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Acharya, Viral V
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Albuquerque, Rui
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Lettau, Martin
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Massa, Massimo
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Pedersen, Lasse Heje
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C.E.P.R. Discussion Papers
National Bureau of Economic Research
1,050
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
867
National Bureau of Economic Research (NBER)
788
Université Paris-Dauphine (Paris IX)
290
EconWPA
287
Society for Computational Economics - SCE
177
International Monetary Fund (IMF)
164
Institut für Schweizerisches Bankwesen <Zürich>
144
IESE Business School, Universidad de Navarra
136
School of Economics and Management, University of Aarhus
136
Finance Discipline Group, Business School
126
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
108
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
87
University of Bonn, Germany
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Bank of Canada
79
Université Paris-Dauphine
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69
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Tinbergen Instituut
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62
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61
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53
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52
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52
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48
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
47
Deutsche Bundesbank
44
Institut für Weltwirtschaft (IfW)
44
Center for Financial Studies
43
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1
Volatility
Risk Premia and Exchange Rate Predictability
Della Corte, Pasquale
;
Ramadorai, Tarun
;
Sarno, Lucio
-
C.E.P.R. Discussion Papers
-
2013
We investigate the predictive information content in foreign exchange
volatility
risk premia for exchange rate returns …. The
volatility
risk premium is the difference between realized
volatility
and a model-free measure of expected
volatility
… that is derived from currency options, and reflects the cost of insurance against
volatility
‡fluctuations in the …
Persistent link: https://www.econbiz.de/10011084715
Saved in:
2
The Effect of Introducing a Non-redundant Derivative on the
Volatility
of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the
volatility
of stock … increases the
volatility
of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
Saved in:
3
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan
;
Lustig, Hanno
;
van Nieuwerburgh, Stijn
-
C.E.P.R. Discussion Papers
-
2012
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...
Persistent link: https://www.econbiz.de/10011083289
Saved in:
4
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
, and
volatility
risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
5
Option-Based Credit Spreads
Culp, Christopher L.
;
Nozawa, Yoshio
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
Theoretically, corporate debt is economically equivalent to safe debt minus a put option on the firm’s assets. We empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the properties of traded corporate bonds. Pseudo bonds...
Persistent link: https://www.econbiz.de/10011145468
Saved in:
6
Demand-Based Option Pricing
Garleanu, Nicolae Bogdan
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
Saved in:
7
Limits to Arbitrage and Hedging: Evidence from Commodity Markets
Acharya, Viral V
;
Lochstoer, Lars
;
Ramadorai, Tarun
-
C.E.P.R. Discussion Papers
-
2009
We build an equilibrium model with commodity producers that are averse to future cash flow variability, and hedge using futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk-taking. Increases (decreases) in producers’...
Persistent link: https://www.econbiz.de/10005016244
Saved in:
8
Understanding Index Option Returns
Broadie, Mark
;
Chernov, Mikhail
;
Johannes, Michael
-
C.E.P.R. Discussion Papers
-
2007
the Black-Scholes model. Moreover, simple stochastic
volatility
models with no risk premia generate put returns across all …
Persistent link: https://www.econbiz.de/10005661467
Saved in:
9
Insider Trading in Credit Derivatives
Acharya, Viral V
;
Johnson, Tim
-
C.E.P.R. Discussion Papers
-
2005
report evidence of significant incremental information revelation in the credit default
swap
(CDS) market, consistent with …
Persistent link: https://www.econbiz.de/10005666591
Saved in:
10
Improving Portfolio Selection Using Option-Implied
Volatility
and Skewness
DeMiguel, Victor
;
Plyakha, Yuliya
;
Uppal, Raman
; …
-
C.E.P.R. Discussion Papers
-
2010
weights, one needs to estimate for each stock its
volatility
, correlations with all other stocks, and expected return. Our … contained in the
volatility
risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …
Persistent link: https://www.econbiz.de/10008530360
Saved in:
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