George S. Skiadopoulos

Queen Mary, University of London, School of Economics and Finance

Lincoln's Inn Fields

Mile End Rd.

London, E1 4NS

United Kingdom

University of Piraeus, Department of Banking and Financial Management

Professor

80 Karaoli & Dimitriou Str.

18534 Piraeus, 185 34 -GR

Greece

http://https://sites.google.com/view/george-skiadopoulos

  • University of Piraeus, Department of Banking and Financial Management

SCHOLARLY PAPERS

38

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144

CROSSREF CITATIONS

77

Scholarly Papers (38)

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1.

Dissecting Climate Risks: Are they Reflected in Stock Prices?

Number of pages: 70 Posted: 03 Mar 2021 Last Revised: 08 Apr 2023
Renato Faccini, Rastin Matin, George S. Skiadopoulos and George S. Skiadopoulos
Danmarks Nationalbank, PFA Asset Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 2,718 (8,611)
Citation 31

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Physical and transition climate risks, Latent Dirichlet Allocation, Cross-section of stock returns, Textual analysis

2.

Should Investors Include Commodities in Their Portfolios After All? New Evidence

Journal of Banking and Finance, Vol. 35, No. 10, 2011
Number of pages: 56 Posted: 05 Aug 2010 Last Revised: 27 Nov 2011
Charoula Daskalaki, George S. Skiadopoulos and George S. Skiadopoulos
University of Crete, Department of Economics and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 1,318 (26,621)
Citation 7

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Asset allocation, Commodity boom, Commodity futures, Commodity indexes. Spanning, Performance evaluation

3.

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Downloads 966 (41,654)
Citation 24

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Number of pages: 56 Posted: 23 Oct 2008 Last Revised: 07 Mar 2011
Alexandros Kostakis, Nikolaos Panigirtzoglou, George S. Skiadopoulos and George S. Skiadopoulos
University of Liverpool - Management School (ULMS), Queen Mary, University of London and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 966 (41,027)
Citation 24

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Asset allocation, Option-implied distributions, Market timing, Performance evaluation, Portfolio Choice, Risk aversion

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Management Science, Vol. 57, No. 7, pp. 1231-1249, 2011
Posted: 24 Nov 2011 Last Revised: 27 Nov 2011
Alexandros Kostakis, Nikolaos Panigirtzoglou, George S. Skiadopoulos and George S. Skiadopoulos
University of Liverpool - Management School (ULMS), Queen Mary, University of London and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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asset allocation, option-implied distributions, market timing, performance evaluation, portfolio

4.

The Informational Content of Financial Options for Quantitative Asset Management: A Review

HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming
Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 12 Aug 2020
Daniel Giamouridis, George S. Skiadopoulos and George S. Skiadopoulos
Bank of America - Bank of America Merrill Lynch and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 648 (71,205)
Citation 1

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Beta, Implied distributions, Implied volatility, Options, Portfolio construction, Stock selection, Value-at-Risk

5.

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Downloads 619 (75,366)
Citation 11

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 31 Dec 2010 Last Revised: 12 Mar 2012
Michael Neumann, George S. Skiadopoulos and George S. Skiadopoulos
Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 619 (74,433)
Citation 11

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 12 Mar 2012
Michael Neumann, George S. Skiadopoulos and George S. Skiadopoulos
Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

6.

Are There Common Factors in Individual Commodity Futures Returns?

Downloads 573 (82,965)

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 13 May 2012 Last Revised: 09 Dec 2013
Charoula Daskalaki, Alexandros Kostakis, George S. Skiadopoulos and George S. Skiadopoulos
University of Crete, Department of Economics, University of Liverpool - Management School (ULMS) and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 573 (81,973)
Citation 10

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Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Posted: 10 Dec 2013
Charoula Daskalaki, Alexandros Kostakis, George S. Skiadopoulos and George S. Skiadopoulos
University of Crete, Department of Economics, University of Liverpool - Management School (ULMS) and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

7.

Volatility Spillovers and the Effect of News Announcements

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 17 Jul 2010 Last Revised: 11 Apr 2012
George J. Jiang, Eirini Konstantinidi, George S. Skiadopoulos and George S. Skiadopoulos
Washington State University, The University of Manchester - Manchester Business School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 539 (89,577)
Citation 11

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Contagion, Scheduled news announcements, Unscheduled news announcements, Implied volatility, Implied volatility index,Volatility spillovers

8.

