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Anthony Neuberger

Professor in Finance

MA (Cambridge), MBA (London), PhD (London)

Research Interests

Derivatives
Commodities
Market microstructure
Investment management
Pensions policy

Office Hours

Thursday 11-1pm

Expertise

Previous experience at the Institute of Finance and Accounting, London Business School (1985-2004), the UK Department of Energy (1975-83), and was a member of Central Policy Review Staff, UK Cabinet Office (1973-75). Consults for a variety if investment banks, exchanges, government departments and trade associations.

Teaching

Asset Pricing (Masters in Financial Mathematics) and Investment Management (3rd year undergraduate).

Selected publications

“How Large are the Benefits from Using Options?”, with Stewart Hodges, Journal of Financial and Quantitative Analysis, Vol 37 No. 2, 2002, 201-220

“Option Prices, Implied Price Processes and Stochastic Volatility”, with Mark Britten-Jones, Journal of Finance, Vol. 55 No. 2, 2000, 839-866

“Trade Disclosure Regulation in Markets with Negotiated Trades”, with Narayan Naik and S Viswanathan, Review of Financial Studies, Vol. 12, No. 4, 1999, 873-900.

“Hedging Long-term Exposures with Multiple Short-term Futures Contracts”, Review of Financial Studies, Vol. 12, No. 3, 1999, 429-459.

Working Papers
 

"Realized Skewness"

"Bounds on the American Option"

"Improved Inference and Estimation in Regression With Overlapping Observations"

"The Skew Risk Premium in Index Option Prices"

Curriculum Vitae

  

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Anthony Neuberger
Room B2.19
Finance Group
Warwick Business School
University of Warwick
Coventry
CV4 7AL

T: + 44 (0) 24 765 22955
F: + 44 (0) 24 765 23779
Anthony.Neuberger@wbs.ac.uk