Mikhail Chernov

UCLA Anderson

Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 2,884

in Total Papers Downloads

10,448

CITATIONS
Rank 1,488

SSRN RANKINGS

Top 1,488

in Total Papers Citations

378

Scholarly Papers (24)

1.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,206 (4,413)
Citation 15

Abstract:

2.

Implied Volatilities as Forecasts of Future Volatility, Time-Varying Risk Premia, and Returns Variability

AFA 2002 Atlanta Meetings
Number of pages: 32 Posted: 04 Dec 2001
Mikhail Chernov
UCLA Anderson
Downloads 1,217 (11,970)
Citation 9

Abstract:

Implied Volatility, Realized Volatility, Historical Volatility, Spot Volatility, Quadratic Variation, Jump-Diffusion Processes, Market Prices of Risk, Error-in-the-Variables Problem

3.
Downloads 983 ( 17,672)
Citation 37

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 873 (20,734)
Citation 37

Abstract:

put pricing puzzle, option returns, jump-diffusion models, risk premia

Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2009
Number of pages: 48 Posted: 22 Oct 2011
Mark Broadie, Mikhail Chernov and Michael Johannes Guther
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University - Columbia Business School
Downloads 61 (302,818)
Citation 37

Abstract:

Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2008, Columbia Business School Research Paper
Number of pages: 48 Posted: 20 Oct 2011
Mark Broadie, Mikhail Chernov and Michael Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University
Downloads 48 (340,564)
Citation 37

Abstract:

Understanding Index Option Returns

CEPR Discussion Paper No. DP6239
Number of pages: 54 Posted: 21 May 2008
Mark Broadie, Mikhail Chernov and Michael S. Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 1 (575,863)
Citation 37
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Abstract:

jump risk premia, jump-diffusion models, options returns, put pricing puzzle

Understanding Index Option Returns

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4493-4529, 2009
Posted: 08 Dec 2009
Mark Broadie and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations and UCLA Anderson

Abstract:

4.

What Data Should Be Used To Price Options?

Number of pages: 49 Posted: 29 Aug 1998
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School
Downloads 898 (19,532)
Citation 4

Abstract:

5.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 858 (21,168)
Citation 12

Abstract:

6.

A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel

AFA New Orleans 2001
Number of pages: 65 Posted: 30 Sep 2000
Mikhail Chernov
UCLA Anderson
Downloads 640 (31,418)
Citation 3

Abstract:

Pricing kernel, risk-neutral valuation, simulated method of moments, reprojection

7.

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

Number of pages: 73 Posted: 17 Dec 2002
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 597 (34,753)
Citation 14

Abstract:

maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models

8.

No-Arbitrage Macroeconomic Determinants of the Yield Curve

AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 55 Posted: 11 Jul 2005
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 504 (41,580)
Citation 32

Abstract:

Term structure, no-arbitrage affine models, macroeconomics, monetary policy, credit spread, budget deficit

9.

Term Structure and Volatility: Lessons from the Eurodollar Markets

Number of pages: 65 Posted: 08 Jul 2004
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 482 (42,372)
Citation 16

Abstract:

10.

Model Specification and Risk Premia: Evidence from Futures Options

Number of pages: 71 Posted: 20 Feb 2004
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 463 (48,293)
Citation 97

Abstract:

11.
Downloads 340 ( 72,099)
Citation 31

The Term Structure of Inflation Expectations

Number of pages: 56 Posted: 19 Mar 2008 Last Revised: 02 Apr 2009
Mikhail Chernov and Philippe Mueller
UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 331 (73,873)
Citation 31

Abstract:

inflation expectations, monetary policy, macro-finance, term structure model

The Term Structure of Inflation Expectations

CEPR Discussion Paper No. DP6809
Number of pages: 59 Posted: 12 Jun 2008
Mikhail Chernov and Philippe Mueller
UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 9 (525,111)
Citation 31
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Abstract:

inflation, macro-finance term structure model, monetary policy, survey forecasts

12.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Mark Broadie, Mikhail Chernov and Suresh M. Sundaresan
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 247 (97,945)
Citation 28

Abstract:

Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer

13.

