Larry Eisenberg

New Jersey Institute of Technology

Associate Professor of Finance

School of Management

Newark, NJ 07102-1982

United States

http://som.njit.edu/people/eisenberg.php

  • New Jersey Institute of Technology

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    • Tel: 973 642-7263
    • Fax: 973 596-3074
SCHOLARLY PAPERS

15

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190

Scholarly Papers (15)

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1.

Systemic Risk in Financial Networks

Downloads 2,517 (12,094)
Citation 185

Systemic Risk in Financial Networks

Number of pages: 29 Posted: 24 Sep 1999
Larry Eisenberg and Thomas H. Noe
New Jersey Institute of Technology and University of Oxford - Said Business School
Downloads 2,517 (11,869)
Citation 185

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Systemic Risk in Financial Networks

Management Science, Vol. 47, No. 2, pp. 236-24, 2001
Posted: 22 Jun 2007
Larry Eisenberg and Thomas H. Noe
New Jersey Institute of Technology and University of Oxford - Said Business School

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Credit risk, Default, Clearing Systems

2.

A Price of Total Risk for Managing Against a Benchmark

Number of pages: 28 Posted: 04 Nov 2005
Larry Eisenberg
New Jersey Institute of Technology
Downloads 440 (141,490)

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Capital budgeting, Asset pricing, Risk management, Safety-first, Funds, Benchmark

3.

The Marginal Price of Risk With a Cvar Constraint

Number of pages: 10 Posted: 22 Jun 2007
Larry Eisenberg
New Jersey Institute of Technology
Downloads 365 (174,741)
Citation 2

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Cvar, Expected Shortfall, Risk Managment

4.

Quantity-Adjusting Options and Forward Contracts

Journal of Financial Engineering , Vol. 2, No. 2, pp. 89-126, 1993
Number of pages: 20 Posted: 02 Jan 2007
David F. Babbel and Larry Eisenberg
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology
Downloads 325 (198,282)
Citation 1

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Quantos, foreign exchange, options, quantity-adjusting

5.

Generalized Put-Call Parity

Journal of Financial Engineering, Vol. 1, No. 3, pp. 243-263, 1993
Number of pages: 22 Posted: 02 Jan 2007 Last Revised: 21 Aug 2008
David F. Babbel and Larry Eisenberg
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology
Downloads 322 (200,265)
Citation 1

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put-call parity, quantos, foreign exchange, options

6.

Destabilizing Properties of a VaR or Probability-of-Ruin Constraint when Variances May Be Infinite

Number of pages: 35 Posted: 01 Nov 2007 Last Revised: 10 Jul 2009
Larry Eisenberg
New Jersey Institute of Technology
Downloads 302 (214,539)

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Var, Probability of ruin, Risk management, Risk premium, Premium switching

7.

VaR, Probability-of-Ruin and Their Consequences for Normal Risks

Number of pages: 45 Posted: 14 Oct 2009
Larry Eisenberg
New Jersey Institute of Technology
Downloads 197 (327,386)

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premium switching, probability of ruin, risk management, VaR constraint

8.

VAR, Probability-of-Ruin and their Consequences for Normal or Lognormal Risks

Number of pages: 32 Posted: 13 Jul 2009
Larry Eisenberg
New Jersey Institute of Technology
Downloads 134 (455,499)
Citation 1

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Premium switching, Probability of ruin, Risk management, VaR constraint

9.

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

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Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Review of Pacific Basin Financial Markets and Policies (RPBFMP), Vol. 12, No. 1, 2009
Posted: 10 Jun 2009 Last Revised: 16 Jun 2009
Weihua Shi, Larry Eisenberg and Cheng-Few Lee
University of Southern Mississippi, New Jersey Institute of Technology and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

Abstract:

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Intraday patterns, announcement effects, volatility persistence

10.

The Marginal Price of Risk with a VaR Constraint

Journal of Risk, Vol. 9, No. 4, pp. 21-37, 2007
Posted: 22 Jun 2007
Larry Eisenberg
New Jersey Institute of Technology

Abstract:

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Telser Safety-first, VaR, Risk management, Probability-of-ruin, Funds, Benchmark

11.

Somebody Else's Money

Risk Magazine, Vol. 6, No. 8, pp. 44-49, August 1993
Posted: 30 Jan 2007
Larry Eisenberg
New Jersey Institute of Technology

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Forex, currency options, cross options

12.

A Summary: Boolean Networks Applied to Systemic Risk

NEURAL NETWORKS IN FINANCIAL ENGINEERING, Apostolos-Paul Refenes, Yaser Abu-Mostafa, John Moody, eds., World Scientific Publishing, pp. 436- 449, September 1996
Posted: 03 Jan 2007
Larry Eisenberg
New Jersey Institute of Technology

Abstract:

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Boolean, network, systemic risk

13.

Option Pricing with Random Volatilities in Complete Markets

Review of Quantitative Finance and Accounting, Vol. 4, No. 1, pp. 5-17, 1994
Posted: 02 Jan 2007 Last Revised: 27 Aug 2008
Larry Eisenberg and Robert A. Jarrow
New Jersey Institute of Technology and Cornell University - Samuel Curtis Johnson Graduate School of Management

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option pricing, synthetic options, martingale measure, European call option

14.

Implementing Risk Management Systems with a Benchmark: A Web-Based Dss Approach

International Journal of Electronic Finance, Vol. 1, No. 3, pp. 293-303, 2007
Posted: 29 Dec 2006
Larry Eisenberg and Chang-tseh Hsieh
New Jersey Institute of Technology and University of Southern Mississippi

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asset pricing, risk management, web-based decision support systems, WBDSS, DSS, e-finance, electronic finance, benchmarking, information technology, insurance, banking, internet

15.

Connectivity and Financial Network Shutdown

Posted: 04 Aug 1999
Larry Eisenberg
New Jersey Institute of Technology

Abstract:

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