Joel M. Vanden

Pennsylvania State University - Smeal College of Business

Associate Professor of Finance

University Park, PA 16802

United States

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Information Acquisition and Mutual Funds

Tuck Business School Working Paper No. 2004-02; EFA 2004 Maastricht Meetings Paper No. 4332
Number of pages: 30 Posted: 13 Feb 2004
Diego Garcia and Joel M. Vanden
University of Colorado at Boulder - Leeds School of Business and Pennsylvania State University - Smeal College of Business
Downloads 331 (88,966)

Abstract:

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mutual funds, markets for information

2.

The Informational Content of the Embedded Deflation Option in TIPS

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 71 Posted: 22 Oct 2010 Last Revised: 04 Oct 2011
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 115 (236,504)

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TIPS, embedded option, inflation, deflation, term structure

The Informational Content of the Embedded Deflation Option in TIPS

Journal of Banking and Finance, Forthcoming
Number of pages: 80 Posted: 16 Sep 2012 Last Revised: 23 Dec 2015
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 36 (442,865)

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TIPS, embedded option, inflation, deflation, term structure

The Informational Content of the Embedded Deflation Option in TIPS

FEDS Working Paper No. 2013-24
Number of pages: 66 Posted: 11 May 2013
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 28 (481,595)

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TIPS, embedded option, inflation, deflation, term structure

4.

The Information Content of the Embedded Deflation Option in TIPS

FEDS Working Paper No. 2011-58
Number of pages: 67 Posted: 04 Jan 2012
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 53 (371,896)

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TIPS, embedded option, inflation, deflation, term structure

5.

Portfolio Insurance and Volatility Regime Switching

Mathematical Finance, Vol. 16, No. 2, pp. 387-417, April 2006
Number of pages: 31 Posted: 08 May 2006
Joel M. Vanden
Pennsylvania State University - Smeal College of Business
Downloads 13 (553,060)
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6.

General Properties of Isoelastic Utility Economies

Mathematical Finance, Vol. 25, Issue 1, pp. 187-219, 2015
Number of pages: 33 Posted: 17 Jan 2015
Joel M. Vanden
Pennsylvania State University - Smeal College of Business
Downloads 1 (638,962)
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isoelastic utility, inverse problem, preference recoverability, risk sharing, asset pricing bounds

7.

Information Quality and Options

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2635-2676, 2008
Posted: 15 Dec 2008
Joel M. Vanden
Pennsylvania State University - Smeal College of Business

Abstract:

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D8, G1

8.

Option Coskewness and Capital Asset Pricing

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1279-1320, 2006
Posted: 29 Feb 2008
Joel M. Vanden
Pennsylvania State University - Smeal College of Business

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