Stephen Figlewski

New York University - Stern School of Business

Professor of Finance

44 West 4th Street

Department of Finance Suite 9-160

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

30

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16,029

SSRN CITATIONS
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Top 5,145

in Total Papers Citations

104

CROSSREF CITATIONS

160

Scholarly Papers (30)

1.

Is the 'Leverage Effect' a Leverage Effect?

Number of pages: 40 Posted: 12 Jan 2001
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 3,050 (5,059)
Citation 88

Abstract:

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Market Risk and Model Risk for a Financial Institution Writing Options

Number of pages: 42 Posted: 14 May 1999
T. Clifton Green and Stephen Figlewski
Emory University - Department of Finance and New York University - Stern School of Business
Downloads 1,391 (17,421)
Citation 24

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Market Risk and Model Risk for a Financial Institution Writing Options

Journal of Finance, August 1999
Posted: 07 May 1999
T. Clifton Green and Stephen Figlewski
Emory University - Department of Finance and New York University - Stern School of Business

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Pricing Discrete Barrier Options with an Adaptive Mesh Model

Number of pages: 24 Posted: 01 Jul 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 1,359 (18,078)
Citation 3

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Pricing Discrete Barrier Options with an Adaptive Mesh Model

Journal of Derivatives, Vol. 6, Summer 1999
Posted: 20 Sep 1999
Dong-Hyun Ahn, Stephen Figlewski and Bin Gao
University of North Carolina at Chapel Hill, New York University - Stern School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area

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4.
Downloads 1,195 ( 22,283)
Citation 1

Forecasting Volatility Using Historical Data

NYU Working Paper No. FIN-94-032
Number of pages: 48 Posted: 11 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 1,195 (21,901)
Citation 1

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Forecasting Volatility Using Historical Data

Posted: 20 Dec 1998
Stephen Figlewski
New York University - Stern School of Business

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5.

Estimating the Implied Risk Neutral Density

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAY IN HONOR OF ROBERT F. ENGLE, Tim Bolloerslev, Jeffrey R. Russell, Mark Watson, Oxford, UK: Oxford University Press, 2008, NYU Working Paper No. FIN-08-004
Number of pages: 44 Posted: 09 Mar 2009
Stephen Figlewski
New York University - Stern School of Business
Downloads 1,000 (28,898)
Citation 3

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6.

Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

NYU Stern Finance Working Paper No. FIN-06-007
Number of pages: 55 Posted: 03 Oct 2006
Stephen Figlewski, Halina Frydman and Weijian Liang
New York University - Stern School of Business, New York University (NYU) - Department of Information, Operations, and Management Sciences and NYU Stern School of Business
Downloads 960 (30,634)
Citation 27

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credit risk, default intensity, Cox model

7.
Downloads 889 ( 34,060)
Citation 13

Risk Neutral Densities: A Review

Number of pages: 61 Posted: 13 Feb 2018 Last Revised: 19 Apr 2018
Stephen Figlewski
New York University - Stern School of Business
Downloads 889 (33,565)
Citation 13

Abstract:

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Risk neutral densities, option risk premia, implied volatility

Risk-Neutral Densities: A Review

Annual Review of Financial Economics, Vol. 10, pp. 329-359, 2018
Posted: 08 Nov 2018
Stephen Figlewski
New York University - Stern School of Business

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8.

Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT F. ENGLE, Tim Bollerslev, Jeffrey R. Russell and Mark Watson, eds., Oxford, UK: Oxford University Press, 2008
Number of pages: 44 Posted: 27 Aug 2008 Last Revised: 07 Sep 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 786 (40,361)
Citation 6

Abstract:

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risk neutral density, implied probabilities, option pricing

9.

Modeling the Dynamics of Correlations Among Implied Volatilities

The Review of Finance, Forthcoming
Number of pages: 40 Posted: 15 Jul 2012 Last Revised: 02 Oct 2015
Robert F. Engle and Stephen Figlewski
New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 738 (44,000)
Citation 5

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stochastic volatility, hedging correlation, implied volatility, GARCH

10.

What is Risk Neutral Volatility?

Number of pages: 45 Posted: 02 Dec 2012 Last Revised: 29 Jan 2016
Stephen Figlewski
New York University - Stern School of Business
Downloads 695 (47,669)
Citation 1

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risk neutral volatility, implied volatility, option pricing, risk aversion

11.

Program Trading and Stock Index Arbitrage

NYU Working Paper No. FIN-94-023
Number of pages: 48 Posted: 11 Nov 2008
Linda Canina and Stephen Figlewski
Cornell University - School of Hotel Administration and New York University - Stern School of Business
Downloads 660 (50,999)
Citation 1

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Estimation Error in the Assessment of Financial Risk Exposure

EFA 2003 Annual Conference Paper No. 799
Number of pages: 48 Posted: 23 Jul 2003
Stephen Figlewski
New York University - Stern School of Business
Downloads 383 (98,434)
Citation 8

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Estimation Error in the Assessment of Financial Risk Exposure

NYU Working Paper No. S-DRP-03-10
Number of pages: 49 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 79 (389,452)

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13.

The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information

Number of pages: 46 Posted: 18 Mar 2010 Last Revised: 02 Apr 2010
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 420 (89,243)
Citation 12

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risk neutral density, Fed funds target announcement, efficient markets

Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

Number of pages: 37 Posted: 17 Mar 2010
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 208 (186,258)
Citation 16

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risk neutral density, implied probabilities, stock index options, 2008 financial crisis

Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

Number of pages: 33 Posted: 05 May 2009 Last Revised: 16 Sep 2009
Justin Birru and Stephen Figlewski
New York University - Stern School of Business and New York University - Stern School of Business
Downloads 167 (226,709)
Citation 6

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risk neutral density, market expectations, 2008 financial crisis, option valuation

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

Journal of Derivatives, Vol. 10, Fall 2002
Number of pages: 32 Posted: 16 Jan 2003
Stephen Figlewski
New York University - Stern School of Business
Downloads 320 (120,477)
Citation 1

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informationally passive model, Black-Scholes model, option pricing, dynamic arbitrage

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

NYU Working Paper No. FIN-02-022
Number of pages: 32 Posted: 03 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 54 (476,220)

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16.

