World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
38
Citations
10431
World Ranking
2487
National Ranking
1400

Overview

Stephen Figlewski is affiliated with New York University in the United States. Their research primarily spans the broad domain of Economics, Econometrics, and Finance, with a focus on key subfields including Finance, Economics and Econometrics, Strategy and Management, and Management Science and Operations Research.

Their work engages with a variety of topics related to financial markets and investment strategies, financial reporting and valuation research, housing market and economics, capital investment and risk analysis, stochastic processes and financial applications, market dynamics and volatility, as well as complex systems and time series analysis.

Stephen Figlewski has published multiple papers across several prestigious venues. Notable recent publications include:

  • "Option Investor Rationality Revisited: The Role of Exercise Boundary Violations" (2020, Financial Analysts Journal)
  • "An American Call Is Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid" (2021, Journal of Financial and Quantitative Analysis)
  • "Mean-Reversion in Commodity Futures Volatility: An Analysis of Daily Range-Based Stochastic Volatility Models" (2021, SSRN Electronic Journal)
  • "Lecture Notes on Futures and Options Part I: Forwards and Futures" (2022, SSRN Electronic Journal)

Frequent collaboration has occurred with several co-authors, including:

  • Robert H. Battalio
  • Robert Neal
  • Marco Haase
  • Matthias Huss
  • Heinz Zimmermann

Stephen Figlewski's publications are often found in venues such as the SSRN Electronic Journal, the Journal of Financial and Quantitative Analysis, and the Financial Analysts Journal, reflecting a concentration on scholarly outlets relevant to finance and quantitative analysis.

Best Publications

  • The Informational Content of Implied Volatility

    Linda Canina;Stephen Figlewski

  • Options, Short Sales, and Market Completeness

    Stephen Figlewski;Gwendolyn P. Webb

  • Estimation of the Optimal Futures Hedge

    Stephen G. Cecchetti;Robert E. Cumby;Stephen Figlewski

  • Hedging Performance and Basis Risk in Stock Index Futures

    Stephen Figlewski

  • The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence

    Stephen Figlewski

  • Options Arbitrage in Imperfect Markets

    Stephen Figlewski

  • Market Risk and Model Risk for a Financial Institution Writing Options

    T. Clifton Green;Stephen Figlewski

  • The Formation of Inflationary Expectations

    Stephen Figlewski;Paul Wachtel

  • Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

    Stephen Figlewski;Halina Frydman;Weijian Liang

  • Futures Trading and Volatility in the GNMA Market

    Stephen Figlewski

  • The adaptive mesh model: a new approach to efficient option pricing

    Stephen Figlewski;Bin Gao

  • Subjective Information and Market Efficiency in a Betting Market

    Stephen Figlewski

  • Subjective Information and Market Efficiency in a Betting Market

    Stephen Figlewski

  • Is the "Leverage Effect" a Leverage Effect?

    Stephen Figlewski;Xiaozu Wang

  • Forecasting Volatility

    Unknown

  • Market "Efficiency" in a Market with Heterogeneous Information

    Stephen Figlewski

  • Margins and market integrity: Margin setting for stock index futures and options

    Stephen Figlewski

  • Options Arbitrage in Imperfect Markets

    Unknown

  • Hedging with stock index futures: Theory and application in a new market

    Stephen Figlewski

  • Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008

    Justin Birru;Stephen Figlewski

  • Forecasting Volatilities and Correlations with EGARCH Models

    Robert Cumby;Stephen Figlewski;Joel Hasbrouck

  • Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio

    Stephen Figlewski

  • Information Diversity and Market Behavior

    Stephen Figlewski

Frequent Co-Authors

Robert E. Cumby
Robert E. Cumby Georgetown University
Robert F. Engle
Robert F. Engle New York University
Paul Wachtel
Paul Wachtel New York University
Stephen G. Cecchetti
Stephen G. Cecchetti Brandeis University
Marti G. Subrahmanyam
Marti G. Subrahmanyam New York University
Joel Hasbrouck
Joel Hasbrouck New York University
Kris Jacobs
Kris Jacobs University of Houston
Viral V. Acharya
Viral V. Acharya New York University

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