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Details about Sanjiv Ranjan Das

E-mail:
Homepage:http://algo.scu.edu/~sanjivdas/
Workplace:Leavey School of Business, Santa Clara University, (more information at EDIRC)

Access statistics for papers by Sanjiv Ranjan Das.

Last updated 2013-08-28. Update your information in the RePEc Author Service.

Short-id: pda527


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Working Papers

2018

  1. Systemic Risk and the Great Depression
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2006

  1. Common Failings: How Corporate Defaults are Correlated
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2007)

2002

  1. Pricing Credit Derivatives with Rating Transitions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
  2. Systemic Risk and International Portfolio Choice
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)

1999

  1. Fee Speech: Signalling and the Regulation of Mutual Fund Fees
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (1)

1998

  1. A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. A Direct Approach to Arbitrage-Free Pricing of Derivatives
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (6)
  3. Fee Speech: Adverse Selection and the Regulation of Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  4. Of Smiles and Smirks: A Term-Structure Perspective
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (2)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1999)
  5. On the Regulation of Fee Structures in Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  6. Poisson-Guassian Processes and the Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
  7. The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (3)

1997

  1. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Auction Theory: A Summary with Applications to Treasury Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  3. Average Interest
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  4. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  5. The Central Tendency: A Second Factor in Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (1)

    See also Journal Article in The Review of Economics and Statistics (1998)

Journal Articles

2013

  1. Options and structured products in behavioral portfolios
    Journal of Economic Dynamics and Control, 2013, 37, (1), 137-153 Downloads View citations (14)
  2. Strategic loan modification: An options-based response to strategic default
    Journal of Banking & Finance, 2013, 37, (2), 636-647 Downloads View citations (4)

2012

  1. The Principal Principle
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1215-1246 Downloads View citations (4)

2011

  1. Polishing diamonds in the rough: The sources of syndicated venture performance
    Journal of Financial Intermediation, 2011, 20, (2), 199-230 Downloads View citations (8)

2010

  1. Credit default swaps – Financial innovation or financial dysfunction?
    Financial Stability Review, 2010, (14), 45-53 Downloads View citations (4)
  2. Portfolio Optimization with Mental Accounts
    Journal of Financial and Quantitative Analysis, 2010, 45, (2), 311-334 Downloads View citations (30)

2009

  1. Accounting-based versus market-based cross-sectional models of CDS spreads
    Journal of Banking & Finance, 2009, 33, (4), 719-730 Downloads View citations (34)
  2. Hedging credit: Equity liquidity matters
    Journal of Financial Intermediation, 2009, 18, (1), 112-123 Downloads View citations (21)
  3. Implied recovery
    Journal of Economic Dynamics and Control, 2009, 33, (11), 1837-1857 Downloads View citations (23)
  4. Options on portfolios with higher-order moments
    Finance Research Letters, 2009, 6, (3), 122-129 Downloads View citations (2)

2007

  1. An Integrated Model for Hybrid Securities
    Management Science, 2007, 53, (9), 1439-1451 Downloads View citations (13)
  2. Basel II: Correlation Related Issues
    Journal of Financial Services Research, 2007, 32, (1), 17-38 Downloads View citations (8)
  3. Common Failings: How Corporate Defaults Are Correlated
    Journal of Finance, 2007, 62, (1), 93-117 Downloads View citations (172)
    See also Working Paper (2006)
  4. Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web
    Management Science, 2007, 53, (9), 1375-1388 Downloads View citations (105)

2006

  1. A simple approach for pricing equity options with Markov switching state variables
    Quantitative Finance, 2006, 6, (2), 95-105 Downloads View citations (6)

2005

  1. The Firm's Management of Social Interactions
    Marketing Letters, 2005, 16, (3), 415-428 Downloads View citations (47)
  2. eInformation: A Clinical Study of Investor Discussion and Sentiment
    Financial Management, 2005, 34, (3) View citations (11)

2002

  1. Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare
    Review of Financial Studies, 2002, 15, (5), 1465-1497 View citations (29)
  2. The surprise element: jumps in interest rates
    Journal of Econometrics, 2002, 106, (1), 27-65 Downloads View citations (135)

2000

  1. A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
    Management Science, 2000, 46, (1), 46-62 Downloads View citations (19)

1999

  1. A theory of banking structure
    Journal of Banking & Finance, 1999, 23, (6), 863-895 Downloads View citations (8)
  2. A theory of optimal timing and selectivity
    Journal of Economic Dynamics and Control, 1999, 23, (7), 929-965 Downloads
  3. Of Smiles and Smirks: A Term Structure Perspective
    Journal of Financial and Quantitative Analysis, 1999, 34, (2), 211-239 Downloads View citations (110)
    See also Working Paper (1998)

1998

  1. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
    Journal of Economic Dynamics and Control, 1998, 23, (3), 333-369 Downloads
  2. The Central Tendency: A Second Factor In Bond Yields
    The Review of Economics and Statistics, 1998, 80, (1), 62-72 Downloads View citations (65)
    See also Working Paper (1997)

1997

  1. Macroeconomic implications of search theory for the labour market
    Applied Economics Letters, 1997, 4, (12), 719-723 Downloads
 
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