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Bakshi, Gurdip
20
Cerrato, Mario
9
Chen, Zhiwu
7
Madan, Dilip
7
Bakshi, Gurdip S.
6
Panayotov, George
6
Sarantis, Nicholas
4
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3
Crosby, John
3
Kapadia, Nikunj
3
MacDonald, Ronald
3
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2
Cao, Charles
2
Ju, Nengjiu
2
Kapadia, N.
2
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2
Madan, D.
2
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2
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1
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1
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1
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Journal of financial economics
11
The review of financial studies
6
Risk : managing risk in the world's financial markets
3
The journal of business : B
3
Management science : journal of the Institute for Operations Research and the Management Sciences
2
The Manchester School
2
The journal of finance : the journal of the American Finance Association
2
Applied financial economics
1
International journal of finance & economics : IJFE
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of international money and finance
1
Journal of money, credit and banking : JMCB
1
Operations research, Management science : OR MS ; the international literature digest
1
Review of international economics
1
Review of quantitative finance and accounting
1
The American economic review
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
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OLC EcoSci
ECONIS (ZBW)
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RePEc
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EconStor
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BASE
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CUTTING EDGE - Brief communication - Valuing Inflation futures contracts - In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, the author-derives formulas for the theoretical values of these futures contracts in terms of the ...
Crosby, John
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
3
,
pp. 88-91
Persistent link: https://www.econbiz.de/10007770947
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2
CUTTING EDGE - Inflation - Convexity adjustments in inflation-linked derivatives - The authors value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed payment and period-on-period inflation swaps with delayed payments are obtained in closed form ...
Brody, Dorje
;
Crosby, John
;
Li, Hongyun
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
9
,
pp. 124-129
Persistent link: https://www.econbiz.de/10008107441
Saved in:
3
CUTTING EDGE Commodities Commodity options optimised - In 2005, John Crosby introduced a very flexible framework in which it is possible to price derivatives, including exotics, on almost any underlying commodity. In this article, he shows how pricing can be done approximately 30 to 400 times faster than the methodology originally proposed,
Crosby, John
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
5
,
pp. 84
Persistent link: https://www.econbiz.de/10007288125
Saved in:
4
Spanning and derivative-security valuation
Bakshi, G.
;
Madan, D.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 205-238
Persistent link: https://www.econbiz.de/10006517008
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5
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Bakshi, G.
;
Kapadia, N.
- In:
The review of financial studies
16
(
2003
)
2
,
pp. 527-566
Persistent link: https://www.econbiz.de/10007033271
Saved in:
6
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Bakshi, G.
;
Kapadia, N.
;
Madan, D.
- In:
The review of financial studies
16
(
2003
)
1
,
pp. 101-144
Persistent link: https://www.econbiz.de/10007034627
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7
An alternative valuation model for contingent claims
Bakshi, Gurdip S.
;
Chen, Zhiwu
- In:
Journal of financial economics
44
(
1997
)
1
,
pp. 123
Persistent link: https://www.econbiz.de/10006526862
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8
Baby Boom, Population Aging, and Capital Markets
Bakshi, Gurdip S.
;
Chen, Zhiwu
- In:
The journal of business : B
67
(
1994
)
2
,
pp. 165-202
Persistent link: https://www.econbiz.de/10006071784
Saved in:
9
Equilibrium Valuation of Foreign Exchange Claims
Bakshi, Gurdip S.
;
Chen, Zhiwu
- In:
The journal of finance : the journal of the American …
52
(
1997
)
2
Persistent link: https://www.econbiz.de/10007372811
Saved in:
10
Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies
Bakshi, Gurdip S.
;
Chen, Zhiwu
- In:
The review of financial studies
9
(
1996
)
1
,
pp. 241-276
Persistent link: https://www.econbiz.de/10007314674
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