Rodolfo Oviedo

Universidad Austral

Professor

Rosario, Santa Fe

Argentina

McGill University - Desautels Faculty of Management

Montreal, QC

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

3,765

SSRN CITATIONS
Rank 7,857

SSRN RANKINGS

Top 7,857

in Total Papers Citations

138

CROSSREF CITATIONS

27

Scholarly Papers (6)

1.

The Determinants of Credit Default Swap Premia

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 07 Oct 2004 Last Revised: 05 Sep 2009
Jan Ericsson, Kris Jacobs and Rodolfo Oviedo
McGill University, University of Houston - C.T. Bauer College of Business and Universidad Austral
Downloads 2,067 (10,356)
Citation 183

Abstract:

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Credit risk, Credit default swaps

2.
Downloads 572 (66,626)
Citation 2

Abstract:

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Futures-style, early, early exercise, options, futures, options on futures, transaction costs, performance, performance bond, SPAN, put-call, parity, put-call parity, LIFFE, EUREX, SFE

3.

Improving the Design of Treasury-Bond Futures Contracts

Journal of Business, Vol. 79, No. 3, May 2006
Number of pages: 26 Posted: 14 Oct 2005
Rodolfo Oviedo
Universidad Austral
Downloads 388 (105,139)

Abstract:

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Treasury, bond, futures, contracts, conversion, factor, CBOT

4.

Theory of Rational Futures-Style Option Pricing

Number of pages: 36 Posted: 10 Sep 2009
Rodolfo Oviedo and Domingo A. Tarzia
Universidad Austral and Univ. Austral, FCE, Mathematics Department & CONICET
Downloads 367 (112,319)
Citation 1

Abstract:

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futures-style options, futures Merton Lieu, LIFFE, Europe Sydney Exchange, Safex constraints

5.
Downloads 333 (124,602)
Citation 1

Abstract:

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Yield curve, duration, yield to maturity, graph, jump, bond, bonds, average live, yield-curve, term structure, length

6.

Hedging at-the-money digital options near maturity

Number of pages: 14 Posted: 09 Feb 2022
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and Universidad Austral
Downloads 38 (570,121)

Abstract:

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Digital option, short maturity, at-the-money, hedging, bull call spread, Black- Scholes, Heston model, Lévy model