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 EHilliard, JitkaHilliard, 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, JimmyHilliard, JimmyHilliard, JimmyHilliard, JitkaHilliard, 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 EHilliard, Jimmy EHilliard, 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 EHilliard, Jimmy EHilliard, 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 EHilliard, Jimmy EHilliard, 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 EHilliard, Jimmy EHilliard, 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, JimmyHilliard, Jimmy EHilliard, 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 EHilliard, Jimmy EHilliard, Jitka and Hilliard, Jitka
Financial Review, vol. 46, (no. 4), pp. 620, November 2011. | Journal Article
2009
Minimum variance cross hedging under meanā€reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry
Bertus, Mark JBertus, MarkGodbey, JonathanGodbey, JonathanHilliard, 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 MHillebrand, 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, JitkaHilliard, JitkaHilliard, 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 MHilliard, 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