User profiles for Stephen Figlewski

Stephen Figlewski

New York University Stern School of Business
Verified email at stern.nyu.edu
Cited by 10576

The informational content of implied volatility

L Canina, S Figlewski - The Review of Financial Studies, 1993 - academic.oup.com
Implied volatility is widely believed to be informationally superior to historical volatility,
because it is the “market’s” forecast of future volatility. But for S&P 100 index options, the most …

Forecasting volatility

S Figlewski - Financial markets, institutions & instruments, 1997 - Wiley Online Library
This monograph puts together results from several lines of research that I have pursued over
a period of years, on the general topic of volatility forecasting for option pricing applications. …

Options arbitrage in imperfect markets

S Figlewski - The journal of Finance, 1989 - Wiley Online Library
Option valuation models are based on an arbitrage strategy—hedging the option against the
underlying asset and rebalancing continuously until expiration—that is only possible in a …

Estimation of the optimal futures hedge

SG Cecchetti, RE Cumby, S Figlewski - The Review of Economics and …, 1988 - JSTOR
Standard approaches to designing a futures hedge often suffer from two major problems. First,
they focus only on minimizing risk, so no account is taken of the impact on expected return…

Options, short sales, and market completeness

S Figlewski, GP Webb - The Journal of Finance, 1993 - Wiley Online Library
This paper presents empirical evidence that trading in options contributes to both transactional
and informational efficiency of the stock market by reducing the effect of constraints on …

Hedging performance and basis risk in stock index futures

S Figlewski - The Journal of Finance, 1984 - JSTOR
IN EARLY 1982, TRADING BEGAN at three different exchanges in futures contracts based
on stock indexes. Stock index futures were an immediate success, and quickly led to a …

The informational effects of restrictions on short sales: Some empirical evidence

S Figlewski - Journal of Financial and Quantitative Analysis, 1981 - cambridge.org
In a world of heterogeneous investors, a competitive financial market has two major functions.
First, it is the mechanism by which ownership of the existing supply of risky assets is …

Futures trading and volatility in the GNMA market

S Figlewski - The Journal of Finance, 1981 - JSTOR
FUTURES MARKETS FOR AGRICULTURAL commodities have existed for well over 100
years. Recently there has been a major expansion of futures trading into nontraditional areas, …

Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

S Figlewski, H Frydman, W Liang - International Review of Economics & …, 2012 - Elsevier
We explore how general economic conditions impact defaults and major credit rating changes
by fitting reduced-form Cox intensity models with a broad range of macroeconomic and …

Market risk and model risk for a financial institution writing options

TC Green, S Figlewski - The journal of finance, 1999 - Wiley Online Library
Derivatives valuation and risk management involve heavy use of quantitative models. To
develop a quantitative assessment of model risk as it affects the basic option writing strategy …