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

29

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180

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Scholarly Papers (29)

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 2,729 (4,178)

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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 - Department of Finance and New York University - Stern School of Business
Downloads 1,359 (13,035)

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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 - Department of Finance and New York University - Stern School of Business

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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 1,332 (13,412)

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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

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4.
Downloads 1,000 ( 21,222)

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 1,000 (20,857)

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Forecasting Volatility Using Historical Data

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

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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 935 (23,395)

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credit risk, default intensity, Cox model

6.

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 826 (27,928)

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7.

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 687 (35,972)

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stochastic volatility, hedging correlation, implied volatility, GARCH

8.

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 647 (38,866)

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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 638 (39,631)

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risk neutral density, implied probabilities, option pricing

10.

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 627 (40,571)

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

11.
Downloads 456 ( 61,003)

Risk Neutral Densities: A Review

Number of pages: 61 Posted: 13 Feb 2018 Last Revised: 19 Apr 2018
Stephen Figlewski
New York University - Stern School of Business
Downloads 456 (60,375)

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Risk neutral densities, option risk premia, implied volatility

Risk-Neutral Densities: A Review

Annual Review of Financial Economics, Vol. 10, pp. 329-359, 2018
Posted: 08 Nov 2018
Stephen Figlewski
New York University - Stern School of Business

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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 374 (76,587)

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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 62 (349,449)

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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 372 (77,739)

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risk neutral density, Fed funds target announcement, efficient markets

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 304 (97,133)

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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 51 (384,475)

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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 177 (166,807)

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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 119 (231,559)

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

16.

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 267 (112,141)

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17.

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 206 (145,113)

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18.
Downloads 177 (166,739)

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 154 (188,325)

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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 (510,843)

Abstract:

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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: 02 Jun 2017
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 154 (187,982)

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

20.

Options on Leveraged ETFs: A Window on Investor Heterogeneity

Number of pages: 48 Posted: 08 Aug 2014
Stephen Figlewski and Muhammad Malik
New York University - Stern School of Business and AllianceBernstein
Downloads 151 (191,131)

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investor heterogeneity, risk neutral density, exchange-traded funds

21.

An American Call IS Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid

Number of pages: 33 Posted: 01 Jun 2017
Stephen Figlewski
New York University - Stern School of Business
Downloads 127 (219,536)

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American Options, Early Exercise, Option Pricing

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 117 (233,459)

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

23.

Option Investor Rationality Revisited: The Role of Exercise Boundary Violations

Number of pages: 46 Posted: 03 Jun 2017
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 67 (331,394)

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American Options, Option Exercise, Early Exercise Boundary, Investor Rationality

24.

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 58 (356,411)

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25.

Volatility Leadership Among Index Options

Posted: 20 May 2019
Stephen Figlewski and Anja Frommherz
New York University - Stern School of Business and University of Basel - Department of Finance
Downloads 0 (657,000)

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Volatility Leadership; Implied Volatilities; Index Options; Information Shares

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

27.

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
Fordham University - Gabelli School of Business and New York University - Stern School of Business

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28.

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
Fordham University - Gabelli School of Business and New York University - Stern School of Business

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29.

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

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