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Anthony Neuberger
Researcher at City University London
Publications - 46
Citations - 2565
Anthony Neuberger is an academic researcher from City University London. The author has contributed to research in topics: Hedge (finance) & Pension. The author has an hindex of 16, co-authored 45 publications receiving 2414 citations. Previous affiliations of Anthony Neuberger include University of London & University of Warwick.
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On the value of being American
David Hobson,Anthony Neuberger +1 more
TL;DR: The authors quantifies the potential value of this flexibility by identifying the supremum on the price of an American option when no model is imposed on the data, but rather any model is required to be consistent with a family of European call prices.
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Pricing Pension Insurance: The Proposed Levy Structure for the Pension Protection Fund*
David McCarthy,Anthony Neuberger +1 more
TL;DR: In this article, an alternative structure for the levy that recognises the limits on capacity to pay and also mitigates some other undesirable features of the proposal is proposed, in particular its heavy reliance on securing levy income from the weakest schemes.
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Option Replication with Transaction Costs: An Exact Solution for the Pure Jump Process
TL;DR: In the presence of proportional transaction costs, the tightest bounds that can be imposed on the price of a call option when the asset price follows a geometric diffusion are those imposed by static portfolio strategies as discussed by the authors.
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The Cross-Section of Currency Volatility Premia
TL;DR: In this paper, a zero-cost strategy that buys forward volatility agreements with downward sloping volatility curves and sells those with upward slopes -the volatility carry strategy - earns on average 5.15% per month.
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The cross-section of currency volatility premia
TL;DR: In this article, the authors identify a global risk factor in the cross-section of implied volatility returns in currency markets and identify a zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes.