Kam Hamidieh

University of Pennsylvania

Philadelphia, PA 19104

United States

Statistics and Data Sciences

2317 Speedway

Austin, TX 78712

United States

SCHOLARLY PAPERS

4

DOWNLOADS

664

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (4)

Estimating the Tail Shape Parameter from Option Prices

Number of pages: 62 Posted: 10 Oct 2011 Last Revised: 08 Jan 2015
Kam Hamidieh
University of Pennsylvania
Downloads 326 (104,023)
Citation 4

Abstract:

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Options, Option Pricing, Risk Neutral Density, Generalized Pareto, S&P 500

Estimating the Tail Shape Parameter from Option Prices

Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26 Posted: 04 Aug 2017
Kam Hamidieh
University of Pennsylvania
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options, option pricing, risk neutral density, generalized Pareto, Standard&Poor’s 500 (S&P 500)

2.

Measuring Downside and Upside Volatilities from Options

Marshall School of Business Working Paper No. DSO 01.13
Number of pages: 24 Posted: 29 Jun 2013 Last Revised: 07 Apr 2015
Kam Hamidieh
University of Pennsylvania
Downloads 184 (184,866)

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Options, S&P 500, Volatility

3.

Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk

Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 06 Apr 2015
Kam Hamidieh, Stilian Stoev and George Michailidis
University of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 118 (265,313)

Abstract:

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Point Processes, Clustering, Autoregressive Conditional Duration, Extreme Risk, Generalized Pareto Distribution

4.

On the Estimation of the Extremal Index Based on Scaling and Resampling

Journal of Computational and Graphical Statistics, Vol. 18, No. 3, pp. 731-755, 2009
Number of pages: 38 Posted: 14 Apr 2010
Kam Hamidieh, Stilian Stoev and George Michailidis
University of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 36 (492,839)

Abstract:

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Extremal Index, Clustering, Asymptotic normality, Bootstrap, Heavy tails, Permutation