Anthony Neuberger

City University London - Faculty of Finance

London, EC2Y 8HB

Great Britain

SCHOLARLY PAPERS

20

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6,793

CITATIONS
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in Total Papers Citations

32

Scholarly Papers (20)

1.
Downloads 2,080 ( 6,559)
Citation 5

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 1,978 (7,031)
Citation 5

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 102 (258,562)
Citation 5

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Improved Inference in Regression with Overlapping Observations

Number of pages: 40 Posted: 23 Jun 2004 Last Revised: 15 Aug 2014
Mark Britten-Jones, Anthony Neuberger and Ingmar Nolte
London Business School - Institute of Finance and Accounting, City University London - Faculty of Finance and Lancaster University - Department of Accounting and Finance
Downloads 1,036 (19,661)
Citation 5

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Long horizon, stock return predictability, induced autocorrelation

Improved Inference in Regression with Overlapping Observations

Journal of Business Finance & Accounting, Vol. 38, Issue 5‐6, pp. 657-683, 2011
Number of pages: 27 Posted: 07 Jul 2011
Mark Britten-Jones, Anthony Neuberger and Ingmar Nolte
London Business School - Institute of Finance and Accounting, City University London - Faculty of Finance and Lancaster University - Department of Accounting and Finance
Downloads 2 (654,918)
Citation 5
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long horizon, stock return predictability, induced autocorrelation

3.

Realized Skewness

Number of pages: 50 Posted: 15 Apr 2011 Last Revised: 13 Mar 2012
Anthony Neuberger
City University London - Faculty of Finance
Downloads 773 (30,537)
Citation 8

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Skewness, realized volatility, realized variance, skew swap, variance swap

4.

Rational Bounds on the Prices of Exotic Options

EFA Working Paper No. 0280
Number of pages: 38 Posted: 25 Aug 2000
Anthony Neuberger and Stewart D. Hodges
City University London - Faculty of Finance and University of Warwick - Financial Options Research Centre (FORC)
Downloads 693 (35,449)
Citation 2

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Pricing Liquidity Risk with Heterogeneous Investment Horizons

Number of pages: 99 Posted: 25 Nov 2011 Last Revised: 18 Jan 2019
Cass Business School, Tilburg University - Center and Faculty of Economics and Business Administration, City University London - Faculty of Finance and University of Amsterdam - Finance Group
Downloads 501 (53,515)
Citation 6

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liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Netspar Discussion Paper No. 11/2011-120
Number of pages: 99 Posted: 25 May 2012 Last Revised: 08 Nov 2018
Cass Business School, Tilburg University - Center and Faculty of Economics and Business Administration, City University London - Faculty of Finance and University of Amsterdam - Finance Group
Downloads 90 (280,896)
Citation 6

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liquidity premium, liquidity risk, investment horizon, holding period

6.

The Cross-Section of Currency Volatility Premia

Number of pages: 96 Posted: 13 Jan 2017 Last Revised: 20 Oct 2018
Pasquale Della Corte, Roman Kozhan and Anthony Neuberger
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 417 (67,822)

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Currency Volatility Risk Premia, Forward Volatility Agreement, Foreign Exchange Volatility, Term Structure

7.

Rational Bounds and the Robust Risk Management of Derivatives

London Business School, IFA Working Paper Series, No. 281 - 2002
Number of pages: 41 Posted: 03 Mar 2002
Anthony Neuberger and Stewart D. Hodges
City University London - Faculty of Finance and University of Warwick - Financial Options Research Centre (FORC)
Downloads 356 (81,720)

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8.

The Slope of the Smile, and the Comovement of Volatility and Returns

Number of pages: 39 Posted: 14 Mar 2009
Anthony Neuberger
City University London - Faculty of Finance
Downloads 338 (86,759)

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Model-free, skewness, log contract, implied volatility

9.

Bounds on the American Option

Number of pages: 40 Posted: 02 Mar 2007
Anthony Neuberger
City University London - Faculty of Finance
Downloads 195 (152,617)

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american, bounds, robust, super-replication

10.

Gold Coins in a Fiat Currency

London Business School IFA Working Paper No. 350-2002
Number of pages: 40 Posted: 06 Aug 2002
Anthony Neuberger
City University London - Faculty of Finance
Downloads 165 (177,094)

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11.

The Skewness of the Stock Market at Long Horizons

Number of pages: 51 Posted: 18 May 2018
Anthony Neuberger and Richard Payne
City University London - Faculty of Finance and City University London - Sir John Cass Business School
Downloads 143 (199,527)

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12.

Robust Bounds for Forward Start Options

Mathematical Finance, Vol. 22, Issue 1, pp. 31-56, 2012
Posted: 21 Jan 2012
David Hobson and Anthony Neuberger
University of Warwick and City University London - Faculty of Finance
Downloads 4 (607,709)
Citation 6
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robust hedging, super‐replication, cheapest super‐hedge, forward start straddle

13.

The Pension Protection Fund

Posted: 12 Mar 2005
Anthony Neuberger and David McCarthy
City University London - Faculty of Finance and Imperial College Business School

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Pension Guarantees, Defined Benefit, Default

14.

Hedging Long Term Exposures with Multiple Short Term Futures Contracts

Review of Financial Studies, Vol. 12, Issue 3, 1999
Posted: 01 Jul 1999
Anthony Neuberger
City University London - Faculty of Finance

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15.

Trade Disclosure Regulation in Markets with Negotiated Trades

Review Of Financial Studies, Vol. 12, Issue 3, 1999
Posted: 03 Jun 1999
Narayan Y. Naik, S. Viswanathan and Anthony Neuberger
London Business School - Institute of Finance and Accounting, Duke University - Fuqua School of Business and City University London - Faculty of Finance

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16.

Disclosure Regulation in Competitive Dealership Markets: Analysis of the London Stock Exchange

London Business School Institute of Finance and Accounting Working Paper 193
Posted: 04 Nov 1998
Narayan Y. Naik, S. Viswanathan and Anthony Neuberger
London Business School - Institute of Finance and Accounting, Duke University - Fuqua School of Business and City University London - Faculty of Finance

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17.

How Well Can You Hedge Long Term Exposures with Multiple Short Term Futures Contracts?

IFA Working Paper 214-195
Posted: 23 Aug 1998
Anthony Neuberger
City University London - Faculty of Finance

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18.

The Peter Pan Contract - a Futures Contract that Never Matures

London Business School Institute of Finance and Accounting Working Paper 212
Posted: 05 Jul 1998
Anthony Neuberger
City University London - Faculty of Finance

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19.

Strategic Trading by Market Makers on the London Stock Exchange

IFA Working Paper 224-1996
Posted: 28 Jun 1998
Oliver Hansch and Anthony Neuberger
Pennsylvania State University and City University London - Faculty of Finance

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Option Replication with Transaction Costs: An Exact Solution for the Pure Jump Process

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 09 Jan 1995
Anthony Neuberger
City University London - Faculty of Finance

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Option Replication with Transaction Costs - an Exact Solution for the Pure Jump Process

London Business School Institute of Finance and Accounting Working Paper 183
Posted: 29 Aug 1994
Anthony Neuberger
City University London - Faculty of Finance

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