Anurag Gupta

Case Western Reserve University - Department of Banking & Finance

10900 Euclid Ave.

Cleveland, OH 44106-7235

United States

  • Case Western Reserve University - Department of Banking & Finance

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    • Tel: 216-368-2938
    • Fax: 216-368-4776
SCHOLARLY PAPERS

12

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76

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64

Scholarly Papers (12)

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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 2,805 (5,506)
Citation 16

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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 (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Case Western Reserve University - Department of Banking & Finance
Downloads 2,526 (6,542)
Citation 38

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

3.

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

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 (NYU) - Department of Finance
Downloads 985 (28,274)
Citation 8

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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
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Department of Finance
Downloads 904 (31,990)
Citation 3

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

5.

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 881 (33,112)
Citation 10

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

6.

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

Downloads 876 ( 33,372)
Citation 3

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

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 (NYU) - Department of Finance
Downloads 439 (80,754)
Citation 5

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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 (NYU) - Department of Finance
Downloads 295 (126,616)

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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 (NYU) - Department of Finance
Downloads 78 (379,264)

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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 (NYU) - Department of Finance
Downloads 64 (423,385)

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

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 534 (64,149)
Citation 5

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

8.

The Economic Determinants of Interest Rate Option Smiles

Downloads 432 ( 83,119)
Citation 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 (NYU) - Department of Finance
Downloads 350 (105,070)

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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
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Department of Finance
Downloads 82 (368,101)
Citation 2

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9.

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

Downloads 340 (109,329)
Citation 13

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 340 (108,597)
Citation 13

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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

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

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10.

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

Downloads 188 (128,300)
Citation 27

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 (NYU) - Department of Finance
Downloads 188 (197,219)
Citation 4

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance
Downloads 165 (220,819)

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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 (NYU) - Department of Finance
Downloads 136 (258,784)

Abstract:

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