Faculty Stewart Hodges research

Stewart Hodges

Research

Principal Recent Publications

“Good Deal Bounds”, in Encyclopedia of Quantitative Finance, Cont, R (Ed), Wiley, forthcoming, 2009.

“The Dynamics of the Volatility Skew: A Kalman Filter Approach”, Journal of Banking and Finance, forthcoming, 2009, (with M Bedendo).

“Term-Structure Slope Risk: Convexity Revisited”, Journal of Fixed Income, Winter 2006,  Vol 16, 3, 54-9, (with N Parekh).

"Forecasting Accuracy of Implied and GARCH-Based Probability Density Functions", Review of Futures Markets, Vol 11, No 1, Summer 2005, pp 41-66, (with I Anagnou, M Bedendo, and R G Tompkins).

“A Contango-Constrained Model for Storable Commodities," Journal of Futures Markets, 25, 11, November 2005, 1025-1044 (with D Ribeiro).

"A Parsimonious Continuous Time Model of Equity Index Returns: Inferred from High Frequency Data", International Journal of Theoretical and Applied Finance, Vol. 7, No. 8 (2004) 997-1030, (with M Bedendo).

"An Evaluation of Tests of Distributional Forecasts", Journal of Forecasting, 2003, 22, 447-455, (with P Noceti and J Smith).

"Volatility Cones and Their Sampling Properties", Journal of Derivatives, Fall 2002, 10, 27-42, (with R Tompkins).

"How Large are the Benefits from Using Options?", Journal of Financial and Quantitative Analysis, June 2002, vol 37, 2, 201-220, (with A Neuberger).

"Pricing of Defaultable Coupon Bonds under a Jump-Diffusion Process",  Journal of Fixed Income, June 2002, vol 12, 1, 51-64, (with M Wong).

"The Theory of No-Good Deal Pricing", pp. 175-202, in Geman, Madan, Pliska, and Vorst (eds.): Mathematical Finance: Selected Proceedings of the Bachelier Congress 2000, Springer, 2002, (with A Cerny).