Derivatives Risks, Old and New

NYU Working Paper No. FIN-98-033
Number of pages: 62 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 291 (134,076)
Citation 2

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17.

An American Call IS Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid

Number of pages: 65 Posted: 01 Jun 2017 Last Revised: 06 Dec 2019
Stephen Figlewski
New York University - Stern School of Business
Downloads 227 (171,786)
Citation 2

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American Options, Early Exercise, Option Pricing, Illiquidity Premium

18.

Uncovering Hidden Structure in Bond Futures Trading

NYU Working Paper No. IS-98-01
Number of pages: 17 Posted: 23 Oct 2008
Stephen Figlewski, Jeffrey Heisler and Andreas Weigend
New York University - Stern School of Business, Boston University - Department of Finance & Economics and Stern School of Business, New York University
Downloads 223 (174,764)

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19.
Downloads 220 (176,982)
Citation 1

Is the "Leverage Effect" a Leverage Effect?

NYU Working Paper No. S-CDM-00-09
Number of pages: 40 Posted: 05 Nov 2008
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 191 (201,480)

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Is the "Leverage Effect" a Leverage Effect?

NYU Working Paper No. FIN-00-037
Number of pages: 40 Posted: 04 Nov 2008
Stephen Figlewski and Xiaozu Wang
New York University - Stern School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 29 (604,495)

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20.

Options on Leveraged ETFs: A Window on Investor Heterogeneity

Number of pages: 48 Posted: 08 Aug 2014
Stephen Figlewski and Muhammad Malik
New York University - Stern School of Business and AllianceBernstein
Downloads 179 (213,459)
Citation 4

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investor heterogeneity, risk neutral density, exchange-traded funds

21.

Exercise Boundary Violations in American-Style Options: The Rule, Not the Exception

Kelley School of Business Research Paper No. 15-10
Number of pages: 51 Posted: 05 Jan 2015 Last Revised: 02 Jun 2017
Robert H. Battalio, Stephen Figlewski and Robert Neal
University of Notre Dame - Department of Finance, New York University - Stern School of Business and Indiana University - Kelley School of Business
Downloads 173 (219,753)
Citation 4

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American options, early exercise, options market-making, arbitrage

22.

Derivatives Valuation Based on Arbitrage: The Trade Is Crucial

Proceedings of China Derivatives Markets Conference 2016
Number of pages: 18 Posted: 23 Aug 2016
Stephen Figlewski
New York University - Stern School of Business
Downloads 139 (263,236)
Citation 1

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Limits to Arbitrage, Theory vs Practice, Derivatives Valuation, Options, Futures Pricing

23.

Option Investor Rationality Revisited: The Role of Exercise Boundary Violations

Number of pages: 46 Posted: 03 Jun 2017
Robert H. Battalio, Stephen Figlewski and Robert Neal
University of Notre Dame - Department of Finance, New York University - Stern School of Business and Indiana University - Kelley School of Business
Downloads 89 (358,875)
Citation 3

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American Options, Option Exercise, Early Exercise Boundary, Investor Rationality

24.

Mean-Reversion in Commodity Futures Volatility: An Analysis of Daily Range-Based Stochastic Volatility Models

Number of pages: 38 Posted: 16 Apr 2021
Stephen Figlewski, Marco Haase, Matthias Huss and Heinz Zimmermann
New York University - Stern School of Business, University of Basel - Center for Economic Science (WWZ) - Department of Finance, University of Basel - Center for Economic Science (WWZ) - Department of Finance and University of Basel
Downloads 70 (412,345)

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Commodity futures volatility, historical price analysis, range-based volatility estimation, range-based GARCH models, structural volatility breaks

25.

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

NYU Working Paper No. S-DRP-02-07
Number of pages: 32 Posted: 07 Nov 2008
Stephen Figlewski
New York University - Stern School of Business
Downloads 64 (432,282)
Citation 1

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26.

Volatility Leadership Among Index Options

Posted: 20 May 2019
Stephen Figlewski and Anja Frommherz
New York University - Stern School of Business and University of Basel - Department of Finance
Downloads 0 (818,047)

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Volatility Leadership; Implied Volatilities; Index Options; Information Shares

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Risk Neutral Volatility, Implied Volatility, Option Pricing, Risk Aversion

28.

Streamlining Monte-Carlo Simulation with the Quasi-Analytic Method: An Analysis of a Path-Dependent Option Strategy

Posted: 23 Jul 1998
N.K. Chidambaran, N.K. Chidambaran and Stephen Figlewski
Rutgers University, Newark, School of Business-Newark, Department of Finance & EconomicsFordham University - Gabelli School of Business and New York University - Stern School of Business

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29.

Streamlining Monte Carlo Simulation with the Quasi-Analytic Method: Analysis of a Path-Dependent Option Strategy

J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 13 Jul 1998
N.K. Chidambaran, N.K. Chidambaran and Stephen Figlewski
Rutgers University, Newark, School of Business-Newark, Department of Finance & EconomicsFordham University - Gabelli School of Business and New York University - Stern School of Business

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30.

Forecasting Volatility

FINANCIAL MARKETS, INSTITUTIONS AND INSTRUMENTS, Vol. 6 No. 2, 1997
Posted: 24 Apr 1997
Stephen Figlewski
New York University - Stern School of Business

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