Andrea Gamba

University of Warwick - Finance Group

Professor

Scarman Road

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 1,567

in Total Papers Downloads

15,377

CITATIONS
Rank 6,107

SSRN RANKINGS

Top 6,107

in Total Papers Citations

82

Scholarly Papers (24)

1.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Andrea Gamba
University of Warwick - Finance Group
Downloads 4,536 (1,111)
Citation 9

Abstract:

2.

The Value of Financial Flexibility

Journal of Finance, Forthcoming, AFA 2006 Boston Meetings Paper
Number of pages: 57 Posted: 06 Mar 2005
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 1,693 (6,158)
Citation 49

Abstract:

Financial flexibility, dynamic capital structure, real options, corporate liquidity

3.

Some Important Issues Involving Real Options

Multinational Finance Journal, Forthcoming
Number of pages: 45 Posted: 02 Feb 2005
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 1,087 (13,885)
Citation 2

Abstract:

Real Options, Capital Budgeting, Numerical Methods

4.

Product Development and Market Expansion: A Real Options Model

Financial Management, Forthcoming
Number of pages: 51 Posted: 26 Mar 2003
Andrea Gamba and Alberto Micalizzi
University of Warwick - Finance Group and SDA Bocconi
Downloads 993 (16,079)
Citation 1

Abstract:

Real options, Option interactions, Sequential development projects, Binomial lattices

5.

Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

Management Science, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-106
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 11 Mar 2014
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 933 (16,152)
Citation 2

Abstract:

Risk Management, Hedging, Liquidity, Flexibility

6.

An Improved Binomial Lattice Method for Multi-Dimensional Options

Applied Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 12 Sep 2005
Andrea Gamba and Lenos Trigeorgis
University of Warwick - Finance Group and University of Cyprus - Department of Public and Business Administration
Downloads 545 (37,350)
Citation 1

Abstract:

Option pricing, binomial lattice, multi-dimensional diffusion

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), Forthcoming, Georgia Tech Scheller College of Business Research Paper No. 2015-09
Number of pages: 71 Posted: 17 Dec 2014 Last Revised: 05 Dec 2016
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 290 (81,263)

Abstract:

credit default swaps, CDS, empty creditor, restructuring, bankruptcy

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), 2016, WBS Finance Group Research Paper
Number of pages: 71 Posted: 20 Feb 2015 Last Revised: 05 Dec 2016
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 182 (130,999)

Abstract:

credit default swaps, CDS, empty creditor, restructuring, bankruptcy

8.

Valuing Corporate Financing Strategies

EFA 2009 Bergen Meetings Paper
Number of pages: 45 Posted: 17 Mar 2008 Last Revised: 11 Mar 2014
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 426 (49,155)
Citation 3

Abstract:

9.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 11 Mar 2014
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Northwestern University - Kellogg School of Management
Downloads 410 (52,856)
Citation 1

Abstract:

Real options, Modularity, Least Squares Monte Carlo

10.

Structural Estimation of Real Options Models

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 42 Posted: 08 Jun 2006 Last Revised: 11 Mar 2014
Andrea Gamba and Matteo Tesser
University of Warwick - Finance Group and Polytechnic University of Catalonia (UPC)
Downloads 399 (55,584)
Citation 3

Abstract:

Real options, Markov Decision Processes, Discrete Decision Processes, Monte Carlo methods

11.

Investment and Credit Risk: A Structural Approach

Number of pages: 44 Posted: 20 Nov 2006
Andrea Gamba, Mamen Aranda and Daniele Poiega
University of Warwick - Finance Group, University of Navarra - Business and PricewaterhouseCoopers LLP
Downloads 382 (57,627)

Abstract:

dynamic capital structure, investment, credit risk, underinvestment

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Number of pages: 51 Posted: 18 Feb 2011 Last Revised: 11 Mar 2014
International Monetary Fund and CESifo, University of Warwick - Finance Group and University Ca' Foscari of Venice
Downloads 230 (104,220)
Citation 1

Abstract:

Capital requirements, liquidity requirements, Taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

European Banking Center Discussion Paper No. 2011-025, CentER Working Paper Series No. 2011-090
Number of pages: 51 Posted: 02 Sep 2011 Last Revised: 11 Mar 2014
International Monetary Fund and CESifo, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 93 (224,104)
Citation 1

Abstract:

Capital requirements, liquidity requirements, taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Number of pages: 51 Posted: 11 Mar 2012 Last Revised: 11 Mar 2014
International Monetary Fund and CESifo, University of Warwick - Finance Group and University Ca' Foscari of Venice
Downloads 43 (339,227)
Citation 1

Abstract:

Bank Regulation, Taxation, Dynamic Banking Model

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Bundesbank Discussion Paper No. 10/2012
Number of pages: 68 Posted: 21 Jun 2016
International Monetary Fund and CESifo, University of Warwick - Finance Group and University Ca' Foscari of Venice
Downloads 14 (474,096)
Citation 1

Abstract:

Bank Regulation, Taxation, Dynamic Banking Model

13.