A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

Number of pages: 57 Posted: 17 May 2017 Last Revised: 10 Jan 2018
Renato Faccini, Eirini Konstantinidi, George S. Skiadopoulos, George S. Skiadopoulos and Sylvia Sarantopoulou-Chiourea
Danmarks Nationalbank, The University of Manchester - Manchester Business School, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and University of Piraeus
Downloads 532 (91,049)
Citation 9

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Option prices, Risk aversion, Risk-neutral moments, Real Economic Activity, Production economy model

9.

Positive Stock Information in Out-of-the-Money Option Prices

Number of pages: 78 Posted: 06 Jun 2017 Last Revised: 06 Mar 2021
Konstantinos Gkionis, Alexandros Kostakis, George S. Skiadopoulos, George S. Skiadopoulos and Przemyslaw Stan Stilger
UBS, University of Liverpool - Management School (ULMS), University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and University of Manchester - Manchester Business School
Downloads 462 (108,011)

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Option-Implied Information, Price Discovery, Risk-Neutral Skewness, Stock Underpricing, Downside Risk

10.

Capital Structure and Financial Flexibility: Expectations of Future Shocks

Number of pages: 62 Posted: 21 Sep 2014 Last Revised: 29 Jan 2019
Costas Lambrinoudakis, George S. Skiadopoulos, George S. Skiadopoulos and Konstantinos Gkionis
University of Leeds - Faculty of Business, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and UBS
Downloads 410 (124,174)
Citation 5

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Capital structure, Financial flexibility, Options, Risk-neutral volatility, Risk-neutral kurtosis

11.

Are Freight Futures Markets Efficient? Evidence from IMAREX

Downloads 406 (125,586)
Citation 1

Are Freight Futures Markets Efficient? Evidence from IMAREX

Number of pages: 31 Posted: 01 Apr 2010 Last Revised: 27 Nov 2011
Lambros Goulas, George S. Skiadopoulos and George S. Skiadopoulos
Systemic Risk Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 406 (124,418)
Citation 1

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Freight markets; Freight rate; IMAREX freight futures; Interval forecasts; Market efficiency, Model Confidence Set

Are Freight Futures Markets Efficient? Evidence from Imarex

International Journal of Forecasting, Forthcoming
Posted: 26 Nov 2011
Lambros Goulas, George S. Skiadopoulos and George S. Skiadopoulos
Systemic Risk Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Freight markets, Freight rate, IMAREX freight futures, Interval forecasts, Market efficiency, Model Confidence Set

12.

The Contribution of Frictions to Expected Returns: An Options-based Estimation Approach

Number of pages: 68 Posted: 11 Feb 2018 Last Revised: 16 Feb 2021
Kazuhiro Hiraki, George S. Skiadopoulos and George S. Skiadopoulos
Bank of Japan and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 400 (127,784)
Citation 2

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Limits to arbitrage, Market frictions, Put-call parity, Return predictability

13.

The Greek Implied Volatility Index: Construction and Properties

Number of pages: 25 Posted: 25 Mar 2004
George S. Skiadopoulos and George S. Skiadopoulos
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 391 (131,114)
Citation 12

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Granger causality tests, implied volatility indices, implied volatility spillover, volatility derivatives

14.

Modeling the Dynamics of Temperature with a View to Weather Derivatives

Number of pages: 43 Posted: 06 Dec 2009 Last Revised: 22 Jan 2010
Gkaren Papazian, George S. Skiadopoulos and George S. Skiadopoulos
Accenture and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 307 (170,404)
Citation 1

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Point forecasts, Predictability, Principal Components, Temperature, Temperature indices

15.

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
George Kapetanios, Eirini Konstantinidi, Michael Neumann, George S. Skiadopoulos and George S. Skiadopoulos
King's College, London, The University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 282 (186,095)
Citation 4

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Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements

16.

The Effects of Margin Changes on Commodity Futures Markets

Downloads 256 (205,152)

The Effects of Margin Changes on Commodity Futures Markets

Number of pages: 47 Posted: 06 Aug 2012 Last Revised: 17 Oct 2013
Charoula Daskalaki, George S. Skiadopoulos and George S. Skiadopoulos
University of Crete, Department of Economics and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 256 (204,253)
Citation 2

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Funding constraints, Hedging, Market liquidity, Margins, Price stability, Speculators

The Effects of Margin Changes on Commodity Futures Markets

Journal of Financial Stability, Vol. 22, 2016
Posted: 05 Apr 2016
Charoula Daskalaki, George S. Skiadopoulos and George S. Skiadopoulos
University of Crete, Department of Economics and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Commodities, Hedging, Market liquidity, Margins, Speculators.

17.

