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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9,123

SSRN CITATIONS
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Top 27,656

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11

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 2,679 (8,155)
Citation 10

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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 2,011 (12,898)
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 1,356 (23,656)
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 741 (55,484)
Citation 3

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5.

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 693 (60,631)
Citation 1

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Implied volatility, Parametric model, Kummer function, SVI model

6.

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
Bayes Business School, City, University of London and University of Warwick - Financial Options Research Centre (FORC)
Downloads 658 (64,865)

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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

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 386 (123,990)

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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 - The Business School and University of Warwick - Financial Options Research Centre (FORC)
Downloads 332 (146,405)
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 267 (183,751)

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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, 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,

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, 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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16.

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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17.

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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Other Papers (2)

Total Downloads: 1,294
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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 1,091

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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 203

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