Details about Stathis Tompaidis

Access statistics for papers by Stathis Tompaidis.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pto617

Working Papers

2024

1. Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets
   Working Papers, Office of Financial Research, US Department of the Treasury
2. Model Shows Network Density Affects Derivatives Trade Costs
   The OFR Blog, Office of Financial Research, US Department of the Treasury

2021

3. Empirical analysis of collateral at central counterparties
   ESRB Working Paper Series, European Systemic Risk Board

2019

4. Market-Making Costs and Liquidity: Evidence from CDS Markets
   Working Papers, Office of Financial Research, US Department of the Treasury View citations (1)

2017

5. Benefits and Risks of Central Clearing in the Repo Market
   Briefs, Office of Financial Research, US Department of the Treasury View citations (8)
6. Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows, Management Science, INFORMS (2019) View citations (3) (2019)
7. Measuring Systemwide Resilience of Central Counterparties
   Briefs, Office of Financial Research, US Department of the Treasury View citations (1)
   See also Journal Article Measuring system-wide resilience of central counterparties, Journal of Financial Market Infrastructures, Journal of Financial Market Infrastructures

2008

8. Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses
   2008 Meeting Papers, Society for Economic Dynamics View citations (7)

2006

9. A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
   MPRA Paper, University Library of Munich, Germany View citations (8)

Undated

10. Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2024

1. Robust Financial Networks
   Operations Research, 2024, 72, (5), 1827-1842

2023

2. Collateral competition: Evidence from central counterparties
   Journal of Financial Economics, 2023, 149, (3), 536-556
3. Hedging Commodity Price Risk
   Journal of Financial and Quantitative Analysis, 2023, 58, (3), 1202-1229

2021

4. Comments on “Network Structure and Its Impact on Commodity Markets”
   Production and Operations Management, 2021, 30, (12), 4577-4578

2020

5. Modeling Dependent Outages of Electric Power Plants
   Operations Research, 2020, 68, (1), 1-15
6. Volume-weighted average price tracking: A theoretical and empirical study
   IISE Transactions, 2020, 52, (8), 864-889 View citations (2)

2019

7. Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows
   Management Science, 2019, 65, (7), 3174-3195 View citations (3)
   See also Working Paper Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows, CEPR Discussion Papers (2017) (2017)

2018

8. Portfolio Tax Trading with Carryover Losses
   Management Science, 2018, 64, (9), 4156-4176 View citations (3)

2013

9. Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios
   Journal of Financial Economics, 2013, 109, (3), 775-796 View citations (12)

2012

10. A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
    European Journal of Operational Research, 2012, 222, (2), 361-368 View citations (10)

2009

11. The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets
    The Financial Review, 2009, 44, (3), 405-436 View citations (8)

2008

12. Efficient Computation of Hedging Parameters for Discretely Exercisable Options
    Operations Research, 2008, 56, (4), 811-826 View citations (3)
13. Small transaction cost asymptotics and dynamic hedging
    European Journal of Operational Research, 2008, 185, (3), 1404-1414 View citations (3)

2006

14. Book review
    Quantitative Finance, 2006, 6, (4), 279-280
15. Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption
    Operations Research, 2006, 54, (4), 627-642 View citations (19)
16. Tax management strategies with multiple risky assets
    Journal of Financial Economics, 2006, 80, (2), 243-291 View citations (22)

2004

17. Valuation of Commodity-Based Swing Options
    Management Science, 2004, 50, (7), 909-921 View citations (74)

2002

18. Energy futures prices: term structure models with Kalman filter estimation
    Applied Mathematical Finance, 2002, 9, (1), 21-43 View citations (60)

2001

19. Real Options in Leasing: The Effect of Idle Time
    Operations Research, 2001, 49, (5), 675-689 View citations (11)

Undated

20. Benefits and risks of central clearing in the repurchase agreement market
    Journal of Financial Market Infrastructures
21. Measuring system-wide resilience of central counterparties
    Journal of Financial Market Infrastructures
    See also Working Paper Measuring Systemwide Resilience of Central Counterparties, Briefs (2017) View citations (1) (2017)