Dynamic Capacity Choice, Dynamic Capital Structure, and Credit Risk

EFA 2009 Bergen Meetings Paper
Number of pages: 69 Posted: 08 Jul 2008 Last Revised: 11 Mar 2014
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 372 (58,483)

Abstract:

dynamic capital structure, investment, credit risk, agency costs

14.
Downloads 336 ( 69,347)
Citation 5

Investment Under Uncertainty, Debt and Taxes

Economic Notes, Forthcoming
Number of pages: 29 Posted: 06 Mar 2005 Last Revised: 11 Mar 2014
Andrea Gamba, Gordon Sick and Mamen Aranda
University of Warwick - Finance Group, University of Calgary - Haskayne School of Business and University of Navarra - Business
Downloads 334 (69,221)
Citation 5

Abstract:

Investment under uncertainty, real options, capital structure, corporate and personal taxation, cost of capital, tax-adjusted discount rates

Investment Under Uncertainty, Debt and Taxes

Economic Notes, Vol. 37, Issue 1, pp. 31-58, February 2008
Number of pages: 28 Posted: 24 Apr 2008
Andrea Gamba, Gordon Sick and Mamen Aranda
University of Warwick - Finance Group, University of Calgary - Haskayne School of Business and University of Navarra - Business
Downloads 2 (540,023)
Citation 5

Abstract:

15.

How Effectively Can Debt Covenants Alleviate Financial Agency Problems?

Number of pages: 58 Posted: 07 Jul 2012 Last Revised: 11 Mar 2014
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 329 (56,936)

Abstract:

Dynamic corporate finance, Debt covenants

16.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013
Number of pages: 46 Posted: 13 May 2011 Last Revised: 11 Mar 2014
Enzo Fanone, Andrea Gamba and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 250 (87,430)
Citation 2

Abstract:

Electricity, Lèvy processes, Price spikes, Negative prices

17.

Microprudential Regulation in a Dynamic Model of Banking

Review of Financial Studies, Forthcoming, AEA 2014 Philadelphia Meeeting Paper
Number of pages: 57 Posted: 13 May 2013 Last Revised: 11 Mar 2014
International Monetary Fund and CESifo, University of Warwick - Finance Group and University Ca' Foscari of Venice
Downloads 219 (91,734)

Abstract:

Bank Regulation, Dynamic Banking Model

18.

The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note

Finance Research Letters, pp. 213-220, December 2008
Number of pages: 17 Posted: 04 Jan 2008 Last Revised: 11 Mar 2014
Andrea Gamba and Riccardo Rigon
University of Warwick - Finance Group and affiliation not provided to SSRN
Downloads 205 (113,503)

Abstract:

19.

Firm Policies and the Cross-Section of CDS Spreads

Number of pages: 62 Posted: 31 Jul 2012 Last Revised: 11 Mar 2014
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 199 (105,601)

Abstract:

CDS, leverage, credit risk, default

20.

The Agency Credit Spread

Number of pages: 62 Posted: 01 Jan 2014 Last Revised: 13 May 2015
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 90 (165,612)

Abstract:

corporate credit risk, credit spread, structural models, debt-equity agency conflicts

21.

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

IMF Working Paper No. 12/72
Number of pages: 55 Posted: 25 Mar 2012
affiliation not provided to SSRN, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 77 (183,361)
Citation 1

Abstract:

Bank Regulation, Taxation, Dynamic Banking Model, Capital, Credit Risk, Economic Models, Liquidity

22.

Some Important Issues Involving Real Options: An Overview

Multinational Finance Journal, Vol. 14, No. 1/2, p. 73-123, 2010
Number of pages: 51 Posted: 26 Jun 2015
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 17 (395,849)
Citation 2

Abstract:

Real Options; Capital Budgeting; Numerical Methods

23.

Inventory and Corporate Risk Management

WBS Finance Group Research Paper
Number of pages: 56 Posted: 18 Sep 2015 Last Revised: 20 Feb 2016
Marco Bianco and Andrea Gamba
University of Bologna - Department of Management and University of Warwick - Finance Group
Downloads 12 (182,259)

Abstract:

Corporate Risk Management, Inventory, Hedging, Cash Holdings

24.

Growth Options and Credit Risk

WBS Finance Group Research Paper
Number of pages: 77 Posted: 11 Jul 2016 Last Revised: 01 Feb 2017
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 0 (284,333)

Abstract:

growth options, capital structure, credit risk, structural estimation