Marti G. Subrahmanyam

New York University - Stern School of Business

Charles E. Merrill Professor

Stern School of Business,

44 West 4th Street, Suite 9-68

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

91

DOWNLOADS
Rank 698

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in Total Papers Downloads

26,564

CITATIONS
Rank 1,143

SSRN RANKINGS

Top 1,143

in Total Papers Citations

477

Scholarly Papers (91)

An Analytical Approach to the Valuation of American Path-Dependent Options

Salomon Center WP S-96-42
Number of pages: 43 Posted: 23 Jan 1997
Jing-Zhi Huang, Bin Gao and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University - Stern School of Business
Downloads 1,678 (7,447)
Citation 2

Abstract:

An Analytic Approach to the Valuation of American Path Dependent Options

NYU Working Paper No. FIN-96-015
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University - Stern School of Business
Downloads 77 (265,746)
Citation 2

Abstract:

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Number of pages: 40 Posted: 16 Jun 2009 Last Revised: 17 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 689 (29,141)
Citation 14

Abstract:

Liquidity, Corporate Bonds, Financial Crises, OTC Markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

NYU Working Paper No. FIN-09-009
Number of pages: 40 Posted: 08 Sep 2009 Last Revised: 16 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 178 (140,768)
Citation 14

Abstract:

liquidity, corporate bonds, financial crises, OTC markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises

NYU Working Paper No. FIN-11-043
Number of pages: 40 Posted: 13 Jan 2012
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 151 (162,843)
Citation 14

Abstract:

Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

HKIMR Working Paper No.29/2012
Number of pages: 68 Posted: 22 Dec 2012
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 387 (61,398)
Citation 14

Abstract:

Credit Default Swaps, Credit Risk, Bankruptcy, Empty Creditor

Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

NYU Working Paper No. 2451/31421
Number of pages: 52 Posted: 13 Jan 2012 Last Revised: 10 Sep 2013
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 308 (80,074)
Citation 14

Abstract:

Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

Number of pages: 67 Posted: 24 Dec 2011 Last Revised: 24 Feb 2012
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 284 (87,883)
Citation 14

Abstract:

Credit default swap, bankruptcy risk, empty creditor, restructuring

4.
Downloads 915 ( 19,710)
Citation 6

The Term Structure of Interest-Rate Futures Prices

EFA 2001 Barcelona Meetings
Number of pages: 68 Posted: 13 Dec 1999
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 822 (22,686)
Citation 6

Abstract:

The Term Structure of Interest-Rate Futures Prices.

NYU Working Paper No. S-DRP-01-11
Number of pages: 45 Posted: 07 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 47 (343,601)
Citation 6

Abstract:

The Term Structure of Interest-Rate Futures Prices

NYU Working Paper No. FIN-01-040
Number of pages: 45 Posted: 03 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 46 (346,744)
Citation 6

Abstract:

Price Dispersion in OTC Markets: A New Measure of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 36 Posted: 04 Mar 2008 Last Revised: 10 Apr 2008
Rainer Jankowitsch, Amrut J. Nashikkar and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 756 (25,568)
Citation 9

Abstract:

liquidity, corporate bonds, market microstructure, OTC markets

Price Dispersion in OTC Markets: A New Measure of Liquidity

NYU Working Paper No. FIN-08-013
Number of pages: 38 Posted: 09 Mar 2009
Marti G. Subrahmanyam, Amrut J. Nashikkar and Rainer Jankowitsch
New York University - Stern School of Business, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)
Downloads 152 (161,864)
Citation 9

Abstract:

Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

EFA 0274
Number of pages: 46 Posted: 30 Mar 2000
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 774 (24,729)
Citation 5

Abstract:

Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-99-048
Number of pages: 46 Posted: 11 Nov 2008
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 71 (278,769)
Citation 5

Abstract:

Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-01-043
Number of pages: 46 Posted: 03 Nov 2008
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 40 (367,385)
Citation 5

Abstract:

7.

Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets

EFMA 2002 London Meetings
Number of pages: 46 Posted: 20 Jun 2002
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 867 (20,418)
Citation 13

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates, hedging

8.

Liquidity Effect in OTC Options Markets: Premium or Discount?

