| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A lognormal type stochastic volatility model with quadratic drift |
0 |
0 |
0 |
20 |
1 |
1 |
12 |
57 |
| A model-free backward and forward nonlinear PDEs for implied volatility |
0 |
0 |
0 |
4 |
0 |
0 |
3 |
19 |
| ADOL - Markovian approximation of rough lognormal model |
0 |
0 |
1 |
16 |
1 |
1 |
3 |
42 |
| An Expanded Local Variance Gamma model |
0 |
0 |
1 |
6 |
0 |
0 |
3 |
43 |
| Bessel processes, the integral of geometric Brownian motion, and Asian options |
0 |
0 |
0 |
38 |
1 |
2 |
2 |
107 |
| Determining Optimal Trading Rules without Backtesting |
0 |
0 |
0 |
16 |
0 |
0 |
3 |
43 |
| FX Options in Target Zone |
0 |
0 |
0 |
8 |
1 |
1 |
3 |
61 |
| Generalizing Geometric Brownian Motion |
0 |
0 |
2 |
17 |
0 |
0 |
10 |
53 |
| Geometric Local Variance Gamma model |
0 |
0 |
1 |
4 |
0 |
1 |
2 |
33 |
| Local Variance Gamma and Explicit Calibration to Option Prices |
0 |
0 |
0 |
22 |
2 |
2 |
4 |
23 |
| On the Hedging of Options On Exploding Exchange Rates |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
68 |
| On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited |
1 |
2 |
2 |
47 |
1 |
4 |
6 |
173 |
| Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,371 |
| Pricing Variance Swaps on Time-Changed Markov Processes |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
17 |
| Randomization and the American Put |
0 |
0 |
0 |
284 |
0 |
0 |
2 |
1,059 |
| Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
9 |
| Robust replication of barrier-style claims on price and volatility |
0 |
0 |
0 |
6 |
1 |
1 |
2 |
22 |
| Semi-analytical pricing of barrier options in the time-dependent Heston model |
0 |
0 |
0 |
14 |
0 |
1 |
7 |
28 |
| Semi-closed form prices of barrier options in the time-dependent CEV and CIR models |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
20 |
| Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
22 |
| Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer |
0 |
0 |
0 |
5 |
0 |
0 |
5 |
35 |
| Static Hedging of Standard Options |
0 |
1 |
4 |
1,230 |
3 |
5 |
16 |
3,672 |
| Stochastic Skew in Currency Options |
0 |
1 |
1 |
529 |
0 |
1 |
3 |
1,638 |
| Stochastic Volatility for Levy Processes |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
47 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
2 |
481 |
0 |
0 |
4 |
1,267 |
| Time-Changed Levy Processes and Option Pricing |
0 |
0 |
2 |
1,206 |
0 |
2 |
11 |
2,473 |
| Using Machine Learning to Predict Realized Variance |
1 |
2 |
3 |
63 |
1 |
2 |
10 |
84 |
| Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models |
0 |
1 |
1 |
30 |
0 |
1 |
5 |
97 |
| Valuing Finite-Lived Options as Perpetual |
0 |
0 |
0 |
301 |
0 |
0 |
0 |
859 |
| Variance Risk Premia |
0 |
0 |
2 |
554 |
1 |
2 |
15 |
1,405 |
| Vol, Skew, and Smile Trading |
2 |
5 |
40 |
70 |
3 |
10 |
58 |
98 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
1 |
2 |
332 |
1 |
2 |
5 |
729 |
| Why are quadratic normal volatility models analytically tractable? |
0 |
0 |
0 |
16 |
0 |
0 |
5 |
82 |
| Total Working Papers |
4 |
13 |
64 |
5,356 |
17 |
39 |
207 |
15,756 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Note on the Pricing of Commodity-Linked Bonds |
0 |
0 |
0 |
80 |
0 |
0 |
1 |
174 |
| A PDE approach to jump-diffusions |
0 |
0 |
0 |
12 |
0 |
1 |
1 |
64 |
| A Simple Robust Link Between American Puts and Credit Protection |
1 |
1 |
4 |
36 |
1 |
3 |
13 |
121 |
| A class of Levy process models with almost exact calibration to both barrier and vanilla FX options |
0 |
0 |
0 |
24 |
0 |
0 |
4 |
93 |
| A functional analysis approach to the static replication of European options |
1 |
1 |
1 |
1 |
1 |
2 |
6 |
8 |
| A jump to default extended CEV model: an application of Bessel processes |
0 |
0 |
0 |
42 |
0 |
0 |
3 |
240 |
| A new approach for option pricing under stochastic volatility |
0 |
0 |
0 |
132 |
0 |
1 |
2 |
300 |
| A note on sufficient conditions for no arbitrage |
1 |
1 |
3 |
88 |
3 |
4 |
14 |
246 |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
1 |
36 |
0 |
1 |
7 |
127 |
| Additive logistic processes in option pricing |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
12 |
| Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| An Expanded Local Variance Gamma Model |
0 |
0 |
1 |
3 |
1 |
1 |
5 |
12 |
| Analyzing volatility risk and risk premium in option contracts: A new theory |
0 |
0 |
8 |
117 |
1 |
3 |
26 |
418 |
| Bounded Brownian Motion |
0 |
0 |
0 |
14 |
0 |
1 |
4 |
87 |
| Convex duality in continuous option pricing models |
0 |
1 |
5 |
5 |
0 |
1 |
7 |
8 |
| Decomposing Long Bond Returns: A Decentralized Theory* |
2 |
2 |
5 |
10 |
2 |
3 |
11 |
24 |
| Derivatives pricing under bilateral counterparty risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Deriving derivatives of derivative securities |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| FX options in target zones |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
21 |
| Factor Models for Option Pricing |
0 |
0 |
3 |
33 |
0 |
0 |
5 |
79 |