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Downloads 253 (208,318)
Citation 4

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Number of pages: 54 Posted: 30 Sep 2014
Eirini Konstantinidi, George S. Skiadopoulos and George S. Skiadopoulos
The University of Manchester - Manchester Business School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 150 (332,909)
Citation 3

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Economic conditions, Predictability, Trading activity, Variance swaps, Variance risk premium, Volatility trading

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 02 Nov 2015
Eirini Konstantinidi, George S. Skiadopoulos and George S. Skiadopoulos
The University of Manchester - Manchester Business School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 103 (446,836)

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Funding illiquidity, Predictability, Variance swaps, Variance risk premium, Volatility trading

18.

Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach

Downloads 208 (250,170)

Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach

Number of pages: 58 Posted: 02 Nov 2015 Last Revised: 22 Jul 2017
Charoula Daskalaki, George S. Skiadopoulos, George S. Skiadopoulos and Nikolas Topaloglou
University of Crete, Department of Economics, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and Athens University of Economics and Business
Downloads 208 (249,582)
Citation 10

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Alternative asset class, Commodity indices, Portfolio choice, Stochastic dominance

Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach

Journal of Empirical Finance, Vol. 44, 2017
Posted: 22 Jan 2018
Charoula Daskalaki, George S. Skiadopoulos, George S. Skiadopoulos and Nikolas Topaloglou
University of Crete, Department of Economics, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and Athens University of Economics and Business

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Alternative Investments, Commodity Indices, Market Integration, Portfolio Choice, Stochastic Dominance

19.

Learning and Index Option Returns

Downloads 171 (297,774)
Citation 1

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic, George S. Skiadopoulos and George S. Skiadopoulos
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 171 (297,713)
Citation 1

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

Learning and Index Option Returns

Journal of Business and Economic Statistics, Forthcoming
Posted: 12 Nov 2018
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic, George S. Skiadopoulos and George S. Skiadopoulos
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

20.

The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure

Journal of Derivatives, Fall 2023, 31:1, 8-33
Posted: 24 May 2023 Last Revised: 06 Sep 2023
Kazuhiro Hiraki, George S. Skiadopoulos and George S. Skiadopoulos
Bank of Japan and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Transaction costs, Put-call parity, Return predictability, Informational content of options

21.

Jumps in Option Prices and Their Determinants: Real-Time Evidence From the E-Mini S&P 500 Options Market

Journal of Financial Markets, Vol. 46, 2019
Posted: 04 Dec 2019
George Kapetanios, Eirini Konstantinidi, Michael Neumann, George S. Skiadopoulos and George S. Skiadopoulos
King's College, London, The University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement

22.

Advances in the Commodity Futures Literature: A Review

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 24 Aug 2013
George S. Skiadopoulos and George S. Skiadopoulos
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Alternative investments, Asset allocation, Asset pricing, Commodity futures, Margins

23.

Investing in Commodities: Popular Beliefs and Misconceptions

Journal of Asset Management, Vol. 13, No. 2, pp. 77-83, 2012
Posted: 12 Mar 2012
George S. Skiadopoulos and George S. Skiadopoulos
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Asset allocation, Hedging pressure, Commodity futures, Commodity Index, Performance evaluation

24.

Are VIX Futures Prices Predictable? An Empirical Investigation

International Journal of Forecasting, Vol. 27, No. 2, pp. 543-560, 2011
Posted: 23 Aug 2008 Last Revised: 02 Feb 2011
Eirini Konstantinidi, George S. Skiadopoulos and George S. Skiadopoulos
The University of Manchester - Manchester Business School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Bootstrapping, interval forecasts, Market efficiency, Performance measures, Predictability, VIX, Volatility futures

25.

Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets

Chantziara, T., and Skiadopoulos, G. (2008): ¿Can the Dynamics of the Term Structure of Petroleum Futures be forecasted? Evidence from Major Markets¿, Energy Economics, 30:3, pp. 962-985., Energy Economics, Vol. 30, No. 3, 2008
Posted: 29 Apr 2008 Last Revised: 24 Oct 2008
Thalia Chantziara, George S. Skiadopoulos and George S. Skiadopoulos
New York University and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Petroleum futures, Principal components analysis, Predictability, Spillovers, Term structure of futures prices

26.

Can the Evolution of Implied Volatility Be Forecasted? Evidence from European and U.S. Implied Volatility Indices

Journal of Banking and Finance, Vol. 32, No. 11, 2008
Posted: 04 Mar 2007 Last Revised: 24 Oct 2008
Eirini Konstantinidi, George S. Skiadopoulos, George S. Skiadopoulos and Emilia Tzagkaraki
The University of Manchester - Manchester Business School, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and University of Piraeus

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Implied volatility, Implied volatility indices, Interval forecasts, Market efficiency, Predictability, Volatility derivatives

27.

