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Details about Krishna Ramaswamy

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Workplace:Wharton School of Business, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Krishna Ramaswamy.

Last updated 2019-04-23. Update your information in the RePEc Author Service.

Short-id: pra1015


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Working Papers

2004

  1. Profiting from Mean-Reverting Yield Curve Trading Strategies
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)

1997

  1. Looking for Spot in the Presence of Futures
    Economics Technical Papers, Trinity College Dublin, Economics Department
    See also Journal Article in International Review of Finance (2003)

1988

  1. THE TERM STRUCTURE OF INTEREST RATES: EMPIRICAL EVIDENCE
    Working Papers, Columbia - Center for Futures Markets

Undated

  1. A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article in Review of Financial Studies (1993)
  2. Program Trading and the Behavior of Stock Index Futures Prices
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  3. Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
  4. The Valuation of Corporate Fixed Income Securities
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)
  5. The Valuation of Floating Rate Instruments - Theory and Evidence
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Journal of Financial Economics (1986)

Journal Articles

2008

  1. A Dynamic Model for the Forward Curve
    Review of Financial Studies, 2008, 21, (1), 265-310 Downloads View citations (1)

2005

  1. Comparing returns of US treasuries versus equities: implications for market and portfolio efficiency
    Applied Financial Economics, 2005, 15, (17), 1213-1218 Downloads View citations (5)

2003

  1. Looking for Spot in the Presence of Futures*
    International Review of Finance, 2003, 4, (3‐4), 101-123 Downloads
    See also Working Paper (1997)

1993

  1. A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
    Review of Financial Studies, 1993, 6, (3), 619-58 Downloads View citations (52)
    See also Working Paper
  2. Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model
    Financial Management, 1993, 22, (3) View citations (101)

1990

  1. Simple Binomial Processes as Diffusion Approximations in Financial Models
    Review of Financial Studies, 1990, 3, (3), 393-430 Downloads View citations (86)

1988

  1. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
    Review of Financial Studies, 1988, 1, (2), 137-158 Downloads View citations (38)

1986

  1. The valuation of floating-rate instruments: Theory and evidence
    Journal of Financial Economics, 1986, 17, (2), 251-272 Downloads View citations (30)
    See also Working Paper

1985

  1. The Valuation of Options on Futures Contracts
    Journal of Finance, 1985, 40, (5), 1319-40 Downloads View citations (21)

1982

  1. The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?
    Journal of Finance, 1982, 37, (2), 429-43 Downloads View citations (57)

1980

  1. Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium
    Journal of Finance, 1980, 35, (2), 469-82 Downloads View citations (25)
  2. On the CAP M Approach to the Estimation of a Public Utility's Cost of Equity Capital
    Journal of Finance, 1980, 35, (2), 369-83 Downloads View citations (3)

1979

  1. The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence
    Journal of Financial Economics, 1979, 7, (2), 163-195 Downloads View citations (164)
 
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