Anthony Neuberger

City University London - Faculty of Finance

London, EC2Y 8HB

Great Britain

  • City University London - Faculty of Finance

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 6,812

SSRN RANKINGS

Top 6,812

in Total Papers Downloads

8,279

SSRN CITATIONS
Rank 7,029

SSRN RANKINGS

Top 7,029

in Total Papers Citations

92

CROSSREF CITATIONS

98

Scholarly Papers (20)

Actions:
Email selected abstracts
1.

The Skew Risk Premium in the Equity Index Market

Downloads 2,344 ( 7,609)
Citation 30

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper, WBS Finance Group Research Paper No. 139
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 23 Dec 2019
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 2,226 (8,099)
Citation 11

Abstract:

Loading...

skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper No. 228
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 118 (294,865)
Citation 19

Abstract:

Loading...

2.

Improved Inference in Regression with Overlapping Observations

Downloads 1,160 ( 22,876)
Citation 14

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 1,158 (22,550)
Citation 2

Abstract:

Loading...

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 (815,280)
Citation 3
  • Add to Cart

Abstract:

Loading...

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 1,118 (24,232)
Citation 23

Abstract:

Loading...

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

4.

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Downloads 719 ( 44,090)
Citation 18

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 101 Posted: 25 Nov 2011 Last Revised: 31 Mar 2020
Alessandro Beber, Joost Driessen, Anthony Neuberger, Patrick Tuijp and Patrick Tuijp
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance GroupOrtec Finance
Downloads 567 (60,296)
Citation 13

Abstract:

Loading...

liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Volume 56, Issue 2, Netspar Discussion Paper No. 11/2011-120
Number of pages: 101 Posted: 25 May 2012 Last Revised: 05 Mar 2021
Alessandro Beber, Joost Driessen, Anthony Neuberger, Patrick Tuijp and Patrick Tuijp
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance GroupOrtec Finance
Downloads 152 (242,206)
Citation 17

Abstract:

Loading...

liquidity premium, liquidity risk, investment horizon, holding period

5.

Rational Bounds on the Prices of Exotic Options

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 708 (45,741)
Citation 3

Abstract:

Loading...

6.

The Cross-Section of Currency Volatility Premia

Number of pages: 108 Posted: 13 Jan 2017 Last Revised: 24 Dec 2019
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 658 (50,391)
Citation 6

Abstract:

Loading...

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

7.

The Skewness of the Stock Market at Long Horizons

Number of pages: 65 Posted: 18 May 2018 Last Revised: 22 Jul 2019
Anthony Neuberger and Richard Payne
City University London - Faculty of Finance and City University London - Sir John Cass Business School
Downloads 439 (83,428)
Citation 7

Abstract:

Loading...

8.

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 363 (103,907)

Abstract:

Loading...

9.

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 361 (104,532)
Citation 2

Abstract:

Loading...

Model-free, skewness, log contract, implied volatility

10.

Bounds on the American Option

Number of pages: 40 Posted: 02 Mar 2007
Anthony Neuberger
City University London - Faculty of Finance
Downloads 232 (165,799)
Citation 2

Abstract:

Loading...

american, bounds, robust, super-replication

11.

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 173 (216,598)

Abstract:

Loading...

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 (763,495)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

Pension Guarantees, Defined Benefit, Default

14.

Hedging Long Term Exposures with Multiple Short Term Futures Contracts

Posted: 01 Jul 1999
Anthony Neuberger
City University London - Faculty of Finance

Abstract:

Loading...

15.

Trade Disclosure Regulation in Markets with Negotiated Trades

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

20.

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

Downloads 0 (808,953)

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

Abstract:

Loading...

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

Abstract:

Loading...