Salih N. Neftci

CUNY Baruch College

Professor of Economics

17 Lexington Avenue

New York, NY 10021

United States

  • CUNY Baruch College

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    • Tel: (212) 817-8261
    • Fax: (212) 817-1514
SCHOLARLY PAPERS

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Scholarly Papers (12)

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1.

Financial Instruments to Hedge Commodity Price Risk for Developing Countries

IMF Working Paper No. 08/6
Number of pages: 22 Posted: 25 Jan 2008
Yinqiu Lu and Salih N. Neftci
International Monetary Fund and CUNY Baruch College
Downloads 1,014 (25,918)
Citation 1

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Commodity markets, Bonds, Revenues, Prices, Developing countries

2.

What Drives Swap Spreads, Credit or Liquidity?

ISMA Center Working Papers in Finance No. 2003-05
Number of pages: 38 Posted: 08 Mar 2007
Ying Sophie Huang and Salih N. Neftci
affiliation not provided to SSRN and CUNY Baruch College
Downloads 354 (100,712)
Citation 5

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swap spreads, liquidity premium, credit risk

3.

Pricing and Hedging of Contingent Credit Lines

Downloads 286 (126,872)

Pricing and Hedging of Contingent Credit Lines

IMF Working Paper No. 06/13
Number of pages: 26 Posted: 03 Mar 2006
Salih N. Neftci, Sunil Sharma and Elena Loukoianova
CUNY Baruch College, George Washington University - Elliott School of International Affairs and International Monetary Fund (IMF)
Downloads 286 (126,176)

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Contingent credit line (CCL), pricing, hedging

Pricing and Hedging of Contingent Credit Lines

Posted: 15 Jun 2005
Salih N. Neftci, Sunil Sharma and Elena Loukoianova
CUNY Baruch College, George Washington University - Elliott School of International Affairs and International Monetary Fund (IMF)

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4.

Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets

IMF Working Paper No. 03/201
Number of pages: 30 Posted: 14 Feb 2006
Andre Oliveira Santos and Salih N. Neftci
International Monetary Fund (IMF) and CUNY Baruch College
Downloads 189 (189,652)

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Fixed income securities, option pricing theory, financial markets

5.

Swap Curve Dynamics in Hong Kong: An Interpretation

HKIMR Working Paper No. 6/2004
Number of pages: 25 Posted: 22 Aug 2007
Salih N. Neftci
CUNY Baruch College
Downloads 162 (216,727)

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6.

Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn from Data?

HKIMR Working Paper No. 1/2006
Number of pages: 19 Posted: 20 Aug 2007
Paul D. McNelis and Salih N. Neftci
Fordham University - Gabelli School of Business and CUNY Baruch College
Downloads 124 (268,265)
Citation 2

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Prediction, Bayesian forecasting, Granger tests of causality, nested models

7.

A Comparison of US and Hong Kong Cap-Floor Volatility Dynamics

HKIMR Working Paper No. 4/2004
Number of pages: 13 Posted: 22 Aug 2007
Paul D. McNelis and Salih N. Neftci
Georgetown University - Department of Economics and CUNY Baruch College
Downloads 52 (446,830)

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Cap-floor volatilities, linear and non-linear principal components

8.

Why Financial Markets Do Not Use Econometric Forecasting: Foreign Exchange Exotics, Central Banks and Position Taking

Manchester School, Vol. 75, pp. 1-20, September 2007
Number of pages: 20 Posted: 15 Aug 2007
Salih N. Neftci
CUNY Baruch College
Downloads 23 (588,865)
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9.

Swap Curve Dynamics Across Markets - Case of US Dollar vs. HK Dollar

Journal of International Financial Markets, Institutions and Money, 2008 (18), No.1, pp79-93
Posted: 08 Mar 2007 Last Revised: 12 Sep 2008
Ying Sophie Huang, Salih N. Neftci and Feng Guo
affiliation not provided to SSRN, CUNY Baruch College and Institute of International Finance

Abstract:

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swap curve, Hong Kong market

10.

Modeling Swap Spreads: The Roles of Credit, Liquidity and Market Volatility

Review of Futures Market, Vol. 14, No. 4, pp. 431-450, 2006
Posted: 08 Mar 2007
Ying Sophie Huang and Salih N. Neftci
affiliation not provided to SSRN and CUNY Baruch College

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swap spreads, liquidity premium, credit risk, market volatility

11.

A Note on a Cointegrating Vector for US Interest Rate Swaps

Investment Management and Financial Innovations, Vol. 3, pp. 31-39, 2004
Posted: 08 Mar 2007
Ying Sophie Huang and Salih N. Neftci
affiliation not provided to SSRN and CUNY Baruch College

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Cointegration, Error correction, Interest rate swap

12.

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Posted: 23 Mar 2001
Turan G. Bali and Salih N. Neftci
Georgetown University - Robert Emmett McDonough School of Business and CUNY Baruch College

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Volatility, extremes, term structure of interest rates