Mo Chaudhury

McGill University - Desautels Faculty of Management

Associate Professor of Finance (Teaching)

1001 Sherbrooke St. West

Montreal, Quebec H3A 1G5

Canada

http://www.mcgill.ca/desautels/mo-chaudhury

  • McGill University - Desautels Faculty of Management

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    • Tel: (514) 398-5927
    • Fax: (514) 398-3876
SCHOLARLY PAPERS

17

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9

CROSSREF CITATIONS

16

Scholarly Papers (17)

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1.

Trading on the Information Content of Open Interest: Evidence from the Us Equity Options Market

McGill Finance Research Centre Working Paper
Number of pages: 43 Posted: 27 Oct 2001
Rafiqul Bhuyan and Mo Chaudhury
University College of the Cariboo - Department of Finance and McGill University - Desautels Faculty of Management
Downloads 1,424 (20,696)
Citation 4

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information content, options, open interest, trading strategy

2.

The Market Value and Dynamic Interest Rate Risk of Swaps

Paper ID: 96-44
Number of pages: 59 Posted: 23 Jan 1997
Andrew H. Chen and Mo Chaudhury
affiliation not provided to SSRN and McGill University - Desautels Faculty of Management
Downloads 1,383 (21,573)
Citation 1

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3.

Efficiency Tests of the French Index (CAC 40) Options Market

Number of pages: 53 Posted: 19 Sep 2001
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 814 (46,058)
Citation 15

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market efficiency, index options, no arbitrage conditions.

4.

Issues in Operational Risk Capital Modeling

Number of pages: 51 Posted: 30 Sep 2009 Last Revised: 25 Jan 2010
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 348 (131,326)

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Operational Risk, Economic Capital, Value at Risk, Basel II, LDA

5.

The Financial Crisis and the Behavior of S&P 500 Index Option Prices

Number of pages: 48 Posted: 12 Oct 2014 Last Revised: 29 Aug 2015
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 282 (163,875)

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Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

6.

Extended Value at Risk (EVaR) Measure for Market Risk

Number of pages: 12 Posted: 16 Apr 2011 Last Revised: 18 Sep 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 274 (168,793)
Citation 2

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Market Risk, Value at Risk, Implied Volatility, Basel, Bank Capital

7.

Spider Options and the S&P 500 Index Options Market

Number of pages: 50 Posted: 06 Feb 2007
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 265 (174,645)

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S&P 500 Index Options, Spider Options, ETF, Volatility Smile

8.

Stock Overreaction to Extreme Market Events

Number of pages: 40 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Universidade Católica do Paraná (Universidade Católica do Paraná)
Downloads 261 (177,243)

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Overreaction, contrarian strategy, momentum crash, market efficiency, extreme market events

9.

Upper Bounds for American Options

McGill Finance Research Centre Working Paper No. 2002
Number of pages: 41 Posted: 05 May 2003
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 216 (212,877)

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American options, option valuation, bounds

10.

What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?

Number of pages: 33 Posted: 05 Apr 2006
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 177 (254,419)

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Mortgage Debt, Housing Price, Term Structure, Default Risk Premium

11.

Volatility and Expected Option Returns: A Note

Economics Letters, Vol. 152, No. March, 2017
Number of pages: 19 Posted: 03 Sep 2016 Last Revised: 21 Jan 2017
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 176 (255,691)
Citation 3

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Volatility, Expected Option Return, Cross-Section of Option Returns

12.

Credibility, Public Debt and Foreign Exchange Intervention

McGill Finance Research Centre Working Paper
Number of pages: 38 Posted: 18 Sep 2001
Mo Chaudhury and K. Ramagopal
McGill University - Desautels Faculty of Management and Federal Home Loan Mortgage Corporation (FHLMC) - Financial Research
Downloads 161 (277,280)

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credibility, public debt, foreign exchange intervention

13.

Dynamic Relationship of Cryptocurrency Prices and Investor Attention

Number of pages: 24 Posted: 12 Feb 2019
Pedro Piccoli and Mo Chaudhury
Universidade Católica do Paraná (Universidade Católica do Paraná) and McGill University - Desautels Faculty of Management
Downloads 102 (391,191)

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Bitcoin, Cryptocurrency, Bubble, Noise Trader, Google Trend

14.

How Do Stocks React to Extreme Market Events? Evidence from Brazil

Number of pages: 38 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Universidade Católica do Paraná (Universidade Católica do Paraná)
Downloads 87 (430,421)
Citation 1

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Overreaction, contrarian strategy, momentum, market efficiency, Brazilian market

15.

Some Easy-to-Implement Methods of Calculating American Futures Option Prices

Journal of Futures Markets Journal of Futures Markets, Vol. 15, No. 3, pp. 303-344, 1995
Number of pages: 42 Posted: 27 Feb 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 85 (436,568)

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American Futures Options, Option Price, Early Exercise, ISD

16.

How Did the Financial Crisis Affect the Daily Stock Returns?

Downloads 51 (567,739)

How Did the Financial Crisis Affect the Daily Stock Returns?

Number of pages: 30 Posted: 14 Feb 2014
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 51 (578,787)
Citation 3

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financial crisis, beta risk, GARCH, skewness and kurtosis, Value at Risk

How Did the Financial Crisis Affect the Daily Stock Returns?

Journal of Investing, Vol. 23, No. 3, 2014, https://doi.org/10.3905/joi.2014.23.3.065
Posted: 21 May 2019
Mo Chaudhury
McGill University - Desautels Faculty of Management

Abstract:

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Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

17.

Option Bid-Ask Spread and Liquidity

https://doi.org/10.3905/jot.2015.10.3.044
Posted: 21 May 2019
Mo Chaudhury
McGill University - Desautels Faculty of Management

Abstract:

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Option Price, Bid-Ask Spread, Liquidity, Illiquidity Premium, Implied Volatility