Michael Hofmann

Karlsruhe Institute of Technology (KIT) - Institute for Finance

P.O. Box 6980

D-76049 Karlsruhe

Germany

http://derivate.fbv.kit.edu/english/index.php

SCHOLARLY PAPERS

2

DOWNLOADS

572

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Margin Requirements and Equity Option Returns

Number of pages: 73 Posted: 04 Jun 2016 Last Revised: 25 Sep 2018
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and WU Vienna University of Economics and Business
Downloads 399 (80,208)
Citation 3

Abstract:

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equity options, margins, funding liquidity, cross-section of option returns

2.

Volatility Noise

Number of pages: 74 Posted: 06 Mar 2018 Last Revised: 06 Dec 2018
Michael Hofmann and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 173 (188,814)
Citation 1

Abstract:

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equity options, implied volatility, intermediary asset pricing, frictions, cross-section of returns