Crash Risk in Currency Returns

Number of pages: 70 Posted: 16 Mar 2012 Last Revised: 03 Apr 2015
Mikhail Chernov, Jeremy J. Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and Swedish House of Finance
Downloads 244 (76,420)
Citation 5

Abstract:

currency speculation, crashes, jumps, entropy, Bayesian MCMC

14.
Downloads 222 (114,270)
Citation 4

CDS Auctions

Number of pages: 56 Posted: 17 Jun 2011 Last Revised: 20 Jul 2012
Mikhail Chernov, Alexander S. Gorbenko and Igor Makarov
UCLA Anderson, University of Southern California - Marshall School of Business and London Business School
Downloads 217 (116,426)
Citation 4

Abstract:

credit default swaps, auctions, settlement, open interest

CDs Auctions

CEPR Discussion Paper No. DP8456
Number of pages: 44 Posted: 20 Jul 2011
Mikhail Chernov, Alexander S. Gorbenko and Igor Makarov
UCLA Anderson, University of Southern California - Marshall School of Business and London Business School
Downloads 5 (546,015)
Citation 4
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Abstract:

auctions, credit default swaps, mispricing, open interest, settlement

15.
Downloads 50 (328,870)
Citation 12

Sources of Entropy in Representative Agent Models

NYU Working Paper No. 2451/29940
Number of pages: 55 Posted: 13 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 38 (374,798)
Citation 12

Abstract:

pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters

Sources of Entropy in Representative Agent Models

NBER Working Paper No. w17219
Number of pages: 56 Posted: 16 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 11 (514,098)
Citation 12

Abstract:

Sources of Entropy in Representative Agent Models

CEPR Discussion Paper No. DP8488
Number of pages: 58 Posted: 20 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (575,863)
Citation 12
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Abstract:

asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences

Term Structures of Asset Prices and Returns

FRB of NY Staff Report No. 774
Number of pages: 46 Posted: 13 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 26 (427,787)

Abstract:

entropy, coentropy, term structure, yields, excess returns

Term Structures of Asset Prices and Returns

NBER Working Paper No. w22162
Number of pages: 46 Posted: 11 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 13 (502,443)
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Abstract:

Term Structures of Asset Prices and Returns

CEPR Discussion Paper No. DP11227
Number of pages: 48 Posted: 18 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 0
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Abstract:

entropy; coentropy; term structure; yields; excess returns

17.
Downloads 32 (389,584)
Citation 40

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 28 (417,503)
Citation 40

Abstract:

Disasters Implied by Equity Index Options

CEPR Discussion Paper No. DP7416
Number of pages: 46 Posted: 08 Sep 2009
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (551,089)
Citation 40
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Abstract:

cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

Identifying Taylor Rules in Macro-Finance Models

NYU Working Paper No. 2451/31978
Number of pages: 27 Posted: 28 Aug 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 20 (461,709)

Abstract:

forward-looking models; information sets;, monetary policy; exponential-affine models

Identifying Taylor Rules in Macro-Finance Models

NBER Working Paper No. w19360
Number of pages: 29 Posted: 24 Aug 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 9 (525,111)

Abstract:

Identifying Taylor Rules in Macro-Finance Models

CEPR Discussion Paper No. DP9611
Number of pages: 30 Posted: 03 Sep 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 0
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Abstract:

exponential-affine models, forward-looking models, information sets, monetary policy

19.

Sources of Risk in Currency Returns

CEPR Discussion Paper No. DP8745
Number of pages: 53 Posted: 20 Jan 2012
Mikhail Chernov, Jeremy J. Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and Swedish House of Finance
Downloads 8 (507,974)
Citation 3
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Abstract:

Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

NBER Working Paper No. w22096
Number of pages: 60 Posted: 21 Mar 2016
Mikhail Chernov, Brett R. Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7 (535,814)
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Abstract:

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

CEPR Discussion Paper No. DP10947
Posted: 18 Apr 2016
Mikhail Chernov, Brett R. Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Affine models, mortgage-backed securities, prepayment function

21.

Monetary Policy Regimes and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP7096
Number of pages: 54 Posted: 17 Feb 2009
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 2 (537,749)
Citation 16
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Abstract:

great moderation, monetary policy, regime switches, structural VAR, term structure model

22.

A Macrofinance View of U.S. Sovereign CDS Premiums

CEPR Discussion Paper No. DP11576
Number of pages: 39 Posted: 24 Oct 2016
Mikhail Chernov, Lukas Schmid and Andrés Schneider
UCLA Anderson, Duke University - The Fuqua School of Business and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 0 (561,459)
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Abstract:

credit default swaps, recursive preferences, sovereign default

23.

A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation

Journal of Financial Economics, Vol. 56, No. 3, June, 2000
Posted: 10 Feb 2001
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

Abstract:

24.

Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999
Posted: 07 Apr 1999
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

Abstract: