Details about Jayanth Rama Varma

Access statistics for papers by Jayanth Rama Varma.

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Short-id: pva104

Working Papers

2022

1. Performance of quality factor in Indian Equity Market
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2019

2. Real Estate and Infrastructure Resolution
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2017

3. Shiny Alternative for Finance in the Classroom
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2015

4. Derivatives Pricing using QuantLib: An Introduction
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2014

5. Betting Against Beta in the Indian Market
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (3)
6. High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2013

7. Financial Literacy among Working Young in Urban India
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (16)
   Also in Working Papers, eSocialSciences (2013) View citations (14)
   See also Journal Article Financial Literacy among Working Young in Urban India, World Development, Elsevier (2015) View citations (25) (2015)
8. Four Factor Model in Indian Equities Market
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (26)
9. Time Resolution of the St. Petersburg Paradox: A Rebuttal
   IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

2011

10. Finance Teaching and Research after the Global Financial Crisis
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

2010

11. Reform of the Fiscal and Subsidy Regime for the Petroleum Sector
    Working Papers, eSocialSciences
12. Reform of the Fiscal and Subsidy Regime for the Petroleum Sector (Based on a Report Commissioned by the Petroleum Federation of India)
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
13. When index dissemination goes wrong: How fast can traders add and multiply?
    Working Papers, eSocialSciences
    Also in IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department (2010)

2009

14. Risk Management Lessons from the Global Financial Crisis
    Working Papers, eSocialSciences View citations (2)
15. Risk Management Lessons from the Global Financial Crisis for Derivative Exchanges
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (2)

2006

16. A First Cut Estimate of the Equity Risk Premium in India
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (3)

2004

17. Towards a Unified Market for Trading Gilts in India
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

2002

18. Mispricing of Volatility in theIndian Index Options Market
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (2)

2001

19. Regulatory Implications of Monopolies in the Securities Industry
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

2000

20. Modelling Credit Risk In Indian Bond Markets
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

1999

21. Rupee-Dollar Option Pricing and Risk Measurement: Jump Processes, Changing Volatility and Kurtosis Shifts
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (2)
22. Value at Risk Models in the Indian Stock Market
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (7)

1997

23. Impact on Sensex of Scrapping Double Taxation of Dividends
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
24. Indian Money Market: Market Structure, Covered Parity and Term Structure
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

1994

25. Analysis of the Indian Securities Industry: Market for Debt
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (3)
26. Financial Sector Reform: Institutional and Technological Imperatives
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
27. Research on the Indian Capital Market: A Review
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

1993

28. SEBIs Regulatory Priorities: Need for Change
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
29. When AAA Means B: The State of Credit Rating in India
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (3)

1992

30. Comments on SEBI Draft Takeover Code
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)
31. Gorbachev Betas The Russian Coup and Market Blues
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)
32. Narasimham Committee Report - Some Further Ramifications and Suggestions
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
33. Securities Scam Genesis, Mechanics and Impact
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

1991

34. A Valuation Model for Indeterminate Convertibles
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
35. Indian Convertible Bonds with Unspecified Terms: A Valuation Model
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (2)
36. Indian Convertible Bonds with Unspecified Terms: An Empirical Study
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)
37. Is the BSE Sensitive Index Better than the National Index?
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
38. Market Valuation Model Under Differential Taxes, Inflation, Recurring Investments and Flotation Costs
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (2)
39. Mastershares: Market Prices Divorced From Fundamentals
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)

1990

40. A Regulatory Framework for Mutual Funds
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
41. Computer Graphics, Peripheral Vision & Non Euclidian Geometry
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
42. Expert System for Cost Variance Investigation
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
43. Mastershares: Enigmatic Performance
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)
44. Rejuvenation of Jute Industry: Role and Potential of Diversified Products
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

1989

45. Equilibrium Pricing of Special Bearer Bonds
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department View citations (1)
46. The Existence and Continuity of Utility Functions: A New Proof
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department
47. Where Utility Functions Do Not Exist - A Note on Lexicographic Orders
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

1988

48. Estimation Errors and Time Varying Betas in Event Studies - A New Approach
    IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department

Journal Articles

2024

1. Role of derivatives market in attenuating underreaction to left‐tail risk
   Journal of Futures Markets, 2024, 44, (3), 484-517

2023

2. Belief distortion near 52W high and low: Evidence from Indian equity options market
   Journal of Futures Markets, 2023, 43, (11), 1531-1558 View citations (1)
3. Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
   Journal of Futures Markets, 2023, 43, (11), 1615-1644

2022

4. Lottery and bubble stocks and the cross‐section of option‐implied tail risks
   Journal of Futures Markets, 2022, 42, (2), 231-249

2021

5. Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market
   Journal of Futures Markets, 2021, 41, (10), 1498-1519 View citations (4)
6. The impact of COVID-19 on tail risk: Evidence from Nifty index options
   Economics Letters, 2021, 204, (C) View citations (8)

2019

7. Blockchain in Finance
   Vikalpa: The Journal for Decision Makers, 2019, 44, (1), 1-11 View citations (6)
8. Indian equity options: Smile, risk premiums, and efficiency
   Journal of Futures Markets, 2019, 39, (2), 150-163 View citations (6)
9. Informed trading around earnings announcements—Spot, futures, or options?
   Journal of Futures Markets, 2019, 39, (5), 579-589

2017

10. Size, Value, and Momentum in Indian Equities
    Vikalpa: The Journal for Decision Makers, 2017, 42, (4), 211-219

2015

11. Financial Literacy among Working Young in Urban India
    World Development, 2015, 67, (C), 101-109 View citations (25)
    See also Working Paper Financial Literacy among Working Young in Urban India, IIMA Working Papers (2013) View citations (16) (2013)