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Nawalkha, Sanjay K.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,440 |
Total
Citations
77 |
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1.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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21 Feb 08
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Last Revised:
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20 Apr 09
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2,462
(1,975)
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interest rates, term structure, bonds, fixed income, Excel
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2.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Beliaeva, Natalia
Suffolk University - Department of Finance
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1,165
(7,195)
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arbitrage-free pricing, valuation, martingales, Arrow-Debreu prices, riskneutral measure, forward measure, stochastic discount factor, pricing kernel, Radon-Nikodym derivative, Girsanov theorem, Feynman Kac theorem
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3.
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Crack, Timothy Falcon
University of Otago - Department of Finance and Quantitative Analysis Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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1,114
(7,759)
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1
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Duration, Convexity, Bond return, Bond price, yield
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4.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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26 Apr 09
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Last Revised:
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18 Aug 12
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1,011
(9,147)
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1
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interest rate risk, duration, convexity, key rate, inflation
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5.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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| Posted: |
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19 Mar 08
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Last Revised:
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30 Mar 10
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980
(9,581)
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2
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Heston, options, stochastic volatility, American options, trees
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6.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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865
(11,657)
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Asset pricing, APT, Arbitrage pricing theory, Multibeta CAPM, ICAPM, Factor models, Fama and French model
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7.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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847
(12,075)
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interest rate, yield curve, fixed income, duration, immunization, portfolio strategy
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8.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Schwarz, Christopher
University of California at Irvine
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819
(12,709)
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2
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APT, CAPM, Multifactor Models, Beta, Asset Pricing
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9.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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01 Mar 07
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Last Revised:
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20 Apr 09
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812
(12,876)
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5
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Bond options, Interest Rate Trees, Jumps, Vasicek Model, American options
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10.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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742
(14,693)
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2
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LIBOR Market model, LMM, SABR, Affine, Quadratic, Short Rate Models
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11.
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Lacey, Nelson
University of Massachusetts at Amherst Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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726
(15,192)
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6
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Convexity, risk, immunization, bonds, M-Square, hedging
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12.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Beliaeva, Natalia
Suffolk University - Department of Finance Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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675
(16,902)
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term structure models, caps, swaptions, credit default swaps, credit derivatives
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13.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Beliaeva, Natalia
Suffolk University - Department of Finance
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617
(19,227)
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3
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Trees, Binomial, Trinomial, American options, CIR, Cox Ingersoll and Ross, Constant Elasticity of Variance, Short rate, caps, interest rate
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14.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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416
(32,489)
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1
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Interest rate models, Term structure models, Jumps, CIR, CEV, Trees
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15.
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What Interest Rate Models to Use? Buy Side Versus Sell Side
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
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Posted:
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12 Dec 10
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Last Revised:
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24 Aug 11
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407
(33,375)
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
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0
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LMM-SABR model, interest rate models, affine models, quadratic models, caps, swaptions
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
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| Posted: |
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12 Dec 10
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Last Revised:
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18 Jun 11
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407
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Interest rate models, affine, quadratic, LMM, SABR, caps, swaptions
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16.
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Crack, Timothy Falcon
University of Otago - Department of Finance and Quantitative Analysis Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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354
(39,601)
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4
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bond risk measures, duration, convexity, term structure, M-square
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17.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Chambers, Donald R.
Lafayette College - College of Economics and Business
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294
(49,392)
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9
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Interest Rate Risk, Duration, Convexity, M-Square, M-Vector, Duration Vector
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18.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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286
(51,025)
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Interest Rate Risk, Systematic Risk, Duration, Convexity, Bond beta, ICAPM, HJM
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19.
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An Improved Approach to Computing Implied Volatility
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Chambers, Donald R.
Lafayette College - College of Economics and Business Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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Posted:
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08 Nov 02
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Last Revised:
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02 Feb 09
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282
(51,840)
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4
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Chambers, Donald R.
Lafayette College - College of Economics and Business Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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282
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4
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Chambers, Donald R.
Lafayette College - College of Economics and Business Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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0
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20.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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274
(53,541)
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Stock Valuation; Dividend discount model, Franchise factor model, Residual income model, EVA model.
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21.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics Zhang, Jun
affiliation not provided to SSRN
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265
(55,603)
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4
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immunization, duration, interest rate, risk management, fixed income
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22.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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253
(58,525)
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1
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LIBOR market model, affine and quadratic models, interest rate models, caps, swaptions
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23.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Chambers, Donald R.
Lafayette College - College of Economics and Business
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245
(60,579)
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2
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binomial model, risk-neutrality, martingale valuation, options, trees
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24.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Beliaeva, Natalia
Suffolk University - Department of Finance Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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11 Sep 08
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Last Revised:
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20 Sep 10
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238
(62,478)
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4
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Affine models, quadratic models, HJM models, LIBOR/SABR models, Single-Plus models, Double-Plus models, Triple-Plus models, new taxonomy
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25.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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229
(65,142)
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5
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Interest rate risk, duration vector, options, calls, puts, callable bonds, puttable bonds, hedging, Merton
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26.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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215
(69,544)
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4
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Interest rate risk, stocks, bonds, duration, Merton, Vasicek
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27.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Chambers, Donald R.
Lafayette College - College of Economics and Business
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210
(71,200)
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8
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Duration, Convexity, M-Absolute, M-Square, Interest Rate Risk, Hedging
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28.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Lacey, Nelson
University of Massachusetts at Amherst
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126
(113,625)
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1
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Duration, interest rate hedging, immunization, term structure, bonds
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29.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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123
(115,851)
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1
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American options, numerical methods, trees, Stocahstic volatility, jumps, SVJ
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30.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Lacey, Nelson
University of Massachusetts at Amherst Schneeweis, Thomas
University of Massachusetts at Amherst - Isenberg School of Management
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111
(125,591)
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bond convexity, M-square, interest rates, immunization, interest rate risk
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31.
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A Multibeta Representation Theorem for Linear Asset Pricing Theories
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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Posted:
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23 Mar 07
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Last Revised:
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21 Apr 09
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107
(129,023)
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5
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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107
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5
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Asset pricing, APT, Multibeta CAPM, Factor models, Fama and French
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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0
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Asset pricing, APT, Multibeta CAPM, Factor models
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32.
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Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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95
(140,125)
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1
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Bond options, Face value convergence, Contingent claims
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33.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management
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| Posted: |
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27 Jan 11
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Last Revised:
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15 Jun 11
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75
(162,856)
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1
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CEV Short Rate Models, American interest rate options, CIR short rate model, Jump-diffusion processes, Longstaff and Schwartz LSM approach
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34.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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07 May 07
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Last Revised:
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21 Jul 11
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credit default swaps, CDS, reduced form models, interest rate models, term structure models, affine, quadratic
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35.
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Beliaeva, Natalia
Suffolk University - Department of Finance Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Soto, Gloria M.
University of Murcia - Faculty of Business and Economics
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| Posted: |
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07 May 07
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Last Revised:
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21 Jul 11
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Eurodollar futures, Euribor futures, Interest rate models, Term structure models, Affine, Quadratic, Convexity bias
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