Rodolfo Oviedo

Universidad Austral

Professor

Rosario, Santa Fe

Argentina

McGill University - Desautels Faculty of Management

Montreal, QC

Canada

SCHOLARLY PAPERS

7

DOWNLOADS

4,580

SSRN CITATIONS
Rank 8,759

SSRN RANKINGS

Top 8,759

in Total Papers Citations

162

CROSSREF CITATIONS

27

Scholarly Papers (7)

1.

The Determinants of Credit Default Swap Premia

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 07 Oct 2004 Last Revised: 05 Sep 2009
Jan Ericsson, Kris Jacobs and Rodolfo Oviedo
McGill University, University of Houston - C.T. Bauer College of Business and Universidad Austral
Downloads 2,168 (13,257)
Citation 209

Abstract:

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Credit risk, Credit default swaps

2.
Downloads 810 (56,687)
Citation 2

Abstract:

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Futures-style, early, early exercise, options, futures, options on futures, transaction costs, performance, performance bond, SPAN, put-call, parity, put-call parity, LIFFE, EUREX, SFE

3.

Theory of Rational Futures-Style Option Pricing

Number of pages: 36 Posted: 10 Sep 2009
Rodolfo Oviedo and Domingo A. Tarzia
Universidad Austral and Univ. Austral, FCE, Mathematics Department & CONICET
Downloads 657 (74,986)
Citation 1

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futures-style options, futures Merton Lieu, LIFFE, Europe Sydney Exchange, Safex constraints

4.

Improving the Design of Treasury-Bond Futures Contracts

Journal of Business, Vol. 79, No. 3, May 2006
Number of pages: 26 Posted: 14 Oct 2005
Rodolfo Oviedo
Universidad Austral
Downloads 414 (131,153)

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Treasury, bond, futures, contracts, conversion, factor, CBOT

5.
Downloads 356 (155,328)
Citation 1

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Yield curve, duration, yield to maturity, graph, jump, bond, bonds, average live, yield-curve, term structure, length

6.

Hedging At-The-Money Digital Options near Maturity

Methodology and Computing in Applied Probability
Number of pages: 17 Posted: 09 Feb 2022 Last Revised: 28 Nov 2022
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 100 (483,127)

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Digital option, short maturity, at-the-money, hedging, bull call spread, Black- Scholes, Heston model, Lévy model

7.

Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation

Number of pages: 20 Posted: 28 Nov 2023
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 75 (576,502)

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Climate management, derivatives, Heston model, Bitcoin, Cryptocurrencies, Likelihood evaluation, Shannon wavelets