Leonidas Rompolis

Athens University of Economics and Business - Department of Accounting and Finance

76 Patission Street

GR-104 34 Athens

Greece

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 25,823

in Total Papers Citations

29

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

Pricing Event Risk: Evidence from Concave Implied Volatility Curves

Swiss Finance Institute Research Paper No. 21-48, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 66 Posted: 07 May 2021 Last Revised: 01 Feb 2024
University of Liverpool - Management School (ULMS), University of Lausanne, University of Liverpool - Management School (ULMS) and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 1,051 (40,176)
Citation 3

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Earnings Announcement, Event Risk, Risk-Neutral Distribution, Implied Volatility Curve

2.

Retrieving Risk Neutral Moments and Expected Quadratic Variation from Option Prices

Review of Quantitative Finance and Accounting, Vol. 48, No. 4, 2017
Number of pages: 68 Posted: 11 Oct 2006 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 424 (129,516)
Citation 4

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Risk neutral moments; characteristic function; expected quadratic variation; jump component.

A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density

Number of pages: 30 Posted: 12 Aug 2007 Last Revised: 06 Jun 2017
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 267 (212,029)
Citation 2

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Maximum entropy, risk neutral density, risk neutral moments

A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density

Number of pages: 30 Posted: 12 Feb 2009
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 138 (386,272)

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Maximum entropy, risk neutral density, risk neutral moments

4.

Risk Premium Effects on Implied Volatility Regressions

Journal of Financial Research, Forthcoming
Number of pages: 34 Posted: 03 Mar 2008 Last Revised: 13 Jan 2009
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 310 (182,754)
Citation 3

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Implied volatility, risk neutral cumulants, risk aversion

5.

Put-Call Parity Violations and Return Predictability: Evidence from the 2008 Short Sale Ban

Number of pages: 57 Posted: 12 Jul 2011 Last Revised: 24 Sep 2020
George Nishiotis and Leonidas Rompolis
University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 242 (234,948)
Citation 4

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Short sale ban; put-call parity; return predictability; limits to arbitrage; market efficiency; information flow

6.

Jump Tail Risk Exposure and the Cross-Section of Stock Returns

Number of pages: 44 Posted: 19 Sep 2023
Lykourgos Alexiou and Leonidas Rompolis
University of Liverpool - Management School (ULMS) and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 216 (261,904)

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jump tail risk, option prices, stock returns, factor models

The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty

Bank of Greece, Working Paper Series
Number of pages: 73 Posted: 06 Jun 2017 Last Revised: 31 May 2022
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 135 (393,178)
Citation 1

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euro area; risk aversion; uncertainty; monetary policy surprises; quantitative easing; forward guidance

The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty

Bank of Greece Working Paper No. 231
Number of pages: 54 Posted: 22 Aug 2022
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 22 (965,032)
Citation 2

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Unconventional monetary policy; euro area; risk aversion; uncertainty

8.

Recovering the Market Risk Premium from Higher-Order Moment Risks

European Financial Management
Number of pages: 59 Posted: 12 Mar 2016 Last Revised: 06 Apr 2022
George Chalamandaris and Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 154 (353,235)

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Ex ante market risk premium; risk aversion coefficient; physical cumulants; risk-neutral cumulants

9.

Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps

Quantitative Finance 47(4), 2017, p. 531-550
Number of pages: 40 Posted: 19 Dec 2012 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 150 (360,901)
Citation 3

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Variance swaps, higher-order moment swaps, volatility and jump risks, hedging strategies

10.

Recovering Risk Neutral Densities from Option Prices: A New Approach

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, pp. 1037-1054, 2008
Number of pages: 26 Posted: 11 Oct 2006 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 109 (460,942)
Citation 4

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Risk neutral density, Risk neutral moments, Gram-Charlier series expansion

11.

Exploring the Role of the Realized Return Distribution in the Formation of the Implied Volatility Smile

Journal of Banking and Finance, Vol. 36, No. 4, 2012
Number of pages: 48 Posted: 07 Jun 2017
George Chalamandaris and Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 70 (607,046)
Citation 1

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Filtered historical simulation, Risk-neutral cumulants, Realized cumulants, Adaptive expectations

12.

Risk-Free Rates and Variance Futures Prices

Journal of Futures Markets, Forthcoming
Number of pages: 47 Posted: 12 Jun 2012 Last Revised: 06 Jun 2017
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 47 (733,752)

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Risk-free rates, variance futures prices, cointegration analysis