John Crosby

Articles

Crosby, A. (2025). Do Investors Gain by Selling the Tails of Return Distributions?. Mathematical Finance 2025.

Crosby, A. •Treasury option returns and models with unspanned risks. Journal of Financial Economics (Forthcoming, accepted for publication).

Crosby, A. (2022). Dark Matter in (Volatility and) Equity Option Risk Premiums. Operations Research 70 (6) , pp. 3108-3124.

Presentations

Crosby, A. (August 2, 2024). Weekly Options, Stochastic Down and Up Jump Components, and Skewness of Treasury Bond Futures across Tenors Paper Macquarie University, Sydney, Australia Sydney, Australia.

Crosby, A. (April 29, 2024). Artificial Intelligence: A Solution to the Factor Glut Paper UIB Mallorca, Spain.

Crosby, A. (April 3, 2024). Artificial Intelligence: A Solution to the Factor Glut Paper University of Maryland (Smith School of Business) University of Maryland College Park.

Crosby, A. (October 17, 2023). Factor Glut in Asset Pricing through a modern optimization lens Paper INFORMS Phoenix, Arizona.

Crosby, A. (June 18, 2023). Factor Glut in Asset Pricing through a modern optimization lens Keynote/Plenary Address SoFie conference Seoul, South Korea.

Crosby, A. (June 16, 2023). Factor Glut in Asset Pricing through a modern optimization lens Paper Macquarie University, Australia Sydney, Australia.

Crosby, A. (June 9, 2023). Factor Glut in Asset Pricing through a modern optimization lens Paper UNSW, Australia Sydney, Australia.

Crosby, A. (March 17, 2023). Macrofinancial Couplings between Bond and Stock Option Risk premiums Paper Mid-west finance association Chicago.