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Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008

Birru, Justin; Figlewski, Stephen - In: Journal of Financial Markets 15 (2012) 2, pp. 151-180

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-time bid and ask quotes for index options, under extreme market stress during the fall of 2008. The RND provides exceptional detail about investors' expectations as intraday volatility increased to a level...

Persistent link: https://www.econbiz.de/10010869359

Risk management : the state of the art

Figlewski, Stephen (contributor) - 2002

Persistent link: https://www.econbiz.de/10004695816

Assessing the Incremental Value of Option Pricing Theory Relative to an Informationally Passive Benchmark

Figlewski, Stephen - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 80

Persistent link: https://www.econbiz.de/10005940817

FLOOR TRADING WITH HAND-HELD COMPUTERS

Figlewski, Stephen - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 87

Persistent link: https://www.econbiz.de/10006002352

The adaptive mesh model: a new approach to efficient option pricinge

Figlewski, Stephen; Gao, Bin - In: Journal of financial economics 53 (1999) 3, pp. 313-352

Persistent link: https://www.econbiz.de/10006519013

BOOK REVIEW: Derivatives: Principles and Practice

Figlewski, Stephen - In: The journal of derivatives : the official publication … 17 (2010) 4, pp. 79-79

Persistent link: https://www.econbiz.de/10008428794

Centralized Clearing for Credit Derivatives

Acharya, Viralv; Engle, Robert; Figlewski, Stephen; … - In: Financial markets, institutions & instruments 18 (2009) 2, pp. 168-170

Persistent link: https://www.econbiz.de/10008225702

VIEWING THE FINANCIAL CRISIS FROM 20,000 FEET UP

Figlewski, Stephen - In: The journal of derivatives : the official publication … 16 (2009) 3, pp. 53

Persistent link: https://www.econbiz.de/10008230594

Evaluating the Performance of the Protective Put Strategy - Simulation reveals that some seemingly reasonable protective put strategies actually provide very little protection, whi...

Figlewski, Stephen; Chidambaran, N.K.; Kaplan, Scott - In: Financial analysts' journal : FAJ 49 (1993) 4, pp. 46-56

Persistent link: https://www.econbiz.de/10006353870

FORECASTING VOLATILITY - I. INTRODUCTION 2 . II. FORECASTING VOLATILITY USING HISTORICAL DATA 15 . IMPLIED VOLATILITY 45 . IV. SUMMARY AND CONCLUSION 80 . V. REFERENCES 86 . VI. NO...

Figlewski, Stephen - In: Financial markets, institutions & instruments 6 (1997) 1

Persistent link: https://www.econbiz.de/10007251429