Derivatives & Risk Management
Work in the area of Derivatives & Risk Management includes work undertaken by the following faculty members:-
- Dr. Louis Ederington (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=942)
- Dr. Gary Emery
- Dr. Chitru Fernando (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=21888)
- Dr. Evgenia Golubeva (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=333720)
- Dr. Sctt Linn (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=260122)
- Dr. Pradeep Yadav (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=141758)
- Dr. Yi Zhou
Selected Working papers:
- Time Series Volatility Forecasts for Option Valuation, Louis Ederington and Wei Guan
- Why Do Firms Hedge Selectively? Evidence from the Gold Mining Industry. Chitru Fernando, Tim Adam and Jesus Salas. Invited for presentation at the 2007 FMA European meetings, 2007 EFA meetings, the 2007 FMA meetings and the 2008 German Finance Association meeting
- A New Methodology for Measuring and Using the Market Value of Aggregate Corporate Debt in Asset Pricing: Evidence from S&P 500 Index Put Option Prices Yi Zhou and Robert Geske (Submitted to Journal of Financial Economics)
- Managerial biases and corporate risk management, Evgenia Golubeva, Tim Adam and Chitru Fernando, Working paper, 2008