Research
Derivatives Instruments
“What's Vol Got To Do With It,” Itamar Drechsler and Amir Yaron, Review of Financial Studies 24:1:1-45 (2011)
Uncertainty, Time-Varying Fear, and Asset Prices,” Itamar Drechsler (2011)
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
Estimation of employee stock option exercise rates and firm cost,” Jennifer N. Carpenter, Richard Stanton and Nancy Wallace (2011)
The New Market for Volatility Trading," Jin E. Zhang, Jinghong Shu and Menachem Brenner Journal of Future Markets 30:9:809-833 (2010)
Optimal exercise of executive stock options and implications for firm cost,” Jennifer N. Carpenter, Richard Stanton and Nancy Wallace, Journal of Financial Economics 98:315-337 (2010)
"Inflation Risk Premium Derived from Foreign Exchange Options," Eddy Azulay, Menachem Brenner, Yoram Landskroner and Roy Stein (2010)
"Securitization and Real Investment in Incomplete Markets," Vishal Gaur, Sridhar Seshadri, and Marti G. Subrahmanyam, Management Science (2010)
"The Relation between SPX Options and the CBOE-listed Volatility Derivatives," Menachem Brenner, Xingguo Luo and Jin Zhang (2010)
"Optimal Timing of Inventory Decisions with Price Uncertainty," Vishal Gaur, Sridhar Seshadri, and Marti G. Subrahmanyam (2007)
Derivatives Markets
“Two Monetary Tools: Interest Rates and Haircuts,”Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), NBER Macroeconomics Annual (forthcoming)
“Margin-Based Asset Pricing and Deviations from the Law of One Price,”Nicolae Garleanu and Lasse Heje Pedersen (2009), Review of Financial Studies (forthcoming)
"Limited Arbitrage and Liquidity in the Market for Credit Risk," Amrut Nashikkar, Marti Subrahmanyam, and Sriketan Mahanti (2010), Journal of Financial and Quantitative Analysis (forthcoming)
"A New Class of Bayesian Semiparametric Models with Applications to Option Pricing" Marcin Kacperczyk, Paul Damien, and Stephen Walker (2011)
"Liquidity Effects in OTC Options Markets: Premium or Discount?" Prachi Deuskar, Anurag Gupta, and Marti Subrahmanyam, Journal of Financial Markets 14:1: 127-160 (2011)
“What's Vol Got To Do With It,” Itamar Drechsler and Amir Yaron, Review of Financial Studies 24:1:1-45 (2011)
“Uncertainty, Time-Varying Fear, and Asset Prices,” Itamar Drechsler (2011)
“Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets," Menachem Brenner and Meir Sokoler, Review of Finance 14:2:295-311 (2010)
Counterparty Risk Externality: Centralized versus Over-the-counter Markets,” Viral V. Acharya and Alberto Bisin (2010)
“Limits to Arbitrage and Hedging: Evidence from Commodity Markets,” Viral V. Acharya, Lars Lochstoer and Tarun Ramadorai (2010)
"Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio," Stephen Figlewski. Pp. 323-352 in Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, eds. Tim Bollerslev, Jeffrey Russell and Mark Watson. Oxford, U.K.: Oxford University Press (2010)
"The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at How the Market Impounds New Information," Justin Birru and Stephen Figlewski (2010)
"Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008," Justin Birru (2010)
"Derivatives: The Ultimate Financial Innovation," Viral V. Acharya, Menachem Brenner, Robert Engle, Anthony Lynch and Matthew Richardson. Pp.233-249 in Restoring Financial Stability: How to Repair a Failed System, eds. Viral V. Acharya and Matthew Richardson. New York: John Wiley & Sons (2009)
“Demand-Based Option Pricing,” Nicolae Garleanu, Lasse H. Pedersen, and Allen Poteshman, Review of Financial Studies 22:4259-4299 (2009)
“Valuation in Over-the-Counter Markets,“ Darrell Duffie, Nicolae Garleanu, and Lasse H. Pedersen, Review of Financial Studies 20:1865-1900 (2007)
Risk Management
“Uncertainty, Time-Varying Fear, and Asset Prices,” Itamar Drechsler (2011)
"Implicit Guarantees and Risk Taking," Marcin Kacperczyk and Philipp Schnabl (2011)
“Counterparty Risk Externality: Centralized versus Over-the-counter Markets” Viral V. Acharya and Alberto Bisin (2010)
“Limits to Arbitrage and Hedging: Evidence from Commodity Markets” Viral V. Acharya, Lars Lochstoer and Tarun Ramadorai (2010)
Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
“When Everyone Runs for the Exit,” Lasse H. Pedersen, International Journal of Central Banking 5:177-199 (2009)
“Market Liquidity and Funding Liquidity,” Markus Brunnermeier and Lasse H. Pedersen Review of Financial Studies 22:2201-2238 (2009)
"The economic determinants of interest rate option smiles," Prachi Deuskar, Anurag Gupta and Marti Subrahmanyam, Journal of Banking and Finance 32:5:714-728 (2008)
Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of 2005,” Viral V. Acharya, Stephen Schaefer and Yili Zhang (2007)
“Liquidity and Risk Management,” Nicolae Garleanu and Lasse Heje Pedersen, American Economic Review, P&P 97:193-197 (2007)
Financial Engineering
“Margin-Based Asset Pricing and Deviations from the Law of One Price,”Nicolae Garleanu and Lasse Heje Pedersen (2009), Review of Financial Studies (forthcoming)
“Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
“Demand-Based Option Pricing,” Nicolae Garleanu, Lasse H. Pedersen, and Allen Poteshman, Review of Financial Studies 22: 4259-4299 (2009)
"Viewing the Financial Crisis from 20,000 Feet Up," Stephen Figlewski. Journal of Derivatives (2009)
“Dynamic Trading with Predictable Returns and Transaction Costs,”Nicolae Garleanu and Lasse Heje Pedersen (2008)
“Valuation in Over-the-Counter Markets,” Darrell Duffie, Nicolae Garleanu, and Lasse H. Pedersen, Review of Financial Studies 20:1865-1900 (2007)