64 Publications (Page 1 of 3)
2019
A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts
Hilliard, Jimmy E⋅Hilliard, Jitka⋅Hilliard, Jimmy E and Hilliard, Jitka
Journal of Banking and Finance, vol. 98, pp. 155, January 2019. | Journal Article
 
The impact of soft intervention on the Chinese financial futures market
Hilliard, Jimmy E and Zhang, Haoran
Journal of Futures Markets, 2019-11-21. | Journal Article
2018
Rebalancing versus buy and hold
Hilliard, Jimmy E
Review of quantitative finance and accounting, vol. 50, (no. 1), pp. 32, 2018. | Journal Article
 
Rebalancing versus buy and hold: theory, simulation and empirical analysis
Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jitka⋅Hilliard, Jitka and Hilliard, Jitka
Review of Quantitative Finance and Accounting, vol. 50, (no. 1), pp. 32, 20180100. | Journal Article
2017
Option pricing under short-lived arbitrage: theory and tests
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Quantitative Finance, vol. 17, (no. 11), pp. 1681, 11/2/2017. | Journal Article
2015
Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Financial Review, vol. 50, (no. 1), pp. 56, February 2015. | Journal Article
 
Pricing American options when there is short-lived arbitrage
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
International journal of financial markets and derivatives, vol. 4, (no. 1), pp. 53, 2015. | Journal Article
 
Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Journal of Futures Markets, vol. 35, (no. 4), pp. 398, 2015-04-00. | Journal Article
2014
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
Hilliard, Jimmy E
Quantitative Finance, vol. 14, (no. 1), 2014. | Journal Article
2012
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
Hilliard, Jimmy⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Quantitative Finance, vol. 12, (no. 1), 2012. | Journal Article
2011
Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Financial Review, vol. 46, (no. 4), pp. 620, November 2011. | Journal Article
2009
Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry
Bertus, Mark J⋅Bertus, Mark⋅Godbey, Jonathan⋅Godbey, Jonathan⋅Hilliard, Jimmy E and Hilliard, Jimmy E
Journal of Futures Markets, vol. 29, (no. 8), pp. 756, August 2009. | Journal Article
2008
Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue
Chance, Don M⋅Hillebrand, Eric T and Hilliard, Jimmy E
Management Science, vol. 54, (no. 5), pp. 1015-1028, May 2008. | Journal Article
 
Why is There a Home Bias? Count the Teeth!
Hilliard, Jitka⋅Hilliard, Jitka⋅Hilliard, Jimmy E and Hilliard, Jimmy
Journal of Investment Management : JOIM, First Quarter 2008. | Journal Article
2007
Adjusting stacked-hedge ra0tios for stochastic convenience yield: a minimum variance approach
Godbey, Jonathan and Hilliard, Jimmy
Quantitative Finance, vol. 7, (no. 3), pp. 289, 20070601. | Journal Article
 
Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
Godbey, Jonathan M and Hilliard, Jimmy E
Quantitative Finance, vol. 7, (no. 3), pp. 300, 6/1/2007. | Journal Article
 
SHORT-MATURITY OPTIONS AND JUMP MEMORY
Arnold, Thomas M⋅Hilliard, Jimmy E and Schwartz, Adam
The Journal of Financial Research, vol. 30, (no. 3), pp. 437, Fall 2007. | Journal Article
2005
An empirical analysis of multi-period hedges: Applications to commercial and investment assets
Hilliard, Jimmy E and Huang, Pinghsun
The Journal of Futures Markets, vol. 25, (no. 6), pp. 587-606, Jun 2005. | Journal Article
 
Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach
Hilliard, Jimmy E and Schwartz, Adam
Journal of Financial and Quantitative Analysis, vol. 40, (no. 3), pp. 671-691, Sep 2005. | Journal Article
2002
On the statistical significance of event effects on unsystematic volatility
Hilliard, Jimmy E and Savickas, Robert
The Journal of Financial Research, vol. 25, (no. 4), pp. 447-462, Winter 2002. | Journal Article
 
Testing a three-state model in currency derivative markets
Doffou, Ako and Hilliard, Jimmy
The Journal of Risk, vol. 4, (no. 3), pp. 67, 2002-05-00. | Journal Article
2001
Pricing currency options under stochastic interest rates and jump-diffusion processes
Doffou, Ako and Hilliard, Jimmy E
The Journal of Financial Research, vol. 24, (no. 4), pp. 565-585, Winter 2001. | Journal Article
1999
Analytics Underlying the Metallgesellschaft Hedge: Short Term Futures in a Multi-Period Environment
Hilliard, Jimmy E
Review of Quantitative Finance and Accounting, vol. 12, (no. 3), pp. 195-219, May 1999. | Journal Article
 
Jump processes in commodity futures prices and options pricing.
Hilliard, Jimmy E and Reis, J.A.
American journal of agricultural economics., vol. 81, (no. 2), pp. 273-286, 1999. | Journal Article
 
Jump Processes in Commodity Futures Prices and Options Pricing
Hilliard, Jimmy and Reis, Jorge
American Agricultural Economics Association / American journal of agricultural economics, vol. 81 n.2, pp. 286, May, 1999. | Journal Article