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 05 Dec 2005 Last Revised: 20 Aug 2010
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 856 (21,735)
Citation 7

Abstract:

Liquidity, interest rate options, euro interest rate markets, Euribor market, OTC options markets

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

EFA 2001 Barcelona Meetings
Number of pages: 46 Posted: 19 Mar 2001
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 429 (54,094)
Citation 5

Abstract:

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-00-010
Number of pages: 49 Posted: 03 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 288 (86,502)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-01-044
Number of pages: 49 Posted: 03 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 59 (308,031)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. S-DRP-01-18
Number of pages: 49 Posted: 07 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 58 (310,763)
Citation 5

Abstract:

Interest rate options, interest rate caps/floors, term structure of interest rates

10.
Downloads 819 ( 23,197)
Citation 2

Financial Markets and the Macro Economy

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 04 Mar 2005
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University - Stern School of Business
Downloads 633 (32,738)
Citation 2

Abstract:

Volatility, comovement, information, market efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. FIN-05-003
Number of pages: 49 Posted: 03 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University - Stern School of Business
Downloads 109 (210,858)
Citation 2

Abstract:

Volatility, Comovement, Information, Market Efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. SC-AM-05-03
Number of pages: 49 Posted: 04 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University - Stern School of Business
Downloads 77 (265,746)
Citation 2

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

EFA 2001 Barcelona Meetings
Number of pages: 50 Posted: 04 Jul 2001
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 681 (29,618)
Citation 3

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. S-DRP-01-14
Number of pages: 51 Posted: 07 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 106 (215,200)
Citation 2

Abstract:

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. FIN-01-041
Number of pages: 51 Posted: 03 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 32 (399,004)
Citation 2

Abstract:

Margin Rules, Informed Trading in Derivatives, and Price Dynamics

EFA 2003 Annual Conference Paper No. 508
Number of pages: 33 Posted: 07 Aug 2003
Kose John, Apoorva Koticha, Marti G. Subrahmanyam and Ranga Narayanan
New York University (NYU) - Department of Finance, New York University (NYU), New York University - Stern School of Business and Case Western Reserve University - Weatherhead School of Management
Downloads 626 (33,304)
Citation 16

Abstract:

Margin Rules, Informed Trading in Derivatives and Price Dynamics

NYU Working Paper No. FIN-99-047
Number of pages: 33 Posted: 11 Nov 2008
Kose John, Apoorva Koticha, Ranga Narayanan and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, New York University (NYU), Case Western Reserve University - Weatherhead School of Management and New York University - Stern School of Business
Downloads 36 (382,562)
Citation 16

Abstract:

Margin Rules, Informed Trading in Derivatives, and Price Dynamics

NYU Working Paper No. S-DRP-01-05
Number of pages: 33 Posted: 07 Nov 2008
Kose John, Apoorva Koticha, Ranga Narayanan and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, New York University (NYU), Case Western Reserve University - Weatherhead School of Management and New York University - Stern School of Business
Downloads 30 (408,020)
Citation 16

Abstract:

13.

The Manipulation Potential of Libor and Euribor

Number of pages: 55 Posted: 15 Jan 2013 Last Revised: 12 Nov 2014
Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam
Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 720 (19,262)

Abstract:

money markets, Libor, Euribor, manipulation, collusion

14.
Downloads 692 ( 29,432)
Citation 7

Credit Risk and the Yen Interest Rate Swap Market

Number of pages: 43 Posted: 19 May 2000
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business
Downloads 549 (39,583)
Citation 7

Abstract:

Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. S-DRP-01-08
Number of pages: 43 Posted: 07 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University - Stern School of Business and Waseda University
Downloads 59 (308,031)
Citation 7

Abstract:

Credit Risk, Japanese Government Bonds Market, Swap Pricing

Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. FIN-01-042
Number of pages: 43 Posted: 03 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University - Stern School of Business and Waseda University
Downloads 45 (350,120)
Citation 7

Abstract:

Credit Risk, Japanase Government Bonds market, Swap Pricing

Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. S-CDM-01-08
Number of pages: 43 Posted: 05 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University - Stern School of Business and Waseda University
Downloads 39 (371,122)
Citation 7

Abstract:

Credit Risk, Japenese Goverment Bonds Market, Swap Pricing

15.
Downloads 551 ( 40,037)
Citation 11

Latent Liquidity and Corporate Bond Yield Spreads

NYU Working Paper No. FIN-07-013
Number of pages: 49 Posted: 03 Nov 2008
Amrut J. Nashikkar and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 414 (56,701)
Citation 11

Abstract:

Corporate Bonds, Credit Risk, Credit Default Swaps, Basis, Liquidity, Latent Liquidity

Latent Liquidity and Corporate Bond Yield Spreads

NYU Working Paper No. FIN-06-023
Number of pages: 47 Posted: 03 Nov 2008
Amrut J. Nashikkar and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 137 (176,633)
Citation 11

Abstract:

Market Incompleteness and Super Value Additivity: Implications for Securitization

EFA 2004 Maastricht Meetings Paper No. 2714
Number of pages: 49 Posted: 07 Dec 2003
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business
Downloads 491 (45,632)
Citation 6

Abstract:

Incomplete Markets, Valuation and Spanning, Securitization

Market Incompleteness and Super Value Additivity: Implications for Securitization

NYU Working Paper No. OM-2005-07
Number of pages: 49 Posted: 03 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business
Downloads 53 (324,983)
Citation 6

Abstract:

17.

The Determinants of Recovery Rates in the US Corporate Bond Market

Journal of Financial Economics 114 (1): 155-177
Number of pages: 47 Posted: 04 Sep 2012 Last Revised: 17 Sep 2014
Rainer Jankowitsch, Florian Nagler and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Bocconi University and New York University - Stern School of Business
Downloads 536 (30,725)
Citation 3

Abstract:

credit risk, recovery rate, corporate bonds, liquidity

18.

A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 24 May 2006
Justin S. P. Chan, Dong Hong and Marti G. Subrahmanyam
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and New York University - Stern School of Business
Downloads 518 (39,202)
Citation 7

Abstract:

American Depositary Receipts (ADRs), dual listing, liquidity, turnover, premium

19.

The Valuation of American-style Swaptions in a Two-factor Spot Futures Model

Number of pages: 40 Posted: 15 Jan 2000
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 502 (44,295)

Abstract:

20.

The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

ECONOMIC THEORY, DYNAMICS AND MARKETS: ESSAYS IN HONOR OF RYUZO SATO, K. Mino, T. Negishi, R. Ramachandran, eds., Kluwer Academic Press, 2001
Number of pages: 25 Posted: 18 Jan 2002
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business
Downloads 489 (45,428)
Citation 1

Abstract:

interest rate swaps, interest rate swap spreads, relative value, international linkages, credit risk

The Structure and Formation of Business Groups: Evidence from Korean Chaebols

NYU Working Paper No. FIN-08-012
Number of pages: 57 Posted: 09 Mar 2009 Last Revised: 15 Sep 2011
Heitor Almeida, Sang Yong Park, Marti G. Subrahmanyam and Daniel Wolfenzon
University of Illinois at Urbana-Champaign, Yonsei University, New York University - Stern School of Business and Columbia Business School - Finance and Economics
Downloads 376 (63,481)
Citation 20

Abstract:

Business groups, family firms, firm performance, pyramids, cross-shareholdings, parent company discount

The Structure and Formation of Business Groups: Evidence from Korean Chaebols

NBER Working Paper No. w14983
Number of pages: 48 Posted: 26 May 2009
Heitor Almeida, Sang Yong Park, Marti G. Subrahmanyam and Daniel Wolfenzon
University of Illinois at Urbana-Champaign, Yonsei University, New York University - Stern School of Business and Columbia Business School - Finance and Economics
Downloads 30 (408,020)
Citation 20

Abstract:

Coupon Effects and the Pricing of Japanese Government Bonds An Empirical Analysis

Number of pages: 31 Posted: 13 Oct 1998
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business
Downloads 331 (73,873)
Citation 8

Abstract:

Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis

NYU Working Paper No. FIN-98-078
Number of pages: 44 Posted: 11 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University - Stern School of Business and Waseda University
Downloads 74 (272,184)
Citation 8

Abstract:

Japanese Government Bond Market, Accounting and Tax Effects, Term Structure

Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis

Journal of Fixed Income, 1998
Posted: 21 Oct 1998
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business

Abstract:

The Economic Determinants of Interest Rate Option Smiles

Number of pages: 33 Posted: 12 Apr 2007
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 313 (78,633)
Citation 5

Abstract:

Volatility smiles, interest rate options, euro interest rate markets, Euribor market

The Economic Determinants of Interest Rate Option Smiles

NYU Working Paper No. FIN-07-016
Number of pages: 15 Posted: 03 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 74 (272,184)
Citation 5

Abstract:

24.

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

SAFE Working Paper No. 95
Number of pages: 66 Posted: 01 Apr 2015
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Darden School of Business and Waseda University
Downloads 386 (62,181)

Abstract:

Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market

25.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 117 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 379 (18,648)
Citation 2

Abstract:

Asymmetric Information, Civil Litigations, Insider Trading, Mergers and Acquisitions, Market Microstructure, Equity Options, SEC

26.