An Empirical Comparison of Continuous-Time Models of Implied Volatility Indices

Journal of Banking and Finance, Vol. 31, No. 12, pp. 3584-3603, 2007
Posted: 27 Jan 2007 Last Revised: 03 Jan 2008
George Dotsis, Dimitris Psychoyios, George S. Skiadopoulos and George S. Skiadopoulos
National and Kapodistrian University of Athens - Faculty of Economics, University of Piraeus - Department of Industrial Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Continuous time estimation, Conditional characteristic function, Implied volatility indices, Volatility derivatives, VIX futures

28.

Volatility Options: Hedging Effectiveness, Pricing, and Model Error

Journal of Futures Markets, Vol. 26, No. 1, pp. 1-31, 2006
Posted: 13 Dec 2005
Dimitris Psychoyios, George S. Skiadopoulos and George S. Skiadopoulos
University of Piraeus - Department of Industrial Management and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Hedging Effectiveness, Model Error, Monte Carlo Simulation, Stochastic Volatility, Volatility risk, Volatility Options

29.

Implied Volatility Trees and Pricing Performance: Evidence from the S&P 100 Options

International Journal of Theoretical and Applied Finance, Vol. 8, No. 8, pp. 1085-1106, 2005
Posted: 12 Dec 2005
Charilaos E. Linaras, George S. Skiadopoulos and George S. Skiadopoulos
Hellenic Petroleum Group - EKO-ELDA A.B.E.E. and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

Abstract:

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Implied volatility, Implied volatility trees, Option Pricing

30.

A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&P 500 Options

Journal of Banking and Finance, Vol. 28, Vol. 7, pp. 1499-1520, 2004
Posted: 12 Sep 2005
Nikolaos Panigirtzoglou, George S. Skiadopoulos and George S. Skiadopoulos
Queen Mary, University of London and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Implied cumulative distribution function, Monte Carlo Simulation, Option Pricing, Principal Components Analysis, Value-at-Risk.

31.

The Effect of Mis-Estimating Correlation on Value-at-Risk

Posted: 02 May 2005
Vasiliki D. Skintzi, George S. Skiadopoulos, George S. Skiadopoulos and Apostolos N. Refenes
Athens University of Economics and Business - Department of Management Science and Technology, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and Athens University of Economics and Business - Financial Engineering Research Centre

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Value-at-Risk, Correlation Mis-Estimation, Monte Carlo Simulation, Variance-Covariance Methods, Model Error

32.

Volatility Smile Consistent Option Models: A Survey

Posted: 10 Dec 2003
George S. Skiadopoulos and George S. Skiadopoulos
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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33.

VAR: History or Simulation?

Risk, Vol. 16, No. 9, pp. 122-127, 2003
Posted: 09 Nov 2003
George S. Skiadopoulos, George S. Skiadopoulos, Greg Lambadiaris, Louiza Papadopoulou and Yiannis Zoulis
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance, Independent, Nova Bank and Independent

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Value-at-Risk, Historical Simulation, Monte Carlo Simulation, Principal Components Analysis, Greek bond and stock portfolios

34.

A Review of Stochastic Volatility Processes: Properties and Implications

Posted: 28 Jun 2003
Dimitris Psychoyios, George S. Skiadopoulos, George S. Skiadopoulos and Panayotis Alexakis
University of Piraeus - Department of Industrial Management, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and Athens Stock Exchange

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35.

Simulating the Evolution of the Implied Distribution

Posted: 19 Jan 2001
George S. Skiadopoulos, George S. Skiadopoulos and Stewart D. Hodges
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and University of Warwick - Financial Options Research Centre (FORC)

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Smile-consistent stochastic volatility models,

36.

The Dynamics of the S&P 500 Implied Volatility Surface

Posted: 27 Mar 2000
George S. Skiadopoulos, George S. Skiadopoulos, Stewart D. Hodges and Les Clewlow
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance, University of Warwick - Financial Options Research Centre (FORC) and Lacima

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37.

The Dynamics of Implied Volatility Surfaces

FORC preprint: 1998/86
Posted: 16 Sep 1998
Les Clewlow, Stewart D. Hodges, George S. Skiadopoulos and George S. Skiadopoulos
Lacima, University of Warwick - Financial Options Research Centre (FORC) and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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38.

The Dynamics of Smiles

FORC series Pre-Prints: 98/85
Posted: 07 May 1998
George S. Skiadopoulos, George S. Skiadopoulos, Stewart D. Hodges and Les Clewlow
University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance, University of Warwick - Financial Options Research Centre (FORC) and Lacima

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