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Grigory vilkov |
Published Papers |
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Research |
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Joost Driessen, Pascal Maenhout and Grigory Vilkov (2009). The Price of Correlation Risk: Evidence from Equity Options. Journal of Finance, 64 (3), June 2009. |
Working Papers |
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Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov (2009). Improving Portfolio Selection Using Option-Implied Volatility and Skewness. Alexandra Hansis, Christian Schlag, Grigory Vilkov (2009). The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options. Adrian Buss, Christian Schlag and Grigory Vilkov (2009). CAPM with Option-Implied Betas: Another Rescue Attempt. Adrian Buss and Grigory Vilkov (2008). Option-Implied Correlation and Factor Betas Revisited. Zahid Ur Rehman and Grigory Vilkov (2008). Option-Based Sentiment for Portfolio Decisions. Yuliya Plyakha and Grigory Vilkov (2008). Portfolio Policies with Stock Options. David Horn , Eva Schneider and Grigory Vilkov (2007). Hedging Options in the Presence of Microstructural Noise. Grigory Vilkov (2006). Variance Risk Premium Demystified |
Working in Progress |
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Eduard Dubin, Harald Hau, Grigory Vilkov. Individual Options Bid-Ask Spread: A Model and its Empirical Investigation
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