Author Page for Anurag Gupta

1.

Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach

EFA 2003 Annual Conference Paper No. 376

Number of pages: 40 Posted: 03 Aug 2003

Anurag Gupta and Bing Liang

Case Western Reserve University - Department of Banking & Finance and University of Massachusetts Amherst - Department of Finance

Downloads 2,558 (3,364)

Citation 32

Abstract:

2.

Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit

Number of pages: 36 Posted: 28 Oct 2008 Last Revised: 09 Aug 2014

Antje Berndt and Anurag Gupta

Australian National University and Case Western Reserve University - Department of Banking & Finance

Downloads 2,113 (4,620)

Citation 27

Abstract:

3.

Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets

EFMA 2002 London Meetings

Number of pages: 46 Posted: 20 Jun 2002

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 867 (20,492)

Citation 13

Abstract:

4.

Liquidity Effect in OTC Options Markets: Premium or Discount?

Journal of Financial Markets, Forthcoming

Number of pages: 49 Posted: 05 Dec 2005 Last Revised: 20 Aug 2010

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 860 (21,779)

Citation 7

Abstract:

5.

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

Downloads 835 ( 22,715)

Citation 5

4

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

EFA 2001 Barcelona Meetings

Number of pages: 46 Posted: 19 Mar 2001

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 430 (54,346)

Citation 5

Abstract:

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-00-010

Number of pages: 49 Posted: 03 Nov 2008

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 288 (87,142)

Citation 5

Abstract:

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-01-044

Number of pages: 49 Posted: 03 Nov 2008

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 59 (309,989)

Citation 5

Abstract:

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. S-DRP-01-18

Number of pages: 49 Posted: 07 Nov 2008

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 58 (312,768)

Citation 5

Abstract:

6.

On Pricing and Hedging in the Swaption Market: How Many Factors, Really?

Number of pages: 41 Posted: 03 Oct 2001

Rong Fan, Anurag Gupta and Peter H. Ritchken

Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance

Downloads 820 (22,590)

Citation 8

Abstract:

7.

Liquidity in the Pricing of Syndicated Loans

AFA 2007 Chicago Meetings Paper

Number of pages: 56 Posted: 15 Mar 2006

Anurag Gupta, Ajai K. Singh and Allan A. Zebedee

Case Western Reserve University - Department of Banking & Finance, Department of Finance, University of Central Florida and Clarkson University

Downloads 471 (46,566)

Citation 17

Abstract:

8.

The Economic Determinants of Interest Rate Option Smiles

Downloads 387 ( 62,409)

Citation 5

2

The Economic Determinants of Interest Rate Option Smiles

Number of pages: 33 Posted: 12 Apr 2007

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 313 (79,210)

Citation 5

Abstract:

The Economic Determinants of Interest Rate Option Smiles

NYU Working Paper No. FIN-07-016

Number of pages: 15 Posted: 03 Nov 2008

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 74 (273,854)

Citation 5

Abstract:

9.

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Downloads 330 ( 75,181)

Citation 23

2

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Weatherhead School of Management Finance Department Working Paper

Number of pages: 34 Posted: 15 Aug 2002

Rong Fan, Anurag Gupta and Peter H. Ritchken

Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance

Downloads 330 (74,640)

Citation 23

Abstract:

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Journal of Finance, Vol. 58, pp. 2219-2248, October 2003

Posted: 09 Oct 2003

Rong Fan, Anurag Gupta and Peter H. Ritchken

Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance

Abstract:

10.

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Downloads 155 (103,271)

2

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

NYU Working Paper No. FIN-99-001

Number of pages: 44 Posted: 04 Nov 2008

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 155 (161,101)

Citation 23

Abstract:

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Posted: 15 Oct 1998

Anurag Gupta and Marti G. Subrahmanyam

Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Abstract:

11.

Why Do Interest Rate Options Smile?

NYU Working Paper No. FIN-06-029

Number of pages: 50 Posted: 03 Nov 2008

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 151 (160,930)

Abstract:

12.

Interest Rate Option Markets: The Role of Liquidity in Volatility Smiles

NYU Working Paper No. S-DRP-04-03

Number of pages: 52 Posted: 05 Nov 2008

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 116 (194,268)

Anurag Gupta

Case Western Reserve University - Department of Banking & Finance

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Scholarly Papers (12)

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