Search CORE

20 research outputs found

The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods

Author: Ait-Sahalia Y Lo AW
Black F Scholes M
Britten-Jones M Neuberger A
Cremers M Weinbaum D
Feunou B Jahan-Parvar MJ, Tédongap R
Jackwerth JC Rubinstein M
Kozhan R Neuberger A, Schneider P
Liu ZF Faff RW
Rubbaniy G Asmerom R, Rizvi SKA, et al.
Rubinstein M
Rubinstein M
Publication venue: 'American Institute of Mathematical Sciences (AIMS)'
Publication date: 01/01/2017
Field of study

Hedging variance options on continuous semimartingales

Author: A. Bick
A. Borodin
A. Cox
A. Neuberger
B. Dupire
D. Hobson
D. Hobson
E. Derman
H. Brown
H. Rost
J. Obłoj
K.E. Dambis
L.E. Dubins
M. Britten-Jones
M. Davis
P. Carr
Peter Carr
R. Cont
R. Lee
Roger Lee
Publication venue
Publication date
Field of study

Continuous semimartingale, Variance option, Superreplication, Subreplication, Price bounds, 60G40, 60G48, 91B28, 91B70, C02, G13,

Research Papers in Economics

Bounds on the American Option

Author: A E Bernardo
Anthony Neuberger
B Dupire
D Bates
E Derman
F Longstaff
H Brown
J H Cochrane
L Andersen
L Andersen
L C G Rogers
M Avellaneda
M Britten-Jones
M Broadie
M H A Davis
M Haugh
M Svenstrup
N Xel Karoui
R C Merton
T Green
Publication venue: 'Elsevier BV'
Publication date: 01/01/2007
Field of study

The Slope of the Smile, and the Comovement of Volatility and Returns

Author: A Neuberger
Anthony Neuberger
B Dumas
B Dupire
B Dupoyet
B Eraker
C E Shannon
C Jones
D Bates
D Bates
D Breeden
F Black
Fischer Black
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G Jiang
J Campbell
J Fleming
M Britten-Jones
M Rubinstein
P Carr
P Deuskar
R Clews
S Das
S Foresi
S Heston
U Wystup
Publication venue: 'Elsevier BV'
Publication date: 01/01/2009
Field of study

Model-Independent Lower Bound on Variance Swaps

Author: A Aspremont
A J Neuberger
B Dupire
D Breeden
D G Hobson
D Hobson
D Hobson
D Hobson
H Brown
H Follmer
K Demeterfi
M Britten-Jones
M Broadie
M H A Davis
N Kahale
Nabil Kahalé
P Carr
P Carr
P Carr
P Laurence
P Laurence
P Laurence
P P Carr
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

The Skew Risk Premium in the Equity Index Market

Author: A Neuberger
Anthony Neuberger
C S Jones
D Egloff
E W Anderson
F Chabi-Yo
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G J Jiang
J Cochrane
J Coval
J Driessen
M Britten-Jones
M Broadie
N Bollen
N P B Bollen
O Bondarenko
O Bondarenko
P Carr
P Carr
P Carr
Paul Schneider
Roman Kozhan
T Andersen
T Bollerslev
W E Ferson
W E Ferson
W Newey
Publication venue: 'Elsevier BV'
Publication date: 01/01/2012
Field of study

FIX - The Fear Index: Measuring Market Fear

Author: A Cherny
A Cherny
A Neuberger
D B Madan
D Hobson
D Linders
Daniël Linders
F Black
G Deelstra
G J Jiang
H Albrecher
H Albrecher
H Zhou
J Dhaene
J Dhaene
J Dhaene
J M Corcuera
J M Corcuera
Jan Dhaene
Julia Dony
K Demeterfi
M Britten-Jones
Monika B. Forys
P Carr
P Carr
P Laurence
S Simon
Wim Schoutens
X Chen
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Variance Derivatives: Pricing and Convergence

Author: A Itkin
A Neuberger
A Neuberger
B Dupire
D Bates
D Madan
Duffie D
F Delbaen
Friday
G Hong
H Markowitz
J Bertoin
J Crosby
J Crosby
J E Figueroa-Lopez
John Crosby
K Demeterfi
L Andersen
M Britten-Jones
M Broadie
M Broadie
M Broadie
M Overhaus
Mark Davis
O Barndorff-Nielsen
O Barndorff-Nielsen
P Carr
P Carr
P Carr
P Carr
P Carr
P Carr
P Carr
P Carr
P Carr
P Carr
R Cont
R Jarrow
R Lee
R Lee
R Merton
R Merton
S Heston
W Hall
W Schoutens
Y Ait-Sahalia
Publication venue: 'Elsevier BV'
Publication date: 01/01/2012
Field of study

Divergence and the Price of Uncertainty

Author: A Banerjee
A Buraschi
A Gosh
A Neuberger
A Neuberger
C Almeida
C Juilliard
D Amaya
D Backus
D S Bates
D S Bates
E Briys
E Renault
F Itakura
Fabio Trojani
G Bakshi
G W Imbens
I Martin
J W Pratt
L Barras
L M Bregman
M Britten-Jones
M S Kimball
Meyer
O Bondarenko
P Carr
P Gruber
P Orlowski
P Schneider
P Schneider
Paul Schneider
R Beran
R F Nau
R F Nau
R Kozhan
R Lee
R Lee
R Lee
S Heston
T Andersen
T Bollerslev
T G Andersen
T G Andersen
T G Andersen
V R R Jose
V Todorov
W Stummer
Y A�?ta�?t-Sahalia
Y Kitamura
Y Kitamura
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

Variance Trading and Market Price of Variance Risk

Author: A Ang
A Neuberger
A Neuberger
B Dupire
B Eraker
D Bates
D Breeden
D Egloff
D Guo
E Fama
F Black
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G Barone-Adesi
G Jiang
G Jiang
I Drechsler
I Martin
J Coval
J Hull
K Demeterfi
L Pastor
L Wu
M Britten-Jones
M Broadie
M Broadie
M Chernov
N Jegadeesh
O Barndorff-Nielsen
O Bondarenko
O Bondarenko
O Bondarenko
Oleg Bondarenko
P Carr
P Carr
P Carr
P Carr
P Carr
R Banz
R Lee
R Merton
S Heston
S Ross
T Andersen
T Andersen
T Andersen
T Andersen
T Bollerslev
T Bollerslev
V Agarwal
V Todorov
Y A�?ta�?t-Sahalia
Publication venue: 'Elsevier BV'
Publication date: 01/01/2010
Field of study

core

core