Details about Jens Jackwerth

Access statistics for papers by Jens Jackwerth.

Last updated 2009-07-03. Update your information in the RePEc Author Service.

Short-id: pja3

Working Papers

2008

1. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
   (Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence)
   MPRA Paper, University Library of Munich, Germany View citations
   Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2008)
2. Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management
   (Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management)
   MPRA Paper, University Library of Munich, Germany
   Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2008)
3. Mispricing of S&P 500 Index Options
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2005) View citations
   Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005)
   See also Journal Article in Review of Financial Studies (2009)
4. Recovering Delisting Returns of Hedge Funds
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
   Also in MPRA Paper, University Library of Munich, Germany (2008)

2007

5. Option Pricing: Real and Risk-Neutral Distributions
   (Option Pricing: Real and Risk-Neutral Distributions)
   MPRA Paper, University Library of Munich, Germany
   Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2005) View citations

2006

6. Incentive Contracts and Hedge Fund Management
   (Incentive Contracts and Hedge Fund Management)
   MPRA Paper, University Library of Munich, Germany
   Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2005) View citations
   Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005) View citations
   See also Journal Article in Journal of Financial and Quantitative Analysis (2007)

2005

7. Employee Stock Options: Much More Valuable Than You Thought
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
   Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005)

2004

8. Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns
   (Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns)
   MPRA Paper, University Library of Munich, Germany View citations

2003

9. Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz

1999

10. Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review
    (Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review)
    MPRA Paper, University Library of Munich, Germany View citations

1998

11. Generalized Binomial Trees
    Finance, EconWPA View citations
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1996) View citations
    MPRA Paper, University Library of Munich, Germany (1997) View citations
12. Recovering Risk Aversion from Option Prices and Realized Returns
    Finance, EconWPA View citations
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1996) View citations
    See also Journal Article in Review of Financial Studies (2000)

1997

13. Artificial Stupidity: A Reply
    (Artificial Stupidity: A Reply)
    MPRA Paper, University Library of Munich, Germany

1996

14. Implied Binomial Trees: Generalizations and Empirical Tests
    Research Program in Finance Working Papers, University of California at Berkeley View citations

1995

15. Implied Probability Distributions: Empirical Analysis
    Research Program in Finance Working Papers, University of California at Berkeley View citations

Journal Articles

2009

1. Mispricing of S&P 500 Index Options
   Review of Financial Studies, 2009, 22, (3), 1247-1277
   See also Working Paper (2008)

2007

2. Incentive Contracts and Hedge Fund Management
   Journal of Financial and Quantitative Analysis, 2007, 42, (04), 811-826 View citations
   See also Working Paper (2006)

2001

3. The Price of a Smile: Hedging and Spanning in Option Markets
   Review of Financial Studies, 2001, 14, (2), 495-527 View citations

2000

4. Recovering Risk Aversion from Option Prices and Realized Returns
   Review of Financial Studies, 2000, 13, (2), 433-51 View citations
   See also Working Paper (1998)

1996

5. Recovering Probability Distributions from Option Prices
   Journal of Finance, 1996, 51, (5), 1611-32 View citations