One Bernard Baruch Way
New York, NY 10010
City University of New York, CUNY Baruch College - Zicklin School of Business
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Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis
Implied volatility surface; Option realized volatility; Expected volatility surface; Volatility risk premium; Vega-gamma-vanna-volga; Proportional variance dynamics
Stock options, credit default swaps, default arrival rate, return variance dynamics, option pricing, time-changed Levy processes
Return variance swap, equity index options, term structure
Static hedging, jumps, option pricing, Monte Carlo, S&P 500 index options, stochastic volatility
Mortgage-backed securities, option-adjusted spreads, market efficiency
Levy processes, return innovations, stochastic time changes, stochastic volatility, characteristic functions, exponential martingales, measure change, option pricing, Fourier inversion
Option pricing, implied volatility, leverage effect, volatility feedback, self-exciting, market disruptions, jumps, constant elasticity of variance, time-changed Levy processes, Fast Fourier Transform, Gauss-Hermite quadrature, unscented Kalman filter
volatility index; variance swap; volatility swap
Currency options, Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Levy processes.
Credit default swap, credit risk, credit premium, term structure, interest rate risk, liquidity risk, liquidity premium, maximum likelihood estimation.
C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity
Term structure, yield curve, interest rate caps, implied volatility, residual factors, extended Kalman Filter, quasi-maximum likelihood estimation.
Uncovered interest rate parity,expectation hypothesis, regime changes, small sample problem, Peso problem, extreme sampling
Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses
Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility
Stochastic time change, Levy processes, subordination, characteristic functions, option pricing, exponential martingales, measure change.
Stock options, American puts, unit recovery claims, credit default swaps, default probabilities
Credit spreads, term structure, interest rates, macroeconomic factors, financial leverage, volatility, dynamic factor mode, Kalman filter
Stochastic discount factors, international economy, stochastic risk premium
Return variance dynamics, variance risk premium, options, variance swap rates, high-frequency returns, market microstructure, realized variance, quadratic variation, time-changed Levy processes
Options, Static Hedging, Forward Partial Differential Equation, Local Volatility
options, static hedging, forward partial differential equation, local volatility
ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance
Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations
economic risks, stock returns, inflation, real output, pricing kernel, cash flow
Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility
Price discovery, options, executability
Macroeconomic announcements, term structure of interest rates, optimal monetary policy
Independent currency variation, Quadratic model, Term structure, Exchange rate, Uncovered interest rate parity, Unscented Kalman Filter
costs of goods transportation, economies of scale, real exchange rate, purchasing power parity, nonlinearity
quadratic model, term structure, positive interest rates, humps, expectation hypothesis, GMM
Factors, principal component, LIBOR, swaps, swaptions, yield curve, implied volatility surface.
Currency options, sovereign credit default swaps, default arrival rate, return variance dynamics, credit spread term structure modeling, option pricing, time-changed Levy process.
Equity index options, market crashes, volatility smirk, maturity pattern, central limit theorem
Dollar risk exposure, imports, exports, currency risk premium
Dollar Risk Exposure, Imports, Exports, Currency Risk Premium, Stock Returns
Term structure, consistency, positivity, quadratic forms
Federal Reserve, term structure, federal funds rate, market expectation, deterministic jumps, random Poisson jumps, fed fund futures
Dampened power law, alpha-stable distribution, central limit theorem, upside movement, downside movement
Price discovery, options, stocks, put-call parity, automated quoting, options trade
structural model, firm fundamentals, credit default swap, cross-sectional variation, relative valuation
International capital asset pricing, options, stochastic volatility, time-changed Levy processes
Inflation rates; Taylor rule; predictive regressions; time-varying risk premium
term structure, skewness and kurtosis, multi-factors affine models, pricing kernels, consumption growth, inflation
Supply chain, directed network, centrality, supplier centrality, customer centrality, eigenvector centrality, PageRank
G10, G12, G13
crude futures; crude futures options; stock index options; supply shocks; demand shocks; crude production; shale revolution; optimal fuel cost hedging policy
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