Stewart D. Hodges

University of Warwick - Financial Options Research Centre (FORC)

Professor, Director of FORC

Warwick Business School

Coventry CV4 7AL

United Kingdom

  • University of Warwick - Financial Options Research Centre (FORC)

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    • Tel: 01203-523606
SCHOLARLY PAPERS

17

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9

CROSSREF CITATIONS

24

Scholarly Papers (17)

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1.

A Two-Factor Model for Commodity Prices and Futures Valuation

Number of pages: 24 Posted: 18 May 2004
Diana Ramos Ribeiro and Stewart D. Hodges
University of Warwick and University of Warwick - Financial Options Research Centre (FORC)
Downloads 2,482 (5,826)
Citation 8

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commodity prices, futures, Kalman filter, reduced-form model

2.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Nina Boyarchenko, Mario Cerrato, John Crosby and Stewart D. Hodges
Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 1,979 (8,559)
Citation 2

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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

3.

The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

EFA 2003 Annual Conference Paper No. 135, Sauder School of Business Working Paper
Number of pages: 22 Posted: 23 Jul 2003
Stewart D. Hodges, Robert Tompkins and William T. Ziemba
University of Warwick - Financial Options Research Centre (FORC), Business School of Finance & Management (HfB) - Bankakademie Group and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,147 (20,097)
Citation 11

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long-shot bias, gambling, option prices, implied volatilities

4.

Rational Bounds on the Prices of Exotic Options

Number of pages: 38 Posted: 25 Aug 2000
Anthony Neuberger and Stewart D. Hodges
City University London - Faculty of Finance and University of Warwick - Financial Options Research Centre (FORC)
Downloads 703 (40,247)
Citation 3

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5.

The Theory of Good-Deal Pricing in Financial Markets

FORC Preprint, No. 98/90, Geman H., Madan D., Pliska S., Vorst T.(eds.): Mathematical Finance – Bachelier Congress 2000, 175-202, Springer
Number of pages: 34 Posted: 02 Jul 2004 Last Revised: 22 Jun 2020
Aleš Černý and Stewart D. Hodges
The Business School (formerly Cass), City, University of London and University of Warwick - Financial Options Research Centre (FORC)
Downloads 605 (49,152)

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arbitrage, good deal, virtually desirable claim, state price functional, incomplete market, reward for risk measure, Generalized Sharpe Ratio, admissible price region, equivalent martingale measure

6.

Parametric Modeling of Implied Smile Functions: A Generalized SVI Model

Review of Derivatives Research, Forthcoming
Number of pages: 30 Posted: 12 May 2012
Bo Zhao and Stewart D. Hodges
City University London - Sir John Cass Business School and University of Warwick - Financial Options Research Centre (FORC)
Downloads 533 (57,738)
Citation 1

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Implied volatility, Parametric model, Kummer function, SVI model

7.

Rational Bounds and the Robust Risk Management of Derivatives

London Business School, IFA Working Paper Series, No. 281 - 2002
Number of pages: 41 Posted: 03 Mar 2002
Anthony Neuberger and Stewart D. Hodges
City University London - Faculty of Finance and University of Warwick - Financial Options Research Centre (FORC)
Downloads 356 (93,634)

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8.

An Extended Model of Effective Bid-Ask Spread

Number of pages: 16 Posted: 04 Aug 2011
Hao Zhang and Stewart D. Hodges
City University London - Sir John Cass Business School and University of Warwick - Financial Options Research Centre (FORC)
Downloads 300 (113,210)
Citation 2

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bid-ask spread, market microstructure, liquidity, Gibbs Sampler, Bayesian Model Comparision

9.

On the Time Variation of the Market Risk Premium

U. of Warwick Business School (FORC) Working Paper No. 2001/117
Number of pages: 27 Posted: 02 Aug 2001
Stewart D. Hodges and Chien-Hui Liao
University of Warwick - Financial Options Research Centre (FORC) and University of Manchester - Division of Accounting and Finance
Downloads 242 (141,483)

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Time variation, Market risk premium, Price of risk, Equilibrium

10.

Overconfident Forecasts and Active Portfolio Performance

Posted: 19 Apr 2014
Nato Kemkhadze and Stewart D. Hodges
University of Warwick - Financial Options Research Centre (FORC) and University of Warwick - Financial Options Research Centre (FORC)

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Overconfident Forecasts, Portfolio Optimisation, Sharpe Ratio, Measure of Expected Utility, Manager Skill, Forecast Errors

11.

How Efficient Use of Information Changes Portfolio Allocations

Posted: 16 Dec 2013
Nato Kemkhadze and Stewart D. Hodges
University of Warwick - Financial Options Research Centre (FORC) and University of Warwick - Financial Options Research Centre (FORC)

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Investment, Portfolio Selection, Financial Forecasts, Efficient Use of Investment Information, Uncertainty, Optimal Portfolio, Correlation, Bayesian Analysis, MLE

12.

Multivariate Distributional Tests in Risk Management: An Empirical Characteristic Function Approach

Posted: 13 May 2001
Mascia Bedendo and Stewart D. Hodges
University of Bologna - Department of Management and University of Warwick - Financial Options Research Centre (FORC)

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Multivariate density forecasting, distributional tests, empirical characteristic function, Value at Risk, mixture of normal.

13.

Simulating the Evolution of the Implied Distribution

Posted: 19 Jan 2001
George S. Skiadopoulos and Stewart D. Hodges
Queen 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,

14.

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Posted: 18 Apr 2000
João Pedro Vidal Nunes, Les Clewlow and Stewart D. Hodges
ISCTE Business School, Lacima and University of Warwick - Financial Options Research Centre (FORC)

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15.

The Dynamics of the S&P 500 Implied Volatility Surface

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

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16.

The Dynamics of Implied Volatility Surfaces

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

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17.

The Dynamics of Smiles

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

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Other Papers (2)

Total Downloads: 1,210
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1.

The Relation between Implied and Realised Probability Density Functions

Number of pages: 61 Posted: 04 Mar 2002
Iliana Anagnou, Mascia Bedendo, Stewart D. Hodges and Robert Tompkins
Financial Options Research Ctr., Univ. of Warwick, University of Bologna - Department of Management, University of Warwick - Financial Options Research Centre (FORC) and Business School of Finance & Management (HfB) - Bankakademie Group
Downloads 1,031

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Implied Risk-Neutral Distribution, RND, Implied Volatility Smiles, Probability Integral Transform, Options, Goodness-of-Fit Tests, NIG

2.

A Parsimonious Continuous Time Model for Equity Returns

Number of pages: 44 Posted: 26 Apr 2003
Mascia Bedendo and Stewart D. Hodges
University of Bologna - Department of Management and University of Warwick - Financial Options Research Centre (FORC)
Downloads 179

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