Details about Anurag Gupta
Access statistics for papers by Anurag Gupta.
Last updated 2011-05-01. Update your information in the RePEc Author Service.
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- An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (11)
See also Journal Article in Journal of Financial Economics (2000)
- Liquidity effect in OTC options markets: Premium or discount?
Journal of Financial Markets, 2011, 14, (1), 127-160 View citations (27)
- Moral hazard and adverse selection in the originate-to-distribute model of bank credit
Journal of Monetary Economics, 2009, 56, (5), 725-743 View citations (68)
- Liquidity in the pricing of syndicated loans
Journal of Financial Markets, 2008, 11, (4), 339-376 View citations (19)
- The economic determinants of interest rate option smiles
Journal of Banking & Finance, 2008, 32, (5), 714-728 View citations (13)
- Do hedge funds have enough capital? A value-at-risk approach
Journal of Financial Economics, 2005, 77, (1), 219-253 View citations (35)
- Pricing and hedging interest rate options: Evidence from cap-floor markets
Journal of Banking & Finance, 2005, 29, (3), 701-733 View citations (23)
- Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
Journal of Finance, 2003, 58, (5), 2219-2248 View citations (33)
- An empirical examination of the convexity bias in the pricing of interest rate swaps
Journal of Financial Economics, 2000, 55, (2), 239-279 View citations (21)
See also Working Paper (1999)
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