Jimmy E. Hilliard

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Cherie H. Flores Endowed Chair of MBA Studies and Professor

Department of Finance

Baton Rouge, LA 70803-6308

United States

SCHOLARLY PAPERS

17

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2,717

SSRN CITATIONS
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SSRN RANKINGS

Top 47,418

in Total Papers Citations

13

CROSSREF CITATIONS

1

Scholarly Papers (17)

Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes

Journal of Financial Research, Vol. 24, No. 4, Winter 2001
Number of pages: 40 Posted: 23 Nov 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 541 (61,719)
Citation 3

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps

Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes

Journal of Financial Research, Vol. 24, No. 2, Winter 2001
Number of pages: 40 Posted: 02 Jan 2001
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 146 (242,449)

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps

2.

Pricing European and American Derivatives Under a Jump-Diffusion Process: A Bivariate Tree Approach

Number of pages: 50 Posted: 23 Jun 2003
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 447 (78,857)
Citation 3

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jump-diffusion, bivariate tree, options

3.

Testing a Jump-Diffusion Stochastic Interest Rates Model in Currency Options Markets

Advances in Futures and Options Research, Vol. 11, 2001
Number of pages: 42 Posted: 04 Dec 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 397 (90,575)

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Stochastic Interest Rates, Currency Futures Options, Jump-Diffusion Processes, Volatilities, Asymmetric Jumps, Skewness, Kurtosis

4.

On Stochastic Volatility and More Powerful Parametric Tests of Event Effects on Unsystematic Returns

Number of pages: 50 Posted: 07 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 338 (108,739)
Citation 4

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On the Statistical Significance of Event Effects on Unsystematic Volatility

Number of pages: 41 Posted: 25 Feb 2000
Jimmy E. Hilliard and Robert Savickas
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and George Washington University - School of Business - Department of Finance
Downloads 334 (109,555)

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On the Statistical Significance of Event Effects on Unsystematic Volatility

Posted: 08 Jun 2001
Robert Savickas and Jimmy E. Hilliard
George Washington University - School of Business - Department of Finance and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

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6.

Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue

Number of pages: 44 Posted: 18 Dec 2005
Don M. Chance, Eric T. Hillebrand and Jimmy E. Hilliard
Louisiana State University, Baton Rouge - Department of Finance, Aarhus University - CREATES and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 219 (169,491)
Citation 1

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option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update

7.

Short Maturity Options and Jump Memory: An Empirical Analysis

Number of pages: 40 Posted: 26 Nov 2002
Tom Arnold, Jimmy E. Hilliard and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 182 (200,803)

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options, jump-memory, jump-diffusions, SPX, genetic

8.

Information Inherent in Implicit Distributions

Research in Finance, Vol.18, pp. 195-220, 2001
Number of pages: 32 Posted: 22 Nov 2007
Ako Doffou and Jimmy E. Hilliard
Shantou University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 111 (296,843)

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Implicit Distributions, Skewness, Kurtosis, Probabilistic Information, Parametric Approach

9.

Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices

Financial Review, Vol. 50, Issue 1, pp. 27-56, 2015
Number of pages: 30 Posted: 14 Jan 2015
Jimmy E. Hilliard and Jitka Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Auburn University
Downloads 1 (770,353)
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gold, copper, options, density matching, early exercise, Kalman filter

10.

Timing Versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance

Financial Review, Vol. 46, Issue 4, pp. 595-620, 2011
Number of pages: 26 Posted: 08 Oct 2011
Jimmy E. Hilliard and Jitka Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and affiliation not provided to SSRN
Downloads 1 (770,353)
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market timing, timer model, buy and hold, G11, G14, G17

11.

Jump Processes in Commodity Futures Prices and Options Pricing

American Journal of Agricultural Economics, Vol. 81, Issue 2, pp. 273-286, 1999
Number of pages: 14 Posted: 31 Mar 2020
Jimmy E. Hilliard and Jorge A. Reis
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and affiliation not provided to SSRN
Downloads 0 (787,325)
Citation 2
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commodities, forwards, futures, implied volatility, jump‐diffusion, option, G130

12.

Regulatory Soft Interventions in the Chinese Market: Compliance Effects and Impact on Option Market Efficiency

Financial Review, Vol. 54, Issue 2, pp. 265-301, 2019
Number of pages: 37 Posted: 03 Apr 2019
Jimmy E. Hilliard and Haoran Zhang
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Auburn University, Harbert College of Business, Department of Finance, Students
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Chinese market, soft interventions, options, efficient markets, put‐call parity

13.

Bivariate Binomial Options Pricing (with an Application to American Futures Options with Stochastic Interest Rates)

Posted: 17 Aug 1999
Jimmy E. Hilliard, Adam Schwartz and Alan L. Tucker
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, Washington and Lee University - Department of Business Administration and Pace University - Lubin School of Business

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14.

Analytics Underlying the Ag Metallgesellschaft Hedge: Short Term Forwards in a Multi-Period Environment

Posted: 23 Jul 1999
Jimmy E. Hilliard
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

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15.

Valuing Prepayment and Default in a Fixed Rate Mortgage: A Bivariate Binomial Options Pricing Technique

Posted: 03 Nov 1998
Jimmy E. Hilliard, James B. Kau and V. Carlos Slawson Jr.
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Georgia - Department of Insurance, Legal Studies, Real Estate and Louisiana State University

Abstract:

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16.

Pricing Options on Traded Assets Under Stochastic Interest Rates and Volatility: A Binomial Approach

The Journal of Financial Engineering, Vol. 6, No. 4, December 1997
Posted: 19 May 1998
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

J. OF DERIVATIVES, Fall 1996
Posted: 29 Aug 1996
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

Posted: 15 Mar 1995
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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