Jonathan R Stroud

McDonough School of Business, Georgetown University

Associate Professor

3700 O Street NW

Washington, DC 20057

United States

http://jonathanrstroud.com

SCHOLARLY PAPERS

5

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CITATIONS
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Top 4,112

in Total Papers Citations

198

Scholarly Papers (5)

1.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002
Michael S. Johannes, Nick Polson and Jonathan R Stroud
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,059 (19,742)
Citation 29

Abstract:

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2.

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Number of pages: 44 Posted: 15 Oct 2002
Michael S. Johannes, Jonathan R Stroud and Nick Polson
Columbia Business School - Finance and Economics, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 566 (47,056)
Citation 8

Abstract:

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Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility

3.

Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility

Number of pages: 50 Posted: 14 Nov 2012 Last Revised: 04 Oct 2014
Jonathan R Stroud and Michael S. Johannes
McDonough School of Business, Georgetown University and Columbia Business School - Finance and Economics
Downloads 151 (193,336)

Abstract:

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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934
Number of pages: 50 Posted: 15 Dec 2004 Last Revised: 14 Aug 2009
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 89 (286,511)
Citation 10

Abstract:

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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005
Posted: 29 Feb 2008
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

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time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

5.

Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2559-2599, 2009
Posted: 22 Jun 2009
Michael S. Johannes, Nick Polson and Jonathan R Stroud
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University

Abstract:

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C11, C13, C15, C51, C52, G11, G12, G17