Sanjay K. Nawalkha

University of Massachusetts Amherst - Isenberg School of Management

Professor of Finance

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

22

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15,610

SSRN CITATIONS
Rank 31,331

SSRN RANKINGS

Top 31,331

in Total Papers Citations

12

CROSSREF CITATIONS

15

Scholarly Papers (22)

1.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 06 Nov 2020
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 3,166 (4,407)

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 1,822 (10,913)

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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: 06 Nov 2020
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 1,461 (15,523)
Citation 2

Abstract:

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

4.

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 1,124 (23,084)
Citation 5

Abstract:

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

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 1,115 (22,979)
Citation 4

Abstract:

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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

6.

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 1,079 (24,521)

Abstract:

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

7.

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 1,070 (24,813)

Abstract:

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

8.

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 1,056 (25,308)

Abstract:

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

9.

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 1,006 (27,131)
Citation 5

Abstract:

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

10.

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 986 (27,922)
Citation 2

Abstract:

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APT, CAPM, Multifactor Models, Beta, Asset Pricing

11.

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 348 (105,296)

Abstract:

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

12.

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 303 (122,558)

Abstract:

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

13.

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 285 (130,711)
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

14.

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 192 (191,701)
Citation 1

Abstract:

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

15.

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 161 (223,192)

Abstract:

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

16.

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: 06 Nov 2020
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 159 (225,631)
Citation 4

Abstract:

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

17.

A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims

Number of pages: 117 Posted: 27 Oct 2020
Sanjay K. Nawalkha and Xiaoyang Zhuo
University of Massachusetts Amherst - Isenberg School of Management and Beijing Institute of Technology - School of Management and Economics
Downloads 144 (244,857)

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equivalent expectation measure, R measure, RT1 measure, risk-neutral measure, forward measure, contingent claims, expected returns

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 133 (261,622)
Citation 4

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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

19.

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

20.

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

21.

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

Abstract:

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

22.

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

Abstract:

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