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researcher

Jannes Rauch

4 papers hereh-index 6171 citations29 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author1
  • last author3

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • q-fin.PR3
  • q-fin.MF1

identity via Semantic Scholar / OpenAlex

activity
20142017
most citedTail Risk Premia for Long-Term Equity Investors

2 citations · 2 across the 4 of their papers we have counts for

collaborators
Showing 2014Show all

1 paper · 1 filter

q-fin.PR2014

Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia

Carol Alexander, Johannes Rauch

We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of marti…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.