Vassilis Polimenis

Aristotle University of Thessaloniki

Finance Professor

Division of Business Administration

School of Law and Economics

Thessaloniki, Macedonia 54124

Greece

SCHOLARLY PAPERS

4

DOWNLOADS

533

CITATIONS
Rank 27,020

SSRN RANKINGS

Top 27,020

in Total Papers Citations

9

Scholarly Papers (4)

1.

Skewness Correction for Asset Pricing

Number of pages: 40 Posted: 27 Apr 2006
Vassilis Polimenis
Aristotle University of Thessaloniki
Downloads 233 (97,683)
Citation 9

Abstract:

Risk correction, skewness, kurtosis, variance swaps, volatility swaps, option smile

2.

Information Arrival as Price Jumps

Number of pages: 19 Posted: 11 Jun 2011 Last Revised: 25 Sep 2011
Vassilis Polimenis
Aristotle University of Thessaloniki
Downloads 155 (147,822)

Abstract:

stock beta, price jump, noise trading, information, return skew, asymmetric beta, information beta, Lévy process

3.

On the Concavity of Jump Equity Premia

Finance Letters, Vol. 3, No. 1, pp. 133-139, February 2005
Number of pages: 7 Posted: 07 Apr 2005
Vassilis Polimenis
Aristotle University of Thessaloniki
Downloads 126 (176,770)

Abstract:

Risk premia, Jump premia, Levy processes

4.

Affine Models for Credit Risk Analysis

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 494-530, 2006
Posted: 29 Feb 2008
Christian Gourieroux, Alain Monfort and Vassilis Polimenis
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Aristotle University of Thessaloniki

Abstract:

affine model, affine process, CaR process, credit risk, loss-given-default, stochastic discount factor, term structure, through-the-cycle, WAR process