Juho Kanniainen

Tampere University of Technology

Professor

P.O. 541, Korkeakoulunkatu 8 (Festia building)

Tampere, FI-33101

Finland

http://https://sites.google.com/site/juhokanniainen/

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 24,198

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Top 24,198

in Total Papers Downloads

1,587

CITATIONS

1

Scholarly Papers (15)

1.

Estimating and Using GARCH Models with VIX Data for Option Valuation

Number of pages: 33 Posted: 31 Oct 2012 Last Revised: 24 Jun 2016
Juho Kanniainen, Binghuan Lin and Hanxue Yang
Tampere University of Technology, Tampere University of Technology and Tampere University of Technology
Downloads 469 (31,112)

Abstract:

Option valuation, VIX, GARCH, Estimation

2.

Stock Price Dynamics, Dividends, and Option Prices with Volatility Feedback

Number of pages: 22 Posted: 07 Feb 2012
Juho Kanniainen and Robert Piche
Tampere University of Technology and affiliation not provided to SSRN
Downloads 79 (226,185)
Citation 1

Abstract:

Volatility Feedback, Dividends, Option Prices, Stochastic Volatility, Time-Varying Price-Dividend ratio

3.

Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets

Number of pages: 34 Posted: 09 Jun 2015 Last Revised: 12 Jan 2016
Hanxue Yang and Juho Kanniainen
Tampere University of Technology and Tampere University of Technology
Downloads 59 (108,771)

Abstract:

Infinite-activity Levy jumps, Non-affine models, MCMC, VIX, Options

4.

Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic

Number of pages: 19 Posted: 10 Jan 2015 Last Revised: 11 Jan 2017
Milla Siikanen, Juho Kanniainen and Jaakko Valli
Tampere University of Technology, Tampere University of Technology and Tampere University of Technology
Downloads 47 (135,926)

Abstract:

Limit order book, Liquidity, Company announcement, High-frequency data

5.

Value of Information and Use of Market Versus Limit Orders by Informed Investors

Number of pages: 20 Posted: 02 Oct 2017
Milla Siikanen, Juho Kanniainen and Sindhuja Ranganathan
Tampere University of Technology, Tampere University of Technology and Tampere University of Technology
Downloads 0 (472,880)

Abstract:

6.

How Facebook Drives Investor Behavior

Number of pages: 16 Posted: 25 Sep 2017
Tampere University of Technology, Tampere University of Technology, Tampere University of Technology, Tampere University of Technology, Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and Tampere University of Technology
Downloads 0 (339,386)

Abstract:

7.

Distributed Calibration of Option Pricing Models with Multiple Contracts Written on Different Underlying Assets

Number of pages: 6 Posted: 19 May 2017
Juho Kanniainen and Marko Koskinen
Tampere University of Technology and Techila Technologies Ltd
Downloads 0 (518,558)

Abstract:

distributed computing; option prices; calibration

8.

The Arrival of News and Jumps in Stock Markets

Number of pages: 46 Posted: 13 Jan 2017 Last Revised: 22 Feb 2017
Juho Kanniainen and Ye Yue
Tampere University of Technology and Tampere University of Technology
Downloads 0 (217,217)

Abstract:

Arrival of News; Jumps; High Frequency Data; Macroeconomic Announcements; Company Announcements

9.

What Drives the Sensitivity of Limit Order Books to Company Announcement Arrivals?

Number of pages: 9 Posted: 29 Dec 2016
Milla Siikanen, Juho Kanniainen and Arto Luoma
Tampere University of Technology, Tampere University of Technology and University of Tampere
Downloads 0 (372,009)

Abstract:

Limit order book, Liquidity, Company announcement, High-frequency data

10.

Modeling Volatility Risk Premium

Posted: 24 Mar 2016
Kossi K. Gnameho, Juho Kanniainen and Ye Yue
Maastricht University - Department of Quantitative Economics, Tampere University of Technology and Tampere University of Technology

Abstract:

Martingale, Malliavin, Risk premium

11.

Practitioner's Guide on the Use of Cloud Computing in Finance

Number of pages: 38 Posted: 02 Dec 2015 Last Revised: 11 Jan 2017
Binghuan Lin, Rainer Wehkamp and Juho Kanniainen
Tampere University of Technology, Techila Technologies Ltd and Tampere University of Technology
Downloads 0 (147,462)

Abstract:

Cloud Computing, Financial Engineering, Risk Management, Portfolio Optimization, Distributed Algorithm

12.

Calibration Strategies of Stochastic Volatility Models for Option Pricing

Applied Financial Economics, Vol. 22, No. 23, pp. 1979-1992
Posted: 03 Nov 2012
Mauri Larikka and Juho Kanniainen
affiliation not provided to SSRN and Tampere University of Technology

Abstract:

stochastic volatility, option prices, calibration, out-of-sample

13.

Can Properly Discounted Projects Follow Geometric Brownian Motion?

Mathematical Methods of Operations Research, Vol. 70, No. 3,pp 435-450, 2009
Posted: 03 Nov 2012
Juho Kanniainen
Tampere University of Technology

Abstract:

Real options, Stochastic processes, Geometric Brownian motion, Stochastic volatility, Present value model

14.

Option Pricing Under Joint Dynamics of Interest Rates, Dividends, and Stock Prices

Operations Research Letters, Vol. 39, No. 4, pp. 260–264, July 2011,
Posted: 30 Oct 2012
Juho Kanniainen
Tampere University of Technology

Abstract:

interest rates, option pricing, dividends

15.

Forecasting the Diffusion of Innovation: A Stochastic Bass Model with Log-Normal and Mean-Reverting Error Process

IEEE Transactions on Engineering Management, 58 (2), 228-249, 2011
Posted: 30 Oct 2012
Tampere University of Technology, Department of Industrial Management, affiliation not provided to SSRN and Tampere University of Technology

Abstract:

diffusion models, innovation forecasting, stochastic processes