Author Page for Bjorn Eraker

0DTEs: Trading, Gamma Risk and Volatility Propagation

Number of pages: 66 Posted: 05 Feb 2024 Last Revised: 11 Oct 2024

Chukwuma Dim, Bjorn Eraker and Grigory Vilkov

George Washington University, University of Wisconsin - Madison - Department of Finance, Investment and Banking and Frankfurt School of Finance & Management

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Citation 1

Abstract:

2.

Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 56 Posted: 01 Jan 2011 Last Revised: 21 Jul 2014

Bjorn Eraker and Mark Ready

University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin Madison

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Citation 43

Abstract:

3.

The Impact of Jumps in Volatility and Returns

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Citation 52

2

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001

Michael S. Johannes, Bjorn Eraker and Nick Polson

Graduate School of Business, Columbia University, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business

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Citation 52

Abstract:

The Impact of Jumps in Volatility and Returns

Posted: 31 Aug 2003

Bjorn Eraker, Michael S. Johannes and Nick Polson

University of Wisconsin - Madison - Department of Finance, Investment and Banking, Graduate School of Business, Columbia University and University of Chicago - Booth School of Business

Abstract:

4.

Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach

Number of pages: 51 Posted: 15 Oct 2013 Last Revised: 03 Dec 2014

Bjorn Eraker and Yue Wu

University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking

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Citation 9

Abstract:

5.

A Non-Linear Dynamic Model of the Variance Risk Premium

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Citation 6

2

A Non-Linear Dynamic Model of the Variance Risk Premium

Journal of Econometrics, Forthcoming

Number of pages: 35 Posted: 29 Apr 2012 Last Revised: 03 Dec 2014

Bjorn Eraker and Jiakou Wang

University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking

Downloads 535 (103,798)

Citation 6

Abstract:

A Non-Linear Dynamic Model of the Variance Risk Premium

Midwest Finance Association 2013 Annual Meeting Paper

Number of pages: 50 Posted: 12 Mar 2012 Last Revised: 03 Dec 2014

Jiakou Wang and Bjorn Eraker

University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking

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Abstract:

6.

Durable Goods, Inflation Risk, and Equilibrium Asset Prices

Review of Financial Studies (2016) 29(1): 193-231, AFA 2013 San Diego Meetings Paper, Kelley School of Business Research Paper No. 2015-01, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 62 Posted: 17 Mar 2011 Last Revised: 11 Jan 2016

Bjorn Eraker, Ivan Shaliastovich and Wenyu Wang

University of Wisconsin - Madison - Department of Finance, Investment and Banking, University of Wisconsin - Madison and Indiana University - Kelley School of Business - Department of Finance

Downloads 542 (103,392)

Citation 20

Abstract:

7.

The Price of Higher Order Catastrophe Insurance: The Case of VIX Options

Journal of Finance, Forthcoming

Number of pages: 150 Posted: 05 Feb 2020 Last Revised: 24 Sep 2021

Bjorn Eraker and Aoxiang Yang

University of Wisconsin - Madison - Department of Finance, Investment and Banking and Peking University HSBC Business School

Downloads 415 (142,398)

Citation 8

Abstract:

8.

Dynamic Present Values and the Intertemporal CAPM

Number of pages: 44 Posted: 12 Aug 2011 Last Revised: 14 May 2014

Bjorn Eraker and Wenyu Wang

University of Wisconsin - Madison - Department of Finance, Investment and Banking and Indiana University - Kelley School of Business - Department of Finance

Downloads 349 (172,659)

Citation 4

Abstract:

9.

Affine General Equilibrium Models

Number of pages: 37 Posted: 22 Feb 2006

Bjorn Eraker

University of Wisconsin - Madison - Department of Finance, Investment and Banking

Downloads 215 (282,568)

Citation 20

Abstract:

10.

Predictability Puzzles

Number of pages: 51 Posted: 08 Jul 2020

Bjorn Eraker

University of Wisconsin - Madison - Department of Finance, Investment and Banking

Downloads 190 (318,354)

Citation 1

Bjorn Eraker

University of Wisconsin - Madison - Department of Finance, Investment and Banking

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Scholarly Papers (10)

0DTEs: Trading, Gamma Risk and Volatility Propagation

Abstract:

Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks

Abstract:

The Impact of Jumps in Volatility and Returns

The Impact of Jumps in Volatility and Returns

Abstract:

The Impact of Jumps in Volatility and Returns

Abstract:

Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach

Abstract:

A Non-Linear Dynamic Model of the Variance Risk Premium

A Non-Linear Dynamic Model of the Variance Risk Premium

Abstract:

A Non-Linear Dynamic Model of the Variance Risk Premium

Abstract:

Durable Goods, Inflation Risk, and Equilibrium Asset Prices

Abstract:

The Price of Higher Order Catastrophe Insurance: The Case of VIX Options

Abstract:

Dynamic Present Values and the Intertemporal CAPM

Abstract:

Affine General Equilibrium Models

Abstract:

Predictability Puzzles

Abstract: