Adam Majewski

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 30,993

SSRN RANKINGS

Top 30,993

in Total Papers Downloads

1,508

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Black Was Right: Price Is Within a Factor 2 of Value

Number of pages: 9 Posted: 16 Nov 2017 Last Revised: 19 Nov 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 654 (40,154)
Citation 1

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Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases

2.

Term Structure of Variance Risk Premium and Returns' Predictability

Number of pages: 49 Posted: 18 Jun 2015 Last Revised: 22 Aug 2016
Giacomo Bormetti, Fulvio Corsi and Adam Majewski
University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 289 (107,620)
Citation 1

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Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing

3.

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Number of pages: 46 Posted: 17 Jul 2015 Last Revised: 10 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 230 (136,202)
Citation 1

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High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps

4.

A Discrete Time Approach to Option Pricing

Number of pages: 142 Posted: 13 Aug 2016
Adam Majewski
Capital Fund Management
Downloads 136 (216,785)

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Option pricing, high-frequency, realized volatility, HARG, variance risk premium, equity risk premium, term structure, latent volatility, jumps, component GARCH, predictability

5.

Smile from the Past: A General Option Pricing Framework with Multiple Volatility and Leverage Components

Number of pages: 33 Posted: 28 Sep 2013 Last Revised: 14 Apr 2014
Adam Majewski, Giacomo Bormetti and Fulvio Corsi
Capital Fund Management, University of Bologna - Department of Mathematics and University of Pisa - Department of Economics
Downloads 112 (250,931)
Citation 5

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6.

Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model

Number of pages: 49 Posted: 07 Aug 2018
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 87 (296,823)
Citation 1

Abstract:

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Trend Following, Value Investing, Market Anomalies, Agent-Based Models