Anurag Gupta

Case Western Reserve University - Department of Banking & Finance

10900 Euclid Ave.

Cleveland, OH 44106-7235

United States

SCHOLARLY PAPERS

12

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CITATIONS
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in Total Papers Citations

159

Scholarly Papers (12)

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 (3,257)
Citation 32

Abstract:

Hedge funds, Value-at-Risk, Capital adequacy, Extreme value theory, Monte Carlo simulation.

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 (4,493)
Citation 27

Abstract:

Syndicated loans, Loan secondary market, Bank credit, Moral hazard, Adverse selection

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 (20,055)
Citation 13

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates, hedging

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
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 854 (21,258)
Citation 7

Abstract:

Liquidity, interest rate options, euro interest rate markets, Euribor market, OTC options markets

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 429 (52,925)
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 285 (85,582)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

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 58 (304,427)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

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 56 (309,803)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

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 (21,830)
Citation 8

Abstract:

Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging

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 (45,284)
Citation 17

Abstract:

Syndicated loans, loan secondary market, loan pricing, liquidity, loan trading

The Economic Determinants of Interest Rate Option Smiles

Number of pages: 33 Posted: 12 Apr 2007
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 312 (77,223)
Citation 5

Abstract:

Volatility smiles, interest rate options, euro interest rate markets, Euribor market

The Economic Determinants of Interest Rate Option Smiles

NYU Working Paper No. FIN-07-016
Number of pages: 15 Posted: 03 Nov 2008
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 74 (266,573)
Citation 5

Abstract:

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 (72,498)
Citation 23

Abstract:

Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning

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:

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 151 (159,485)
Citation 22

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
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 151 (156,512)

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
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 116 (189,005)

Abstract:

Volatility smiles, liquidity, interest rate options, euro interestrate markets, Euribor market