Under the CAPM assumptions, the market capitalization weighted portfolio is mean-variance efficient. In real world applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio. We revisit this anomaly using high-frequency data...

This article shows how to incorporate cash dividends and credit risk into equity derivatives pricing and risk management. In essence, we show that in an arbitrage-free model the stock price process upon default must have the form S(t) = { F(t) - D(t) } X(t) D(t) ] where X is a local martingale...

This is the revised version of my dissertation. The dissertation covers pricing and hedging of volatiluty derivatives, but also a few other topics. It contains extended material on consistent variance curves, a proof that "smooth" diffusion markets are always complete, comments on pricing in...

This paper empirically analysis the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the recent financial turmoil caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks...

I empirically study price jumps using high frequency data comprising 5-, 10-, 15- and 30-minute market data on the main indices from the Prague, Warsaw, Budapest and Frankfurt Stock Exchanges for June 2003 to the end of 2008. I use two definitions of price jumps: the price jump index and...

We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account...