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

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CITATIONS
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17

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 1,382 (12,906)

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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 1,320 (13,856)
Citation 8

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power prices, option pricing, regime switches, formulas

3.

Informed Option Trading Strategies

ERIM Report Series Reference No. ERS-2001-55-F&A
Number of pages: 35 Posted: 18 Feb 2003
Cyriel de Jong
Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 466 (59,114)

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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 445 (62,515)
Citation 7

Abstract:

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

5.

From Skews to a Skewed-T

ERIM Report Series Reference No. ERS-2000-12-F&A
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 417 (67,587)
Citation 1

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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 233 (127,839)
Citation 1

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

Stock Market Quality in the Presence of a Traded Option

CEPR Discussion Paper No. 3173
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 (468,602)
Citation 1
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Market microstructure, experimental economics, information asymmetry, financial derivatives