Stephen Figlewski

New York University - Stern School of Business

Professor of Finance

44 West 4th Street

Department of Finance Suite 9-160

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

26

DOWNLOADS
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11,930

CITATIONS
Rank 3,165

SSRN RANKINGS

Top 3,165

in Total Papers Citations

173

Scholarly Papers (26)

1.

Is the 'Leverage Effect' a Leverage Effect?

Number of pages: 40 Posted: 12 Jan 2001
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 2,060 (3,918)
Citation 24

Abstract:

Market Risk and Model Risk for a Financial Institution Writing Options

Number of pages: 42 Posted: 14 May 1999
T. Clifton Green and Stephen Figlewski
Emory University - Goizueta Business School and New York University - Stern School of Business
Downloads 1,326 (10,207)
Citation 36

Abstract:

Market Risk and Model Risk For a Financial Institution Writing Options

Journal of Finance, August 1999
Posted: 07 May 1999
T. Clifton Green and Stephen Figlewski
Emory University - Goizueta Business School and New York University - Stern School of Business

Abstract:

Pricing Discrete Barrier Options with an Adaptive Mesh Model

Number of pages: 24 Posted: 01 Jul 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 1,289 (10,712)
Citation 4

Abstract:

Pricing Discrete Barrier Options with an Adaptive Mesh Model

Journal of Derivatives, Vol. 6, Summer 1999
Posted: 20 Sep 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area

Abstract:

Forecasting Volatility Using Historical Data

NYU Working Paper No. FIN-94-032
Number of pages: 48 Posted: 11 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 795 (22,381)
Citation 9

Abstract:

Forecasting Volatility Using Historical Data

Posted: 20 Dec 1998
Stephen Figlewski
New York University - Stern School of Business

Abstract:

5.

Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

NYU Stern Finance Working Paper No. FIN-06-007
Number of pages: 55 Posted: 03 Oct 2006
Stephen Figlewski, Halina Frydman and Weijian Liang
New York University - Stern School of Business, New York University (NYU) - Department of Information, Operations, and Management Sciences and NYU Stern School of Business
Downloads 780 (21,046)
Citation 14

Abstract:

credit risk, default intensity, Cox model

6.

Program Trading and Stock Index Arbitrage

NYU Working Paper No. FIN-94-023
Number of pages: 48 Posted: 11 Nov 2008
Linda Canina and Stephen Figlewski
Cornell University - School of Hotel Administration and New York University - Stern School of Business
Downloads 603 (32,265)
Citation 3

Abstract:

7.

Estimating the Implied Risk Neutral Density

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAY IN HONOR OF ROBERT F. ENGLE, Tim Bolloerslev, Jeffrey R. Russell, Mark Watson, Oxford, UK: Oxford University Press, 2008, NYU Working Paper No. FIN-08-004
Number of pages: 44 Posted: 09 Mar 2009
Stephen Figlewski
New York University - Stern School of Business
Downloads 507 (30,249)
Citation 17

Abstract:

8.

Modeling the Dynamics of Correlations Among Implied Volatilities

The Review of Finance, Forthcoming
Number of pages: 40 Posted: 15 Jul 2012 Last Revised: 02 Oct 2015
Robert F. Engle and Stephen Figlewski
New York University - Leonard N. Stern School of Business - Department of Economics and New York University - Stern School of Business
Downloads 484 (32,413)
Citation 3

Abstract:

stochastic volatility, hedging correlation, implied volatility, GARCH

9.

Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT F. ENGLE, Tim Bollerslev, Jeffrey R. Russell and Mark Watson, eds., Oxford, UK: Oxford University Press, 2008
Number of pages: 44 Posted: 27 Aug 2008 Last Revised: 07 Sep 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 469 (44,281)
Citation 16

Abstract:

risk neutral density, implied probabilities, option pricing

Estimation Error in the Assessment of Financial Risk Exposure

EFA 2003 Annual Conference Paper No. 799
Number of pages: 48 Posted: 23 Jul 2003
Stephen Figlewski
New York University - Stern School of Business
Downloads 367 (61,828)
Citation 5

Abstract:

Estimation Error in the Assessment of Financial Risk Exposure

NYU Working Paper No. S-DRP-03-10
Number of pages: 49 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 53 (308,532)
Citation 5

Abstract:

11.

What is Risk Neutral Volatility?

Number of pages: 45 Posted: 02 Dec 2012 Last Revised: 29 Jan 2016
Stephen Figlewski
New York University - Stern School of Business
Downloads 416 (39,420)

Abstract:

risk neutral volatility, implied volatility, option pricing, risk aversion

Assessing the Incremental Value of Option Pricing Theory Relative to an 'Informationally Passive' Benchmark

Journal of Derivatives, Vol. 10, Fall 2002
Number of pages: 32 Posted: 16 Jan 2003
Stephen Figlewski
New York University - Stern School of Business
Downloads 292 (80,523)
Citation 3

Abstract:

informationally passive model, Black-Scholes model, option pricing, dynamic arbitrage

Assessing the Incremental Value of Option Pricing Theory Relative to an 'Informationally Passive' Benchmark

NYU Working Paper No. FIN-02-022
Number of pages: 32 Posted: 03 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 50 (317,207)
Citation 3

Abstract:

13.

