Dong-Hyun Ahn

University of North Carolina at Chapel Hill

Assistant Professor

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

SCHOLARLY PAPERS

9

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184

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Scholarly Papers (9)

Pricing Discrete Barrier Options with an Adaptive Mesh Model

Number of pages: 24 Posted: 01 Jul 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 1,332 (13,400)

Abstract:

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Pricing Discrete Barrier Options with an Adaptive Mesh Model

Journal of Derivatives, Vol. 6, Summer 1999
Posted: 20 Sep 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area

Abstract:

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2.

Risk Adjustment and Trading Strategies

Number of pages: 60 Posted: 25 Jan 2001
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 908 (24,395)

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3.
Downloads 827 ( 27,850)

Quadratic Term Structure Models: Theory and Evidence

AFA 2001 New Orleans
Number of pages: 52 Posted: 01 May 2000
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group
Downloads 827 (27,411)

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Quadratic Term Structure Models: Theory and Evidence

Review of Financial Studies, Forthcoming
Posted: 29 Jan 2002
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group

Abstract:

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Theoretical, Term Structure of Interest Rates - Empirical

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 688 (35,327)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 78 (307,150)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NBER Working Paper No. w7214
Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 13 Oct 2010
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 51 (384,179)

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5.

Basis Assets

AFA 2004 San Diego Meetings, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 52 Posted: 29 Nov 2003
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 419 (67,467)

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6.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

EFMA 2001 Lugano Meetings
Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 414 (68,473)

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7.
Downloads 193 (154,147)

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 126 (221,506)

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Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 67 (335,125)

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Optimal Risk Management Using Options

Journal of Finance, Vol. LIV, Issue No. 1
Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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8.

Purebred or Hybrid: Reproducing the Volatility in Term Structure Dynamics

Journal of Econometrics, Forthcoming
Posted: 26 Nov 2001
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business, Duke University - Fuqua School of Business, Economics Group and University of North Carolina (UNC) at Chapel Hill - Finance Area

Abstract:

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Empirical, Term Structure of Interest Rates - Theoretical

9.

A Parametric Non-Linear Model of Term Structure Dynamics

Review of Financial Studies, Vol. 12, Issue 4
Posted: 14 May 1999
Dong-Hyun Ahn and Bin Gao
University of North Carolina at Chapel Hill and University of North Carolina (UNC) at Chapel Hill - Finance Area

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