Sanjay K. Nawalkha

University of Massachusetts Amherst - Isenberg School of Management

Professor and Finance Area Head

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 956

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Top 956

in Total Papers Downloads

21,975

CITATIONS
Rank 6,429

SSRN RANKINGS

Top 6,429

in Total Papers Citations

77

Scholarly Papers (35)

1.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 15 Jun 2016
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 2,778 (2,884)

Abstract:

interest rates, term structure, bonds, fixed income, Excel

2.

A Practical Guide to Arbitrage-Free Pricing Using Martingales

Number of pages: 49 Posted: 22 Jul 2007
Sanjay K. Nawalkha and Natalia Beliaeva
University of Massachusetts Amherst - Isenberg School of Management and Suffolk University - Department of Finance
Downloads 1,443 (8,332)

Abstract:

arbitrage-free pricing, valuation, martingales, Arrow-Debreu prices, riskneutral measure, forward measure, stochastic discount factor, pricing kernel, Radon-Nikodym derivative, Girsanov theorem, Feynman Kac theorem

3.

Common Misunderstandings Concerning Duration and Convexity

Number of pages: 33 Posted: 06 Apr 2007
Timothy Falcon Crack and Sanjay K. Nawalkha
University of Otago - Department of Accountancy and Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 1,216 (12,063)
Citation 1

Abstract:

Duration, Convexity, Bond return, Bond price, yield

4.

Managing Interest Rate Risk: The Next Challenge?

Number of pages: 29 Posted: 26 Apr 2009 Last Revised: 18 Aug 2012
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 1,205 (11,212)
Citation 1

Abstract:

interest rate risk, duration, convexity, key rate, inflation

5.

A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model

Number of pages: 37 Posted: 19 Mar 2008 Last Revised: 15 Jun 2016
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 1,158 (11,749)
Citation 1

Abstract:

Heston, options, stochastic volatility, American options, trees

6.

Multifactor Models for Managing Interest Rate Risk

Number of pages: 17 Posted: 06 Sep 2008
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 948 (16,973)

Abstract:

interest rate, yield curve, fixed income, duration, immunization, portfolio strategy

7.

The LIBOR/SABR Market Models: A Critical Review

Number of pages: 42 Posted: 26 Dec 2009
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 946 (16,498)
Citation 2

Abstract:

LIBOR Market model, LMM, SABR, Affine, Quadratic, Short Rate Models

8.

Is the Arbitrage Pricing Theory Dead?

Number of pages: 41 Posted: 07 May 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 920 (17,928)

Abstract:

Asset pricing, APT, Arbitrage pricing theory, Multibeta CAPM, ICAPM, Factor models, Fama and French model

What Interest Rate Models to Use? Buy Side Versus Sell Side

Number of pages: 23 Posted: 12 Dec 2010 Last Revised: 18 Jun 2011
Sanjay K. Nawalkha and Riccardo Rebonato
University of Massachusetts Amherst - Isenberg School of Management and Royal Bank of Scotland
Downloads 890 (20,333)
Citation 1

Abstract:

Interest rate models, affine, quadratic, LMM, SABR, caps, swaptions

What Interest Rate Models to Use? Buy Side Versus Sell Side

Journal Of Investment Management (JOIM), Third Quarter 2011
Posted: 24 Aug 2011
Sanjay K. Nawalkha and Riccardo Rebonato
University of Massachusetts Amherst - Isenberg School of Management and Royal Bank of Scotland

Abstract:

LMM-SABR model, interest rate models, affine models, quadratic models, caps, swaptions

10.

Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model

Number of pages: 40 Posted: 01 Mar 2007 Last Revised: 15 Jun 2016
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 886 (18,889)
Citation 5

Abstract:

Bond options, Interest Rate Trees, Jumps, Vasicek Model, American options

11.

The Progeny of CAPM

Number of pages: 21 Posted: 01 Mar 2007
Sanjay K. Nawalkha and Christopher Schwarz
University of Massachusetts Amherst - Isenberg School of Management and University of California at Irvine
Downloads 862 (19,968)
Citation 2

Abstract:

APT, CAPM, Multifactor Models, Beta, Asset Pricing

12.

Convexity, Risk, and Returns

Number of pages: 16 Posted: 30 Apr 2007
Nelson Lacey and Sanjay K. Nawalkha
University of Massachusetts at Amherst and University of Massachusetts Amherst - Isenberg School of Management
Downloads 831 (20,060)
Citation 6

Abstract:

Convexity, risk, immunization, bonds, M-Square, hedging

13.

