Rodolfo Oviedo

Universidad Austral

Professor

Rosario, Santa Fe

Argentina

McGill University - Desautels Faculty of Management

Montreal, QC

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

3,997

SSRN CITATIONS
Rank 7,863

SSRN RANKINGS

Top 7,863

in Total Papers Citations

139

CROSSREF CITATIONS

26

Scholarly Papers (6)

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 2,094 (11,405)
Citation 183

Abstract:

Loading...

Credit risk, Credit default swaps

2.
Downloads 650 (62,302)
Citation 2

Abstract:

Loading...

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 442 (100,135)
Citation 1

Abstract:

Loading...

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 398 (113,189)

Abstract:

Loading...

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

5.
Downloads 344 (133,709)
Citation 1

Abstract:

Loading...

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 Polit├Ęcnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 69 (492,466)

Abstract:

Loading...

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