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Details about Anurag Gupta

Workplace:Weatherhead School of Management, Case Western Reserve University, (more information at EDIRC)

Access statistics for papers by Anurag Gupta.

Last updated 2011-05-01. Update your information in the RePEc Author Service.

Short-id: pgu279


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Working Papers

1999

  1. 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- Downloads
    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)

Journal Articles

2011

  1. Liquidity effect in OTC options markets: Premium or discount?
    Journal of Financial Markets, 2011, 14, (1), 127-160 Downloads View citations (27)

2009

  1. Moral hazard and adverse selection in the originate-to-distribute model of bank credit
    Journal of Monetary Economics, 2009, 56, (5), 725-743 Downloads View citations (68)

2008

  1. Liquidity in the pricing of syndicated loans
    Journal of Financial Markets, 2008, 11, (4), 339-376 Downloads View citations (19)
  2. The economic determinants of interest rate option smiles
    Journal of Banking & Finance, 2008, 32, (5), 714-728 Downloads View citations (13)

2005

  1. Do hedge funds have enough capital? A value-at-risk approach
    Journal of Financial Economics, 2005, 77, (1), 219-253 Downloads View citations (35)
  2. Pricing and hedging interest rate options: Evidence from cap-floor markets
    Journal of Banking & Finance, 2005, 29, (3), 701-733 Downloads View citations (23)

2003

  1. Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
    Journal of Finance, 2003, 58, (5), 2219-2248 Downloads View citations (33)

2000

  1. An empirical examination of the convexity bias in the pricing of interest rate swaps
    Journal of Financial Economics, 2000, 55, (2), 239-279 Downloads View citations (21)
    See also Working Paper (1999)
 
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