The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information

Number of pages: 46 Posted: 18 Mar 2010 Last Revised: 02 Apr 2010
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 254 (76,885)
Citation 2

Abstract:

risk neutral density, Fed funds target announcement, efficient markets

Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

Number of pages: 37 Posted: 17 Mar 2010
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 152 (153,705)
Citation 8

Abstract:

risk neutral density, implied probabilities, stock index options, 2008 financial crisis

Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

Number of pages: 33 Posted: 05 May 2009 Last Revised: 16 Sep 2009
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 94 (222,191)
Citation 8

Abstract:

risk neutral density, market expectations, 2008 financial crisis, option valuation

15.

Derivatives Risks, Old and New

NYU Working Paper No. FIN-98-033
Number of pages: 62 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 205 (103,615)
Citation 3

Abstract:

16.

Uncovering Hidden Structure in Bond Futures Trading

NYU Working Paper No. IS-98-01
Number of pages: 17 Posted: 23 Oct 2008
Stephen Figlewski, Jeffrey Heisler and Andreas Weigend
New York University - Stern School of Business, Boston University - Department of Finance & Economics and Stern School of Business, New York University
Downloads 175 (125,757)

Abstract:

17.
Downloads 158 (148,433)
Citation 23

Is the "Leverage Effect" a Leverage Effect?

NYU Working Paper No. S-CDM-00-09
Number of pages: 40 Posted: 05 Nov 2008
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 135 (169,766)
Citation 23

Abstract:

Is the "Leverage Effect" a Leverage Effect?

NYU Working Paper No. FIN-00-037
Number of pages: 40 Posted: 04 Nov 2008
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 23 (422,644)
Citation 23

Abstract:

18.

Options on Leveraged ETFs: A Window on Investor Heterogeneity

Number of pages: 48 Posted: 08 Aug 2014
Stephen Figlewski and Muhammad Fahd Malik
New York University - Stern School of Business and AllianceBernstein
Downloads 92 (179,823)

Abstract:

investor heterogeneity, risk neutral density, exchange-traded funds

19.

Exercise Boundary Violations in American-Style Options: The Rule, not the Exception

Kelley School of Business Research Paper No. 15-10
Number of pages: 51 Posted: 05 Jan 2015 Last Revised: 15 Apr 2015
Robert H. Battalio, Stephen Figlewski and Robert Neal
University of Notre Dame - Department of Finance, New York University - Stern School of Business and Indiana University - Kelley School of Business
Downloads 77 (183,146)

Abstract:

American options, early exercise, options market-making, arbitrage

20.

Assessing the Incremental Value of Option Pricing Theory Relative to an Informationally Passive Benchmark

NYU Working Paper No. S-DRP-02-07
Number of pages: 32 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 41 (317,858)
Citation 3

Abstract:

21.

Volatility Leadership Among Index Options

Number of pages: 39 Posted: 13 Sep 2016
Stephen Figlewski and Anja Frommherz
New York University - Stern School of Business and University of Basel - Department of Finance
Downloads 0 (279,322)

Abstract:

Volatility Leadership; Implied Volatilities; Index Options; Information Shares

22.

Derivatives Valuation Based on Arbitrage: The Trade Is Crucial

Proceedings of China Derivatives Markets Conference 2016
Number of pages: 18 Posted: 23 Aug 2016
Stephen Figlewski
New York University - Stern School of Business
Downloads 0 (242,386)

Abstract:

Limits to Arbitrage, Theory vs Practice, Derivatives Valuation, Options, Futures Pricing

23.

What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences

Number of pages: 30 Posted: 23 Aug 2016
Stephen Figlewski
New York University - Stern School of Business
Downloads 0 (219,229)

Abstract:

Risk Neutral Volatility, Implied Volatility, Option Pricing, Risk Aversion

24.

Streamlining Monte-Carlo Simulation with the Quasi-Analytic Method: An Analysis of a Path-Dependent Option Strategy

Posted: 23 Jul 1998
N.K. Chidambaran and Stephen Figlewski
Gabelli School of Business, Fordham University and New York University - Stern School of Business

Abstract:

25.

Streamlining Monte Carlo Simulation with the Quasi-Analytic Method: Analysis of a Path-Dependent Option Strategy

J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 13 Jul 1998
N.K. Chidambaran and Stephen Figlewski
Gabelli School of Business, Fordham University and New York University - Stern School of Business

Abstract:

26.

Forecasting Volatility

FINANCIAL MARKETS, INSTITUTIONS AND INSTRUMENTS, Vol. 6 No. 2, 1997
Posted: 24 Apr 1997
Stephen Figlewski
New York University - Stern School of Business

Abstract: