Conall O'Sullivan

University College Dublin (UCD) - Michael Smurfit Graduate School of Business

Michael Smurfit School of Business

Blackrock, Co. Dublin

Ireland

SCHOLARLY PAPERS

8

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in Total Papers Downloads

1,737

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (8)

1.

Path Dependant Option Pricing Under Levy Processes

Number of pages: 24 Posted: 25 Feb 2005
Conall O'Sullivan
University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 1,061 (23,803)
Citation 16

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Fast Fourier transform, recursive, path dependent option pricing

2.

Dividend Capture Returns: Anomaly or Risk Premium? Evidence from the Equity Options Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-2
Number of pages: 102 Posted: 20 Feb 2019
Brian Healy and Conall O'Sullivan
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 224 (159,287)

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3.

Information in the Term Structure of WTI Crude Oil Futures

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-2
Number of pages: 59 Posted: 02 Mar 2020
Don Bredin, Conall O'Sullivan and Simon Spencer
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Department of Banking & Finance
Downloads 141 (239,124)

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4.

Nonparametric Option Implied Tail Risk and Market Returns

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-8
Number of pages: 51 Posted: 19 Sep 2018
Conall O'Sullivan and Yan Wang
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 125 (262,676)
Citation 1

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5.

On the Term Structure of Liquidity in the European Sovereign Bond Market

Journal of Banking and Finance, Vol. 114, 2020
Number of pages: 57 Posted: 10 Aug 2018 Last Revised: 12 Nov 2020
Conall O'Sullivan and Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 89 (331,028)
Citation 1

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microstructure, liquidity, eurozone debt crisis, sovereign bond markets, common factors, liquidity premium

6.

Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market

Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers, World Scientific Publishing, 2017, Forthcoming
Number of pages: 50 Posted: 19 Apr 2017
Conall O'Sullivan and Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 71 (377,759)

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Eurozone crisis, fi nancial contagion, liquidity-volatility spillovers, bond markets

7.

On the Acceleration of Explicit Finite Difference Methods for Option Pricing

Number of pages: 29 Posted: 06 Mar 2008
Stephen O'Sullivan and Conall O'Sullivan
Dublin City University and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 26 (562,485)

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Options pricing, finite difference methods

8.

Accelerated Trinomial Trees Applied to American Basket Options and American Options Under the Bates Model

Journal of Computational Finance, Vol. 19, No. 4, 2016
Number of pages: 44 Posted: 14 Jun 2016
Conall O'Sullivan and Stephen O'Sullivan
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Dublin City University
Downloads 0 (763,690)
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derivatives pricing, trinomial trees, stochastic volatility, jump-diffusion