London, EC2Y 8HB
Great Britain
City University London - Faculty of Finance
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
skew risk premium, variance risk premium, index options
Skewness, realized volatility, realized variance, skew swap, variance swap
Long horizon, stock return predictability, induced autocorrelation
long horizon, stock return predictability, induced autocorrelation
liquidity premium, liquidity risk, investment horizon, holding period
Currency Volatility Risk Premia, Forward Volatility Agreement, Foreign Exchange Volatility, Term Structure
Model-free, skewness, log contract, implied volatility
american, bounds, robust, super-replication
robust hedging, super‐replication, cheapest super‐hedge, forward start straddle
Pension Guarantees, Defined Benefit, Default