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Stathis Tompaidis

Personal Details

First Name:Stathis
Middle Name:
Last Name:Tompaidis
Suffix:
RePEc Short-ID:pto617
[This author has chosen not to make the email address public]

Affiliation

(50%) Office of Financial Research
Department of the Treasury
Government of the United States

Washington, District of Columbia (United States)
http://www.treasury.gov/initiatives/ofr/Pages/default.aspx
RePEc:edi:ofrgvus (more details at EDIRC)

(50%) McCombs School of Business
University of Texas-Austin

Austin, Texas (United States)
http://www.mccombs.utexas.edu/
RePEc:edi:sbutxus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis, 2021. "Empirical analysis of collateral at central counterparties," ESRB Working Paper Series 131, European Systemic Risk Board.
  2. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
  3. Kaniel, Ron & tompaidis, stathis & Zhou, Ti, 2017. "Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows," CEPR Discussion Papers 12285, C.E.P.R. Discussion Papers.
  4. Stathis Tompaidis, 2017. "Measuring Systemwide Resilience of Central Counterparties," Briefs 17-03, Office of Financial Research, US Department of the Treasury.
  5. Viktoria Baklanova & Ocean Dalton & Stathis Tompaidis, 2017. "Benefits and Risks of Central Clearing in the Repo Market," Briefs 17-04, Office of Financial Research, US Department of the Treasury.
  6. Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008. "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers 769, Society for Economic Dynamics.
  7. Albanese, Claudio & Lo, Harry & Stathis, Tompaidis, 2006. "A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices," MPRA Paper 5245, University Library of Munich, Germany.
  8. Michael Gallmeyer & Ron Kaniel & Stathis Tompaidis, "undated". "Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales," GSIA Working Papers 2001-E21, Carnegie Mellon University, Tepper School of Business.

Articles

  1. Feihong Hu & Daniel Mitchell & Stathis Tompaidis, 2024. "Robust Financial Networks," Operations Research, INFORMS, vol. 72(5), pages 1827-1842, September.
  2. Ghoddusi, Hamed & Titman, Sheridan & Tompaidis, Stathis, 2023. "Hedging Commodity Price Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(3), pages 1202-1229, May.
  3. Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis, 2023. "Collateral competition: Evidence from central counterparties," Journal of Financial Economics, Elsevier, vol. 149(3), pages 536-556.
  4. Stathis Tompaidis, 2021. "Comments on “Network Structure and Its Impact on Commodity Markets”," Production and Operations Management, Production and Operations Management Society, vol. 30(12), pages 4577-4578, December.
  5. Vishwakant Malladi & Rafael Mendoza-Arriaga & Stathis Tompaidis, 2020. "Modeling Dependent Outages of Electric Power Plants," Operations Research, INFORMS, vol. 68(1), pages 1-15, January.
  6. Daniel Mitchell & Jȩdrzej Białkowski & Stathis Tompaidis, 2020. "Volume-weighted average price tracking: A theoretical and empirical study," IISE Transactions, Taylor & Francis Journals, vol. 52(8), pages 864-889, August.
  7. Ron Kaniel & Stathis Tompaidis & Ti Zhou, 2019. "Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows," Management Science, INFORMS, vol. 65(7), pages 3174-3195, July.
  8. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
  9. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
  10. Albanese, Claudio & Lo, Harry & Tompaidis, Stathis, 2012. "A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices," European Journal of Operational Research, Elsevier, vol. 222(2), pages 361-368.
  11. Ehud I. Ronn & Akin Sayrak & Stathis Tompaidis, 2009. "The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets," The Financial Review, Eastern Finance Association, vol. 44(3), pages 405-436, August.
  12. Ron Kaniel & Stathis Tompaidis & Alexander Zemlianov, 2008. "Efficient Computation of Hedging Parameters for Discretely Exercisable Options," Operations Research, INFORMS, vol. 56(4), pages 811-826, August.
  13. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
  14. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  15. Stathis Tompaidis, 2006. "Book review," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 279-280.
  16. Ross Baldick & Sergey Kolos & Stathis Tompaidis, 2006. "Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption," Operations Research, INFORMS, vol. 54(4), pages 627-642, August.
  17. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
  18. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
  19. Chris Kenyon & Stathis Tompaidis, 2001. "Real Options in Leasing: The Effect of Idle Time," Operations Research, INFORMS, vol. 49(5), pages 675-689, October.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2018-05-14 2022-01-10
  2. NEP-BAN: Banking (1) 2019-03-25
  3. NEP-FIN: Finance (1) 2004-07-11
  4. NEP-FMK: Financial Markets (1) 2019-03-25
  5. NEP-MIC: Microeconomics (1) 2017-09-24
  6. NEP-MON: Monetary Economics (1) 2018-05-14
  7. NEP-MST: Market Microstructure (1) 2019-03-25

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