Company

Number of pages: 43 Posted: 11 Mar 2012
Mathias Gerner and Ehud I. Ronn
European Business School Oestrich-Winkel - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 283 (125,941)
Citation 1

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corporate hedging policy, exotic derivatives, futures and options, commodity risk

7.

Financial Markets in the Face of the Apocalypse

Number of pages: 57 Posted: 21 Jun 2015 Last Revised: 29 Jun 2016
Jedrzej Pawel Bialkowski and Ehud I. Ronn
University of Canterbury - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 192 (183,561)
Citation 2

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Rare events, Black swan events, Equity premium, International political crises, Property rights, Civil and human rights, World War II

8.

Valuation of a New Class of Commodity-Linked Bonds with Partial Indexation Adjustments

Number of pages: 19 Posted: 30 May 2009
Thomas H. Kirschenmann and Ehud I. Ronn
University of Texas at Austin - Institute for Computational Engineering and Sciences and University of Texas at Austin - Department of Finance
Downloads 120 (270,263)

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Commodity-linked bonds, derivative structures, indexation, real rates

9.

Characterizing the Hedging Policies of Commodity Price-Sensitive Corporations

Number of pages: 31 Posted: 15 Jul 2017 Last Revised: 01 Aug 2018
PSB Paris School of Business, University Paris-Saclay, UVSQ, CEMOTEV, UVSQ. and University of Texas at Austin - Department of Finance
Downloads 96 (314,952)

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Optimal Hedge Ratios

10.

Using the Binomial Model for the Valuation of Real Options in Computing Optimal Subsidies for Chinese Renewable Energy Investments

Number of pages: 22 Posted: 08 Jun 2018
Xiaoran Liu and Ehud I. Ronn
University of Texas at Austin and University of Texas at Austin - Department of Finance
Downloads 60 (411,457)

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Real options in energy markets, using the binomial model to value American-style options

11.

Intra-Market Correlations in the Bond Markets: Extending Empirical Regularities from the Equity Markets

Number of pages: 35 Posted: 22 Feb 2017 Last Revised: 26 May 2017
Robert S. Goldberg and Ehud I. Ronn
Adelphi University and University of Texas at Austin - Department of Finance
Downloads 42 (480,348)

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Correlation within Bond Markets, Crisis vs. Non-Crsis Periods, Contrast of Bond and Equity Markets' Correlations

12.

Prices and Volatilities of Oil Markets in 2020: Back to Bachelier

Number of pages: 24 Posted: 06 Jan 2021
Roza Galeeeva and Ehud I. Ronn
NYU Finance and Risk Engineering and University of Texas at Austin - Department of Finance
Downloads 31 (532,986)

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2020 oil markets, 2020 equity markets, derivatives, crush, volatility, skew, Samuelson

13.

Using Equity, Index and Commodity Options to Obtain Forward-Looking Measures of Equity and Commodity Betas, and Idiosyncratic Variance

Number of pages: 50 Posted: 13 Oct 2020
Ehud I. Ronn
University of Texas at Austin - Department of Finance
Downloads 30 (538,344)

Abstract:

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Implied volatilities, implied correlations and implied market betas

14.

The Global Equity Premium Revisited: What Human Rights Imply for Assets' Purchasing Power

Number of pages: 39 Posted: 12 Oct 2018
Jedrzej Pawel Bialkowski and Ehud I. Ronn
University of Canterbury - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 9 (678,057)

Abstract:

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Rare (Black Swan) Events; Equity Premium; International Political Crises; Property, Civil and Human Rights; World War II; World Equity Index

15.

Fine‐Tuning a Corporate Hedging Portfolio: The Case of an Airline

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 74-86, 2013
Number of pages: 15 Posted: 23 Dec 2013
Mathias Gerner and Ehud I. Ronn
European Business School Oestrich-Winkel - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 1 (744,440)
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16.

Valuation of Callable/Putable Corporate Bonds in a One-Factor LogNormal Interest-Rate Model

Posted: 06 Aug 2020 Last Revised: 11 Jan 2021
Robert S. Goldberg, Ehud I. Ronn and Liying Xu
Adelphi University - School of Business, University of Texas at Austin - Department of Finance and Spears School of Business

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Valuation of Callable and Putable Bonds; Implied Yield Volatilities

17.

Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 16 Posted: 06 Jun 2016
Ehud I. Ronn
University of Texas at Austin - Department of Finance
Downloads 0 (762,518)
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prompt-month futures contract, spot price movements, natural gas

18.

Quantifying and Explaining the New Issue Premium in the Post Glass-Steagall Corporate Bond Market

Posted: 23 Oct 2012 Last Revised: 28 Jun 2014
Robert S. Goldberg and Ehud I. Ronn
Adelphi University and University of Texas at Austin - Department of Finance

Abstract:

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corporate bond issuance

19.

Intra-Day Risk Premia in European Electricity Forward Markets

The Journal of Energy Markets, Forthcoming
Posted: 14 Jul 2009 Last Revised: 08 Oct 2009
Ehud I. Ronn and Jens Wimschulte
University of Texas at Austin - Department of Finance and Independent

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Electricity Forwards, Intra-Day Prices, Risk Premium, Market Price of Risk

20.

On the Relationship between Expected Returns and Implied Volatility of Interest Rate-Dependent Securities

Posted: 29 Aug 1998
Ehud I. Ronn and Pavan Wadhwa
University of Texas at Austin - Department of Finance and J.P. Morgan Chase & Co.

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21.

An Arbitrage-Free Estimate of Prepayment Option Prices in Fixed-Rate Gnma Mortgage-Backed Securities

Posted: 25 Aug 1998
University of Texas at Austin - Department of Finance, affiliation not provided to SSRN and California State University, East Bay - Department of Management

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22.

The Implied Volatility of U.S. Interest Rates: Evidence from Callable U.S. Treasuries

WP 95-12
Posted: 21 Jun 1998
Robert R. Bliss and Ehud I. Ronn
Wake Forest University - Schools of Business and University of Texas at Austin - Department of Finance

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23.

The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps

Posted: 13 Jun 1998
Soren S. Nielsen and Ehud I. Ronn
Technical University of Denmark - Informatics and Mathematical Modeling and University of Texas at Austin - Department of Finance

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Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities

Working Paper 97-1
Posted: 09 Jul 1997
Robert R. Bliss and Ehud I. Ronn
Wake Forest University - Schools of Business and University of Texas at Austin - Department of Finance

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Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities

Posted: 21 May 1998
Ehud I. Ronn and Robert R. Bliss
University of Texas at Austin - Department of Finance and Wake Forest University - Schools of Business

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25.

Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities -- Revisiting Metallgesellschaft

Number of pages: 18
James Doran and Ehud I. Ronn
University of New South Wales and University of Texas at Austin - Department of Finance
Downloads 0

Abstract:

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Hedging long-dated oil futures and option contracts