| First-order calculus and option pricing |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
32 |
| From local volatility to local Levy models |
0 |
0 |
1 |
4 |
2 |
2 |
3 |
25 |
| HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT |
0 |
0 |
0 |
3 |
0 |
1 |
1 |
24 |
| Hedging insurance books |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
24 |
| Hedging variance options on continuous semimartingales |
0 |
0 |
0 |
16 |
0 |
0 |
2 |
90 |
| Joint modeling of VIX and SPX options at a single and common maturity with risk management applications |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
12 |
| LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES |
0 |
0 |
4 |
12 |
0 |
0 |
8 |
36 |
| Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
54 |
| MAXIMUM DRAWDOWN INSURANCE |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
30 |
| Markets, profits, capital, leverage and return |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| On the Numerical Evaluation of Option Prices in Jump Diffusion Processes |
0 |
0 |
0 |
59 |
1 |
1 |
4 |
166 |
| On the hedging of options on exploding exchange rates |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
70 |
| On the qualitative effect of volatility and duration on prices of Asian options |
1 |
1 |
1 |
21 |
1 |
1 |
3 |
94 |
| Optimal investment in derivative securities |
0 |
0 |
0 |
221 |
0 |
0 |
0 |
765 |
| Optimal positioning in derivative securities |
1 |
4 |
7 |
139 |
3 |
7 |
25 |
393 |
| Optimal rates from eigenvalues |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
12 |
| Option Profit and Loss Attribution and Pricing: A New Framework |
1 |
1 |
4 |
48 |
2 |
2 |
17 |
241 |
| Option valuation using the fast Fourier transform |
1 |
1 |
1 |
1 |
1 |
3 |
4 |
4 |
| Options on realized variance and convex orders |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
5 |
| Pricing and hedging in incomplete markets |
0 |
0 |
1 |
123 |
0 |
1 |
4 |
267 |
| Pricing options on realized variance |
0 |
0 |
0 |
64 |
0 |
1 |
3 |
248 |
| Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case |
0 |
0 |
0 |
28 |
0 |
0 |
4 |
105 |
| Randomization and the American Put |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
254 |
| Robust replication of volatility and hybrid derivatives on jump diffusions |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
| SELF‐DECOMPOSABILITY AND OPTION PRICING |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
96 |
| SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
13 |
| Saddlepoint methods for option pricing |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Seabirds enhance coral reef productivity and functioning in the absence of invasive rats |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
5 |
| Semi-Robust Replication of Barrier-Style Claims on Price and Volatility |
0 |
1 |
1 |
2 |
0 |
1 |
1 |
3 |
| Spiking the Volatility Punch |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
| Static Hedging of Standard Options |
0 |
0 |
1 |
5 |
1 |
2 |
8 |
34 |
| Static Hedging of Standard Options |
0 |
0 |
0 |
16 |
0 |
0 |
2 |
58 |
| Static replication of European standard dispersion options |
0 |
0 |
1 |
4 |
1 |
1 |
5 |
11 |
| Stochastic Volatility for Lévy Processes |
0 |
0 |
0 |
83 |
1 |
2 |
7 |
242 |
| Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies |
1 |
1 |
1 |
80 |
1 |
1 |
6 |
336 |
| Stochastic skew in currency options |
0 |
0 |
1 |
133 |
0 |
0 |
5 |
456 |
| Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation |
0 |
0 |
2 |
87 |
0 |
1 |
4 |
376 |
| THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
23 |
| The Fine Structure of Asset Returns: An Empirical Investigation |
0 |
0 |
3 |
243 |
1 |
2 |
15 |
908 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
0 |
5 |
3 |
3 |
5 |
27 |
| The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
0 |
1 |
6 |
457 |
1 |
6 |
26 |
1,307 |
| The Valuation of Executive Stock Options in an Intensity-Based Framework |
0 |
0 |
1 |
3 |
0 |
0 |
2 |
34 |
| The Variance Gamma Process and Option Pricing |
0 |
1 |
14 |
154 |
3 |
7 |
46 |
515 |
| Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options |
0 |
0 |
3 |
50 |
0 |
0 |
4 |
171 |
| Time-changed Levy processes and option pricing |
0 |
0 |
3 |
242 |
0 |
1 |
11 |
735 |
| Two extensions to barrier option valuation |
0 |
0 |
2 |
46 |
0 |
0 |
3 |
128 |
| Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
53 |
| Variance Risk Premiums |
1 |
2 |
16 |
32 |
2 |
3 |
27 |
110 |
| Variance Risk Premiums |
0 |
1 |
12 |
156 |
3 |
7 |
31 |
525 |
| Variance swaps on time-changed Lévy processes |
0 |
0 |
0 |
12 |
1 |
1 |
2 |
64 |
| Variation and share-weighted variation swaps on time-changed Lévy processes |
0 |
0 |
0 |
3 |
0 |
1 |
1 |
31 |
| Volatility Derivatives |
3 |
4 |
11 |
156 |
7 |
9 |
32 |
479 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
0 |
1 |
41 |
0 |
3 |
10 |
220 |
| Total Journal Articles |
14 |
24 |
130 |
3,484 |
45 |
94 |
461 |
11,961 |
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