Sanjay K. Nawalkha

University of Massachusetts Amherst - Isenberg School of Management

Professor and Finance Area Head

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

34

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Top 1,649

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19,785

SSRN CITATIONS
Rank 22,071

SSRN RANKINGS

Top 22,071

in Total Papers Citations

12

CROSSREF CITATIONS

26

Scholarly Papers (34)

1.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 11 Nov 2019
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 3,118 (3,768)

Abstract:

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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 1,758 (9,860)

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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.

Managing Interest Rate Risk: The Next Challenge?

Number of pages: 29 Posted: 26 Apr 2009 Last Revised: 11 Nov 2019
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 1,413 (13,954)
Citation 1

Abstract:

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

4.

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 1,356 (14,883)
Citation 2

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Duration, Convexity, Bond return, Bond price, yield

5.

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 1,091 (20,642)
Citation 5

Abstract:

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

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 1,058 (21,555)

Abstract:

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

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 1,050 (21,402)

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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

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

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 1,044 (21,998)

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

9.

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 1,011 (23,115)

Abstract:

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

10.

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 978 (24,259)
Citation 4

Abstract:

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

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 965 (24,743)
Citation 2

Abstract:

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APT, CAPM, Multifactor Models, Beta, Asset Pricing

12.

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 474 (64,005)

Abstract:

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

13.

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 Chartered Alternative Investment Analyst Association (CAIA)
Downloads 469 (64,837)
Citation 2

Abstract:

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

14.

An Improved Approach to Computing Implied Volatility

Number of pages: 20 Posted: 02 Feb 2009
Donald R. Chambers and Sanjay K. Nawalkha
Chartered Alternative Investment Analyst Association (CAIA) and University of Massachusetts Amherst - Isenberg School of Management
Downloads 375 (84,526)
Citation 1

Abstract:

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15.

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 325 (99,383)

Abstract:

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

16.

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 323 (100,097)

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

17.

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 322 (100,466)

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

18.

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 Chartered Alternative Investment Analyst Association (CAIA)
Downloads 321 (100,798)
Citation 1

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

19.

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 320 (101,170)
Citation 1

Abstract:

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

20.

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 290 (112,518)

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

21.

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 Chartered Alternative Investment Analyst Association (CAIA)
Downloads 290 (112,518)

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

22.

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 280 (116,786)
Citation 6

Abstract:

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

23.

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 267 (122,826)

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

24.

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 188 (172,357)
Citation 1

Abstract:

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

25.

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 158 (200,627)

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

26.

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 Aug 2019
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 154 (204,937)
Citation 6

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

27.

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 149 (210,638)
Citation 1

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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 128 (238,471)
Citation 3

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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

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Asset pricing, APT, Multibeta CAPM, Factor models

29.

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 110 (265,414)

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Bond options, Face value convergence, Contingent claims

30.

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

Posted: 21 May 2019
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management

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Heston, options, stochastic volatility, American options, trees

31.

Yields versus Expected Returns of Corporate Bonds: Some Unexpected Results

Posted: 23 Oct 2017
Natalia Beliaeva, Rachel Koh and Sanjay K. Nawalkha
Suffolk University - Department of Finance, University of Massachusetts Amherst, Isenberg School of Management, Department of Finance and University of Massachusetts Amherst - Isenberg School of Management

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Bonds, Yields, Expected Returns, Merton, Collin-Dufresne, Callable, Convertible

32.

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

Posted: 07 May 2007 Last Revised: 15 Aug 2019
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

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

33.

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

Posted: 07 May 2007 Last Revised: 15 Aug 2019
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

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

34.

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

Posted: 01 Mar 2007 Last Revised: 15 Aug 2019
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

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

Other Papers (4)

Total Downloads: 1,371
1.

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 796 (29,825)

Abstract:

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

2.

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 522 (52,286)

Abstract:

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

3.

Managing Interest Rate Risk

Number of pages: 78 Posted: 26 Mar 2011 Last Revised: 12 Nov 2019
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 53

Abstract:

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Interest Rate Risk, Duration, Convexity, Demand Deposits, Term Structure

4.

An Improved Approach to Computing Implied Volatility

Financial Review, August 2001 Symposium Issue
Posted: 08 Nov 2002
Donald R. Chambers and Sanjay K. Nawalkha
Chartered Alternative Investment Analyst Association (CAIA) and University of Massachusetts Amherst - Isenberg School of Management

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