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Przemyslaw S. Stilger
Researcher at Standard Chartered
Publications - 10
Citations - 147
Przemyslaw S. Stilger is an academic researcher from Standard Chartered. The author has contributed to research in topics: Stock (geology) & Importance sampling. The author has an hindex of 5, co-authored 10 publications receiving 102 citations. Previous affiliations of Przemyslaw S. Stilger include University of Manchester.
Papers
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Journal ArticleDOI
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
TL;DR: In this article, a positive relationship between the option-implied risk-neutral skewness (RNS) of individual stock returns' distribution and future realized stock returns during the period 1996-2012 was found.
Journal ArticleDOI
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
TL;DR: In this paper, a positive relationship between the option-implied risk-neutral skewness (RNS) of individual stock returns' distribution and future realized stock returns during the period 1996-2012 was found.
Journal ArticleDOI
A comparative study of formulas for choosing the economically most advantageous tender
TL;DR: In this article, the authors study 38 bid evaluation formulas and discuss several of their aspects, such as how much the outcome of a tender depends on which formula is being used, relative versus absolute scoring, ranking paradox, iso-utility curves, protection against a winner with an extremely high price, and how a formula reflects the weights of price and quality.
Journal ArticleDOI
A Comparative Study of Formulas for Choosing the Economically Most Advantageous Tender
TL;DR: In this paper, the authors study 38 bid evaluation formulas and discuss several of their aspects, such as how much the outcome of a tender depends on which formula is being used, relative versus absolute scoring, ranking paradox, iso-utility curves, protection against a winner with an extremely high price, and how a formula reflects the weights of price and quality.
Dissertation
Numerical and Empirical Studies of Option Pricing
TL;DR: In this paper, the authors developed an effective numerical scheme for importance sampling scheme of Fouque and Tullie (2002) based on a 2-dimensional lookup table of stock price and time to maturity.