Efficient Trees for CIR and CEV Short Rate Models

Number of pages: 39 Posted: 29 Mar 2007
Sanjay K. Nawalkha and Natalia Beliaeva
University of Massachusetts Amherst - Isenberg School of Management and Suffolk University - Department of Finance
Downloads 773 (21,186)
Citation 3

Abstract:

Trees, Binomial, Trinomial, American options, CIR, Cox Ingersoll and Ross, Constant Elasticity of Variance, Short rate, caps, interest rate

14.

Dynamic Term Structure Modeling: The Preface

Number of pages: 12 Posted: 30 Jul 2007
Sanjay K. Nawalkha, Natalia Beliaeva and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management, Suffolk University - Department of Finance and University of Murcia - Faculty of Business and Economics
Downloads 722 (25,976)

Abstract:

term structure models, caps, swaptions, credit default swaps, credit derivatives

15.

Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models

Number of pages: 73 Posted: 16 May 2007
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 468 (44,791)
Citation 1

Abstract:

Interest rate models, Term structure models, Jumps, CIR, CEV, Trees

16.

Interest Rate Sensitivities of Bond Risk Measures

Financial Analysts Journal, Vol. 56, No. 1, 2000
Number of pages: 32 Posted: 02 Feb 2009
Timothy Falcon Crack and Sanjay K. Nawalkha
University of Otago - Department of Accountancy and Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 418 (52,189)
Citation 4

Abstract:

bond risk measures, duration, convexity, term structure, M-square

17.

The M-Vector Model: Derivation and Testing of Extensions to M-Square

Number of pages: 15 Posted: 12 Apr 2007
Sanjay K. Nawalkha and Donald R. Chambers
University of Massachusetts Amherst - Isenberg School of Management and Lafayette College - College of Economics and Business
Downloads 366 (54,683)
Citation 9

Abstract:

Interest Rate Risk, Duration, Convexity, M-Square, M-Vector, Duration Vector

An Improved Approach to Computing Implied Volatility

Number of pages: 20 Posted: 02 Feb 2009
Donald R. Chambers and Sanjay K. Nawalkha
Lafayette College - College of Economics and Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 365 (66,309)
Citation 4

Abstract:

An Improved Approach to Computing Implied Volatility

Financial Review, August 2001 Symposium Issue
Posted: 08 Nov 2002
Donald R. Chambers and Sanjay K. Nawalkha
Lafayette College - College of Economics and Business and University of Massachusetts Amherst - Isenberg School of Management

Abstract:

19.

Arbitrage and Equilibrium Foundations of the Duration Risk Measure

Number of pages: 29 Posted: 09 Apr 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 305 (78,941)

Abstract:

Interest Rate Risk, Systematic Risk, Duration, Convexity, Bond beta, ICAPM, HJM

20.

Generalized M-Vector Models for Hedging Interest Rate Risk

Number of pages: 16 Posted: 09 Jul 2007
Sanjay K. Nawalkha, Gloria M. Soto and Jun Zhang
University of Massachusetts Amherst - Isenberg School of Management, University of Murcia - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 300 (80,097)
Citation 4

Abstract:

immunization, duration, interest rate, risk management, fixed income

21.

Simple Formulas for Financial Analysts for Pricing Zero-Dividend and Positive-Dividend Stocks

Number of pages: 24 Posted: 30 Mar 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 295 (80,971)

Abstract:

Stock Valuation; Dividend discount model, Franchise factor model, Residual income model, EVA model.

22.

The LIBOR Market Model: A Critical Review

Number of pages: 65 Posted: 29 Apr 2009
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 274 (89,118)
Citation 1

Abstract:

LIBOR market model, affine and quadratic models, interest rate models, caps, swaptions

23.

An Improved Immunization Strategy: M-Absolute

Number of pages: 21 Posted: 30 Jan 2009
Sanjay K. Nawalkha and Donald R. Chambers
University of Massachusetts Amherst - Isenberg School of Management and Lafayette College - College of Economics and Business
Downloads 274 (84,065)
Citation 8

Abstract:

Duration, Convexity, M-Absolute, M-Square, Interest Rate Risk, Hedging

24.

