Cyriel de Jong

Erasmus University Rotterdam (EUR) - Department of Financial Management

P.O. Box 1738

Room T09-53

3000 DR Rotterdam

Netherlands

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 14,072

SSRN RANKINGS

Top 14,072

in Total Papers Downloads

4,445

SSRN CITATIONS
Rank 21,622

SSRN RANKINGS

Top 21,622

in Total Papers Citations

12

CROSSREF CITATIONS

35

Scholarly Papers (6)

1.

Implied GARCH Volatility Forecasting

Number of pages: 25 Posted: 19 Feb 2002
Thorsten Lehnert and Cyriel de Jong
University of Luxembourg and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 1,404 (17,297)

Abstract:

Loading...

Implied volatility, GARCH, index options, forecasting

2.

Option Formulas for Mean-Reverting Power Prices with Spikes

Energy Global Research Paper; and ERIM Report Series Reference No. ERS-2002-96-F&A
Number of pages: 32 Posted: 15 Dec 2002
Cyriel de Jong and Ronald Huisman
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,380 (17,733)
Citation 20

Abstract:

Loading...

power prices, option pricing, regime switches, formulas

3.

Informed Option Trading Strategies

Number of pages: 35 Posted: 18 Feb 2003
Cyriel de Jong
Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 497 (72,107)

Abstract:

Loading...

Options, market efficiency, price discovery, asymmetric information, leverage

4.

The Nature of Power Spikes: A Regime-Switch Approach

ERIM Report Series Reference No. ERS-2005-052-F&A
Number of pages: 34 Posted: 21 Dec 2005
Cyriel de Jong
Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 458 (79,632)
Citation 2

Abstract:

Loading...

risk, volatility, spikes, power prices, regime-switches, spot markets

5.

From Skews to a Skewed-T

Number of pages: 14 Posted: 20 Jan 2003
Cyriel de Jong and Ronald Huisman
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 434 (84,821)

Abstract:

Loading...

options, implied volatility, implied distribution, student-t, skewness

Stock Market Quality in the Presence of a Traded Option

Number of pages: 38 Posted: 17 Dec 2001
Erasmus University Rotterdam (EUR) - Department of Financial Management, Tilburg University - Department of Finance and School of Business, University of Vermont
Downloads 242 (159,040)
Citation 3

Abstract:

Loading...

information aggregation, experiments, options, price discovery, asymmetric information model

Stock Market Quality in the Presence of a Traded Option

Number of pages: 41 Posted: 19 Feb 2002
Erasmus University Rotterdam (EUR) - Department of Financial Management, Tilburg University - Department of Finance and School of Business, University of Vermont
Downloads 30 (591,820)
Citation 3
  • Add to Cart

Abstract:

Loading...

Market microstructure, experimental economics, information asymmetry, financial derivatives