A. Sepp

Finance · 2004–2008

A researcher in the Science corpus: 3 papers; trusts 7 researchers and is trusted by 26 researchers here, as inferred from the citation graph.

Subfields

Whom A. Sepp trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. George Dotsis
  2. Dimitris Psychoyios
  3. Alan L. Lewis
  4. Mark Broadie
  5. Steven Kou
  6. George Skiadopoulos
  7. Yingzi Zhu
  8. Peter P. Carr
  9. Rama Cont

Who trusts A. Sepp overall

  1. Gabriel G. Drimus
  2. Jan Baldeaux
  3. Song‐Ping Zhu
  4. Andrew Papanicolaou
  5. Jean-Pierre Fouque 3
  6. Pei Wang
  7. Cyrus A. Ramezani
  8. Jan Kallsen
  9. Guang-Hua Lian
  10. Christa Cuchiero

Papers from A. Sepp's perspective

Ordered by how strongly the researchers A. Sepp trusts endorse each paper. Same corpus, a different order for every researcher.

  1. An empirical comparison of continuous-time models of implied volatility indices
  2. Derivatives on Volatility: Some Simple Solutions Based on Observables Working Paper
  3. The dynamics of stochastic volatility: evidence from underlying and options markets
  4. The Investor Fear Gauge
  5. Estimation of affine asset pricing models using the empirical characteristic function
  6. Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
  7. A Jump-Diffusion Model for Option Pricing (Management Sciences)
  8. The Dynamics of Implied Volatilities: A Common Principal Components Approach
  9. Relationships Between Implied Volatility Indexes and Stock Index Returns
  10. The forecast quality of CBOE implied volatility indexes

Their papers