Zhikai Xu

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

5

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Top 19,505

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2,444

SSRN CITATIONS
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SSRN RANKINGS

Top 36,764

in Total Papers Citations

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CROSSREF CITATIONS

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Scholarly Papers (5)

1.

Pricing and Hedging CoCos

Number of pages: 27 Posted: 17 Jan 2013 Last Revised: 09 Apr 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 998 (21,700)
Citation 6

Abstract:

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Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, intensity-based model, first-passage time model

2.

Option-Implied Currency Risk Premia

Number of pages: 79 Posted: 13 Oct 2013 Last Revised: 17 Oct 2014
Jakub W. Jurek and Zhikai Xu
University of Pennsylvania - Finance Department and AQR Capital Management, LLC
Downloads 712 (34,909)
Citation 9

Abstract:

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risk premia, currency carry trade, disaster risk, exchange rate options

3.

A Reduced Form CoCo Model with Deterministic Conversion Intensity

Number of pages: 13 Posted: 21 Apr 2013 Last Revised: 15 Mar 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 458 (61,867)
Citation 5

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Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Number of pages: 48 Posted: 23 Aug 2016 Last Revised: 25 Aug 2016
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 249 (122,234)

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Liquidity, International Bond Pricing, Financial Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

NBER Working Paper No. w22576
Number of pages: 49 Posted: 31 Aug 2016
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 27 (496,732)

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5.

A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 18 Posted: 24 Jun 2016
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 0 (670,354)
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Abstract:

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contingent convertible bonds, credit default swaps, reduced-form model, pricing calibration, hedging