Michal Czerwonko

Concordia University

Affiliate Assistant Professor

1455 De Maisonneuve Blvd. W.

Montreal, Quebec H3G 1M8

Canada

SCHOLARLY PAPERS

10

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1,646

SSRN CITATIONS
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Top 33,310

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (10)

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 382 (76,769)
Citation 6

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investorsā€˜ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 179 (169,444)
Citation 1

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

2.
Downloads 289 (101,682)

Mispriced Index Option Portfolios

Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 13 Dec 2017
University of Chicago - Booth School of Business, Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 289 (105,344)

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S&P 500 Options, Stochastic Dominance, Option Mispricing, Portfolio Management, CAC Options, DAX Options

3.

Volatility Momentum

Number of pages: 55 Posted: 27 Sep 2017 Last Revised: 16 Dec 2018
Michal Czerwonko
Concordia University
Downloads 249 (123,784)

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Volatility risk, underreaction, market efficiency, information differentials, January effect, asset pricing anomalies, portfolio selection

4.

Can the Black-Scholes Model Survive under Transaction Costs? An Affirmative Answer

Number of pages: 37 Posted: 14 Mar 2008
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 213 (144,269)

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option pricing, option bounds,incomplete markets, stochastic dominance, transaction costs, diffusion processes

5.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics

Number of pages: 31 Posted: 31 Oct 2008
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 98 (270,937)

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6.

Index Option Anomalies: How Real Are They?

Number of pages: 24 Posted: 27 Nov 2018 Last Revised: 25 Apr 2019
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 96 (274,676)
Citation 1

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S&P 500 options, stochastic dominance, option mispricing, portfolio management

7.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 73 Posted: 22 Aug 2011 Last Revised: 27 May 2012
Concordia University, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), Concordia University, Quebec - John Molson School of Business and University of Quebec in Montreal
Downloads 60 (359,792)

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Price discovery, Market microstructure, Option inversion, Stochastic volatility

8.

Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II

Number of pages: 15 Posted: 22 May 2016
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 35 (448,739)

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transaction costs, portfolio selection, jump diffusion, asset allocation, finite horizon

9.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications

Forthcoming in Quarterly Journal of Finance
Number of pages: 38 Posted: 12 Jan 2017
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 23 (508,878)

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Transaction Costs, Portfolio Selection, Jump Diffusion, Asset Allocation, Finite Horizon

10.

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

Forthcoming in Quarterly Journal of Finance
Number of pages: 46 Posted: 12 Jan 2017
Michal Czerwonko and Stylianos Perrakis
Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 22 (514,836)
Citation 1

Abstract:

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Transaction Costs, Portfolio Selection, Jump Diffusion, Asset Allocation, Finite Horizon