George Chalamandaris

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

Lecturer of Finance

76 Patission Street

GR-104 34 Athens

Greece

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

SCHOLARLY PAPERS

13

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17

Scholarly Papers (13)

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1.

Ito's Calculus and the Derivation of the Black-Scholes Option-Pricing Model

HANDBOOK OF QUANTITATIVE FINANCE, C. F. Lee, Alice C. Lee, eds., Springer, 2009
Number of pages: 63 Posted: 18 Oct 2007 Last Revised: 12 Feb 2009
George Chalamandaris and A. (Tassos) G. Malliaris
Athens University of Economics and Business - Department of Accounting and Finance and Loyola University of Chicago - Department of Economics
Downloads 917 (28,842)

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Ito, Calculus, Derivation, Black, Scholes, Option, Pricing

2.

Stochastic Processes and Models

COMPANION TO FINANCIAL DERIVATIVES, Robert Kolb, James Overdahl, eds., Palgrave, Forthcoming
Number of pages: 30 Posted: 19 Mar 2008
A. (Tassos) G. Malliaris and George Chalamandaris
Loyola University of Chicago - Department of Economics and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 255 (138,034)

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Stochastic, Processes, Models

3.

How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options

Journal of International Money and Finance, Vol. 30, No. 4, pp. 623-640
Number of pages: 40 Posted: 16 Feb 2009 Last Revised: 22 Jan 2013
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 241 (145,852)

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Exchange rates, Term structure, Implied volatility surfaces, Volatility functions, Forecasting, Foreign exchange options

4.

Predictable Dynamics in Implied Volatility Surfaces from OTC Currency Options

Journal of Banking and Finance, Vol. 34, No. 6, 2010
Number of pages: 46 Posted: 11 Oct 2009 Last Revised: 19 Apr 2010
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 186 (185,997)

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Implied volatility surfaces, static Factor model, Forecasting, Trading strategies

5.

Predictability in Implied Volatility Surfaces: Evidence from the Euro OTC FX Market

European Journal of Finance, vo. 20, no. 1, pp.33-58, 2014.
Number of pages: 36 Posted: 12 May 2012 Last Revised: 28 May 2014
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 166 (205,285)

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Exchange rates, Implied volatility surfaces, Volatility functions, Forecasting, Foreign exchange options

6.

Recovering the Market Risk Premium from Stock and Option Prices

Number of pages: 54 Posted: 12 Mar 2016 Last Revised: 23 Sep 2020
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 116 (272,515)

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

7.

The Correlation Structure of FX Option Markets Before and Since the Financial Crisis

Applied Financial Economics, Vol. 20, No.1-2, pp. 73-84, 2009
Number of pages: 24 Posted: 06 May 2011
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 103 (296,051)

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Common shocks, Implied volatility surfaces, FX options, Dynamic factor model, Static factor representation, Covariance, Correlation

8.

Adverse-Selection Considerations in the Market-Making of Corporate Bonds

Number of pages: 41 Posted: 26 Jul 2018
George Chalamandaris and Nikos Vlachogiannakis
Athens University of Economics and Business - Department of Accounting and Finance and Bank of Greece
Downloads 58 (412,021)

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adverse selection; institutional customers; retail customers; order size; corporate bonds; market-making; public information trading

9.

Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian-Pacific Currency Options

Computational Economics, Vol. 41, No. 3, pp. 327-358, 2013
Number of pages: 51 Posted: 12 May 2012 Last Revised: 20 Feb 2013
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 49 (444,303)

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implied volatility surfaces, currency options, causality, seasonality

10.

Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market

Journal of Economic Asymmetries, Vol. 6, No. 1, 2009
Number of pages: 19 Posted: 25 Nov 2011
George Chalamandaris and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 45 (460,150)

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Implied volatility surfaces, Currency options, Factor model, Causality

11.

Revisiting the Relevance of Financial-Statement for CDS Trading From an Adaptive-Markets Hypothesis Perspective

Number of pages: 30 Posted: 16 Oct 2018
George Chalamandaris
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 31 (524,666)

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Adaptive Markets Hypothesis, Financial Statement, Bayesian Model Averaging, CDS

12.

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 30 (530,023)
Citation 1

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

13.

Are stock-market anomalies anomalous after all?

George Chalamandaris, Kuntara Pukthuanthong and Nikolas Topaloglou
Athens University of Economics and Business - Department of Accounting and Finance, University of Missouri, Columbia and Athens University of Economics and Business

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Stochastic dominance, stochastic spanning, mean-variance spanning market anomalies.