Journal Articles and Working Papers


Note: Academic journals have become stricter on redistributing published versions of their articles. The link to the "Published article" may take you to a paid subscriber page. The "WP (free)" version is my final version before the journal's copyediting and formatting. The content is almost completely the same, but not as pretty. Alternatively, if you have access to the online journal through your school or firm library, for example, you can get the published version that way. For members of the NYU community, the relevant Bobst Library link is BobCat ejournals.

For the full list of publications, see my CV.

For the slides from recent presentations, click here: PRESENTATIONS


Recent Journal Articles


Battalio, Figlewski, and Neal (2020). "Option Investor Rationality Revisited: The Role of Exercise Boundary Violations."
Financial Analysts Journal 76, pp. 82-89.
(former title: "Exercise Boundary Violations in American-Style Options: The Rule not the Exception.")
Best Paper Award, Financial Management Association European Conference, 2017. ###fill in### WP (free) version Abstract
Figlewski (2018). "Risk Neutral Densities: A Review."
Annual Review of Financial Economics 10, pp. 329-359. ###fill in### WP (free) version Abstract
Figlewski and Frommherz (2017). "Volatility Leadership Among Index Options."
Journal of Derivatives 25(2), pp.43-60. Published version WP (free) version Abstract
Figlewski (2017). "Derivatives Valuation Based on Arbitrage: The Trade is Crucial."
Journal of Futures Markets, 37(4), pp. 316-27. Published version WP (free) version Abstract
Figlewski (2016). "What Goes Into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences."
Journal of Portfolio Management 43 (1), pp. 29-42. Published version WP (free) version Abstract
Engle, Robert and Stephen Figlewski (2015). "Modeling the Dynamics of Correlations among Implied Volatilities."
Review of Finance, 19(3), pp. 991-1018. Published version WP (free) version Abstract
Figlewski, Frydman and Liang (2012) "Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions."
International Review of Economics and Finance, 21(1), pp. 87-105. Published version WP (free) version Abstract
Figlewski and Birru (2012) "Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008."
Journal of Financial Markets, 15(2), pp. 151-180. Published version WP (free) version Abstract
Figlewski (2010). "Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio."
in Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, (eds. Tim Bollerslev, Jeffrey Russell and Mark Watson), Oxford, U.K.: Oxford University Press. Published version WP (free) version Abstract

Current Working Papers (Comments welcome)


NEW! Figlewski (2017). "An American Call IS Worth More than a European Call."
Working paper. (available at https://papers.ssrn.com/abstract=2977494).   WP (free) version Abstract
Figlewski and Malik (2014). "Options on Leveraged ETFs: A Window on Investor Heterogeneity."
Working Paper (available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2477004).   WP (free) version Abstract

Perennial and Personal Favorites


Figlewski (1977). "A Layman's Introduction to Stochastic Processes in Continuous Time."
NYU Salomon Brothers Center Working Paper No. 118.
Revised version, published as Appendix to Chapter 3 in Financial Options: From Theory to Practice. Figlewski, Silber and Subrahmanyam, eds. Homewood Ill.: Business One-Irwin, 1990.   WP (free) version Abstract
Green and Figlewski (1999). "Market Risk and Model Risk for a Financial Institution Writing Options."
Journal of Finance, 54(4), pp. 1465-1499. Published version   Abstract
Figlewski and Gao (1999). "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing."
Journal of Financial Economics, 53(3), pp. 313-351. Published version WP (free) version Abstract
Canina and Figlewski (1993). "The Informational Content of Implied Volatility."
Review of Financial Studies, 6(3), pp. 659-681. Published version   Abstract
Figlewski and Webb (1993)."Options, Short Sales, and Market Completeness."
Journal of Finance, 48(2), pp. 761-777. Published version   Abstract
Figlewski, Landskroner and Silber (1991)"Tailing the Hedge: Why and How."
Journal of Futures Markets 11(2), pp. 201-212. Published version    
Figlewski (1989). "Options Arbitrage in Imperfect Markets."
Journal of Finance 44(5), pp. 1289-1311. Published version   Abstract
Figlewski (1984). "Hedging Performance and Basis Risk in Stock Index Futures."
Journal of Finance 39(3), pp. 657-669. Published version    
Figlewski (1983). "Optimal Price Forecasting Using Survey Data."
Review of Economics and Statistics, February, 1983. Published version    
Figlewski (1978). "Market Efficiency in a Market with Heterogeneous Information."
Journal of Political Economy, 86(4), pp. 581-597. Published version   Abstract

Derivatives "Philosophy" and Policy Pieces (less technical)


Figlewski (2006). "Past Performance is No Guarantee of Futures Results,"
Financial Engineering News, Sept. 2006. Proof: The sample mean is a terrible estimator WP (free) version Abstract
Figlewski (1995). "Remembering Fischer Black."
The Journal of Derivatives 3 (2), Winter 1995. Published version WP (free) version Abstract
Figlewski (1994). "How to Lose Money in Derivatives."
The Journal of Derivatives, 2(2), pp. 75-82. Published version   Abstract
Figlewski (2009). "Viewing the Financial Crisis from 20,000 Feet Up."
Journal of Derivatives, Spring 2009. Published version WP (free) version Abstract
Figlewski (2002). "Assessing the Incremental Value of Option Pricing Theory Relative to an 'Informationally Passive' Benchmark."
Journal of Derivatives 10, Fall 2002. Published version WP (free) version Abstract
Figlewski (1989). "What Does an Option Pricing Model Tell Us About Option Prices?"
Financial Analysts Journal, Sep/Oct 1989. Published version WP (free) version  

Slides from Recent Presentations


"Risk Neutral Densities: A Review"
Columbia Financial Engineering Seminar Series, February 12, 2018 (1 1/4 hours)
International Risk Management Conference, Paris, June 2018 (35 min)
"An American Call IS Worth More than a European Call: The Value of American Exercise When the Market is Not Perfectly Liquid"
ITAM Seminar Oct. 25, 2017
September 2018 (1 1/4 hours)
Canadian Derivatives Institute Conference, Montreal Sept. 2018 (25 min)