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Gupta, Anurag's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,919 |
Total
Citations
155 |
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1.
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
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2,369
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31
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Hedge funds, Value-at-Risk, Capital adequacy, Extreme value theory, Monte Carlo simulation.
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2.
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Berndt, Antje
Carnegie Mellon University - Tepper School of Business Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance
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28 Oct 08
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Last Revised:
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29 Jan 09
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1,901
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26
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Syndicated loans, Loan secondary market, Bank credit, Moral hazard, Adverse selection
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3.
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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839
(12,231)
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13
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Interest rate options, interest rate caps/floors, term structure of interest rates, hedging
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4.
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An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets
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Versions (4)
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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19 Mar 01
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Last Revised:
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01 Apr 09
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796
(13,233)
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5
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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50
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5
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Interest rate options, interest rate caps/floors, term structure of interest rates
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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276
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5
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Interest rate options, interest rate caps/floors, term structure of interest rates
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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50
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Interest rate options, interest rate caps/floors, term structure of interest rates
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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420
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5.
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Fan, Rong
Gifford Fong Associates Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance
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785
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7
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Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging
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6.
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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05 Dec 05
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Last Revised:
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20 Aug 10
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752
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4
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Liquidity, interest rate options, euro interest rate markets, Euribor market, OTC options markets
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7.
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Singh, Ajai K.
Case Western Reserve University - Department of Banking & Finance Zebedee, Allan A.
Clarkson University
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440
(30,131)
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18
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Syndicated loans, loan secondary market, loan pricing, liquidity, loan trading
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8.
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The Economic Determinants of Interest Rate Option Smiles
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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12 Apr 07
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Last Revised:
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23 Dec 08
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349
(40,242)
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6
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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61
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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288
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Volatility smiles, interest rate options, euro interest rate markets, Euribor market
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9.
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Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Fan, Rong
Gifford Fong Associates Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance
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Posted:
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15 Aug 02
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Last Revised:
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09 Oct 03
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325
(43,821)
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23
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Fan, Rong
Gifford Fong Associates Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance
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0
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Fan, Rong
Gifford Fong Associates Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance
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325
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23
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Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning
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10.
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An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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Posted:
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15 Oct 98
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Last Revised:
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23 Dec 08
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113
(80,230)
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22
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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113
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22
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Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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0
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11.
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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147
(99,603)
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12.
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Deuskar, Prachi
University of Illinois at Urbana-Champaign Gupta, Anurag
Case Western Reserve University - Department of Banking & Finance Subrahmanyam, Marti G.
New York University - Stern School of Business
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103
(132,367)
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Volatility smiles, liquidity, interest rate options, euro interestrate markets, Euribor market
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