A New Taxonomy of the Dynamic Term Structure Models

Number of pages: 44 Posted: 11 Sep 2008 Last Revised: 20 Sep 2010
Sanjay K. Nawalkha, Natalia Beliaeva and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management, Suffolk University - Department of Finance and University of Murcia - Faculty of Business and Economics
Downloads 272 (93,430)
Citation 4

Abstract:

Affine models, quadratic models, HJM models, LIBOR/SABR models, Single-Plus models, Double-Plus models, Triple-Plus models, new taxonomy

25.

The Binomial Model and Risk Neutrality: Some Important Details

Number of pages: 13 Posted: 21 Sep 2008
Sanjay K. Nawalkha and Donald R. Chambers
University of Massachusetts Amherst - Isenberg School of Management and Lafayette College - College of Economics and Business
Downloads 264 (91,947)
Citation 2

Abstract:

binomial model, risk-neutrality, martingale valuation, options, trees

26.

The Duration Vector: a Continuous-Time Extension to Default-Free Interest Rate Contingent Claims

Number of pages: 30 Posted: 30 Apr 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 264 (85,353)
Citation 5

Abstract:

Interest rate risk, duration vector, options, calls, puts, callable bonds, puttable bonds, hedging, Merton

27.

A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate Liabilities

Financial Management Association International Annual Meeting, October 1995, New York
Number of pages: 28 Posted: 30 Apr 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 240 (98,326)
Citation 4

Abstract:

Interest rate risk, stocks, bonds, duration, Merton, Vasicek

28.

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

Number of pages: 53 Posted: 28 Dec 2009
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 150 (145,600)
Citation 1

Abstract:

American options, numerical methods, trees, Stocahstic volatility, jumps, SVJ

29.

Closed-Form Solutions of Convexity and M-Square

Number of pages: 7 Posted: 23 May 2009
Sanjay K. Nawalkha, Nelson Lacey and Thomas Schneeweis
University of Massachusetts Amherst - Isenberg School of Management, University of Massachusetts at Amherst and University of Massachusetts Amherst - Isenberg School of Management
Downloads 136 (163,892)

Abstract:

bond convexity, M-square, interest rates, immunization, interest rate risk

30.

Closed-Form Solutions of Higher Order Duration Measures

Number of pages: 7 Posted: 14 May 2009
Sanjay K. Nawalkha and Nelson Lacey
University of Massachusetts Amherst - Isenberg School of Management and University of Massachusetts at Amherst
Downloads 135 (172,489)
Citation 1

Abstract:

Duration, interest rate hedging, immunization, term structure, bonds

A Multibeta Representation Theorem for Linear Asset Pricing Theories

American Finance Association Meeting, Chicago, January 1998
Number of pages: 34 Posted: 30 Apr 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 122 (195,234)
Citation 5

Abstract:

Asset pricing, APT, Multibeta CAPM, Factor models, Fama and French

A Multibeta Representation Theorem for Linear Asset Pricing Theories

Journal of Financial Economics, Vol. 46, No. 3, pp. 357-381, 1997
Posted: 23 Mar 2007
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management

Abstract:

Asset pricing, APT, Multibeta CAPM, Factor models

32.

Pricing American Interest Rate Options Under the Jump-Extended Constant-Elasticity-of-Variance Short Rate Models

Number of pages: 49 Posted: 27 Jan 2011 Last Revised: 15 Jun 2011
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 115 (173,449)
Citation 1

Abstract:

CEV Short Rate Models, American interest rate options, CIR short rate model, Jump-diffusion processes, Longstaff and Schwartz LSM approach

33.

Face Value Convergence for Stochastic Bond Price Processes: A Note on Merton's Partial Equilibrium Option Pricing Model

Number of pages: 14 Posted: 25 Apr 2009
Sanjay K. Nawalkha
University of Massachusetts Amherst - Isenberg School of Management
Downloads 102 (214,307)
Citation 1

Abstract:

Bond options, Face value convergence, Contingent claims

34.

Pricing Eurodollar/Euribor Futures Using Preference-Free Multifactor Affine and Quadratic Models

Posted: 07 May 2007 Last Revised: 15 Jun 2016
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

Eurodollar futures, Euribor futures, Interest rate models, Term structure models, Affine, Quadratic, Convexity bias

35.

Pricing Credit Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models

Posted: 07 May 2007 Last Revised: 15 Jun 2016
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

credit default swaps, CDS, reduced form models, interest rate models, term structure models, affine, quadratic