The Transmission of Swap Spreads and Volatilities in the International Swap Markets

Number of pages: 37 Posted: 02 Mar 2002
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business
Downloads 365 (64,293)

Abstract:

Interest Rate Swaps, Interest Rate Swap Spreads, Volatility of Swap Spreads, Credit Risk, Transmission of Swap Spreads

27.

Credit Default Swaps – A Survey

Foundations and Trends® in Finance: Vol. 9: No. 1–2, pp 1-196,
Number of pages: 199 Posted: 03 Dec 2014 Last Revised: 13 Jan 2015
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 335 (28,085)

Abstract:

Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

AFA 2011 Denver Meetings Paper
Number of pages: 67 Posted: 26 Mar 2010 Last Revised: 08 Aug 2012
Marti G. Subrahmanyam, Vijaya B. Marisetty and V. Ravi Anshuman
New York University - Stern School of Business, RMIT University and Indian Institute of Management Bangalore
Downloads 231 (109,414)
Citation 1

Abstract:

Private Placement, Preferential Allotment, Business Groups, Underinvestment

Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

Number of pages: 67 Posted: 14 Nov 2010 Last Revised: 08 Aug 2012
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
Indian Institute of Management Bangalore, RMIT University and New York University - Stern School of Business
Downloads 58 (310,763)
Citation 1

Abstract:

Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

Number of pages: 59 Posted: 25 Nov 2010
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
Indian Institute of Management Bangalore, RMIT University and New York University - Stern School of Business
Downloads 32 (399,004)
Citation 1

Abstract:

29.
Downloads 321 ( 76,946)
Citation 21

When Does Strategic Debt-Service Matter?

Number of pages: 45 Posted: 27 May 2002
New York University (NYU) - Department of Finance, New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance and New York University - Stern School of Business
Downloads 251 (100,346)
Citation 21

Abstract:

strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

NYU Working Paper No. FIN-02-013
Number of pages: 45 Posted: 03 Nov 2008
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 33 (394,826)
Citation 21

Abstract:

When Does Strategic Debt-Service Matter?

CEPR Discussion Paper No. 3566
Number of pages: 47 Posted: 13 Nov 2002
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 23 (444,483)
Citation 21
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Abstract:

Strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

NYU Working Paper No. S-CDM-02-03
Number of pages: 45 Posted: 05 Nov 2008
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance
Downloads 14 (496,726)
Citation 21

Abstract:

When Does Strategic Debt Service Matter?

Economic Theory, pp. 1-16, April 2006
Posted: 09 May 2006
New York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and New York University (NYU) - Department of Finance

Abstract:

Strategic debt-service, optimal cash management, liquidity defaults, strategic defaults, yield spreads

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. S-DRP-05-08
Number of pages: 60 Posted: 05 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Mallik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, State Street Global Markets and New York University - Stern School of Business
Downloads 165 (150,723)
Citation 6

Abstract:

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. FIN-05-037
Number of pages: 60 Posted: 03 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Malik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, affiliation not provided to SSRN and New York University - Stern School of Business
Downloads 103 (219,699)
Citation 6

Abstract:

31.

Limited Arbitrage and Liquidity in the Market for Credit Risk

NYU Working Paper No. FIN-08-011
Number of pages: 49 Posted: 09 Mar 2009
Marti G. Subrahmanyam, Amrut J. Nashikkar and Sriketan Mahanti
New York University - Stern School of Business, New York University (NYU) - Department of Finance and State Street Global Markets
Downloads 267 (89,338)
Citation 17

Abstract:

Securitization and Real Investment in Incomplete Markets

McCombs Research Paper Series No. IROM-09-09, Johnson School Research Paper Series No. #17-09
Number of pages: 54 Posted: 23 Jan 2009 Last Revised: 14 Apr 2009
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business
Downloads 147 (166,715)
Citation 2

Abstract:

Securitization and Real Investment in Incomplete Markets

NYU Working Paper No. FIN-09-010
Number of pages: 50 Posted: 08 Sep 2009
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business
Downloads 117 (200,038)
Citation 2

Abstract:

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University - Stern School of Business
Downloads 133 (180,886)
Citation 11

Abstract:

Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University - Stern School of Business
Downloads 125 (190,060)
Citation 11

Abstract:

Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

Indian Institute of Capital Markets 9th Capital Markets Conference Paper
Posted: 17 Jan 2006
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University - Stern School of Business

Abstract:

Initial Public Offering (IPO), underpricing, business groups, certification, tunneling

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

NYU Working Paper No. FIN-99-001
Number of pages: 44 Posted: 04 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 153 (160,974)
Citation 23

Abstract:

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

NYU Working Paper No. FIN-98-068
Number of pages: 66 Posted: 11 Nov 2008
Marti G. Subrahmanyam
New York University - Stern School of Business
Downloads 93 (235,771)
Citation 23

Abstract:

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Posted: 15 Oct 1998
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Abstract:

35.

Transparency and Liquidity in the Structured Product Market

Number of pages: 50 Posted: 01 Sep 2012 Last Revised: 05 Nov 2014
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 239 (65,306)
Citation 2

Abstract:

liquidity, structured products, OTC markets, transparency, TRACE

36.
Downloads 223 (113,755)
Citation 2

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 223 (113,280)
Citation 2

Abstract:

agency conflicts, asset pricing, CDS, credit risk, derivatives, market structure, sovereign debt

Credit Default Swaps: Past, Present, and Future

Annual Review of Financial Economics, Vol. 8, pp. 175-196, 2016
Posted: 18 Nov 2016
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick

Abstract:

37.

Liquidity and Asset Prices in Multiple Markets

NYU Working Paper No. FIN-05-006
Number of pages: 49 Posted: 03 Nov 2008
Justin S. P. Chan and Marti G. Subrahmanyam
Singapore Management University - Lee Kong Chian School of Business and New York University - Stern School of Business
Downloads 221 (106,099)
Citation 9

Abstract:

American Depositary Receipts (ADRs), dual listing, liquidity, turnover

The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-99-002
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University - Stern School of Business
Downloads 118 (198,769)
Citation 7

Abstract:

The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-98-067
Number of pages: 44 Posted: 11 Nov 2008
Marti G. Subrahmanyam and Jing-Zhi Huang
New York University - Stern School of Business and Pennsylvania State University - University Park - Department of Finance
Downloads 66 (290,459)
Citation 7

Abstract:

The Valuation of American Barrier Options using the Decomposition Technique

J of Economic Dynamics and Control, Vol. 24, pp. 1783-1827, 2000
Posted: 08 Feb 2001
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University - Stern School of Business

Abstract:

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 09 Mar 2009
Marti G. Subrahmanyam and Vijaya B. Marisetty
New York University - Stern School of Business and RMIT University
Downloads 105 (216,734)
Citation 11

Abstract:

Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Marti G. Subrahmanyam and Vijaya B. Marisetty
New York University - Stern School of Business and RMIT University
Downloads 65 (292,951)
Citation 11

Abstract:

Initial Public Offering (IPO), Underpricing, Business Groups, Certification

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Marti G. Subrahmanyam
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 96 (230,773)
Citation 3

Abstract:

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, New York University - Stern School of Business and New York University
Downloads 61 (302,818)
Citation 3

Abstract:

41.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

SAFE Working Paper No. 144
Number of pages: 90 Posted: 21 Sep 2016 Last Revised: 07 Jun 2017
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 152 (161,670)

Abstract:

High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

42.

Why Do Interest Rate Options Smile?

NYU Working Paper No. FIN-06-029
Number of pages: 50 Posted: 03 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 151 (159,831)

Abstract:

43.

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

NYU Working Paper No. FIN-94-037
Number of pages: 35 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 123 (184,813)
Citation 1

Abstract:

Correlation Risk, Derivatives, Portfolio Performance, Exchange Risk

44.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 93 Posted: 11 Feb 2015 Last Revised: 01 Nov 2015
Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York University - Stern School of Business
Downloads 122 (99,987)

Abstract:

Asymmetric Information, CDS, Corporate Bonds, Insider Trading, Spinoffs, Market Microstructure, Options, TRACE

45.

Credit Default Swaps and Corporate Cash Holdings

Number of pages: 50 Posted: 11 Jun 2014 Last Revised: 10 Jan 2015
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University - Stern School of Business, The University of Hong Kong - School of Economics and Finance and University of Warwick
Downloads 118 (111,737)
Citation 2

Abstract:

46.

Interest Rate Option Markets: The Role of Liquidity in Volatility Smiles

NYU Working Paper No. S-DRP-04-03
Number of pages: 52 Posted: 05 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 116 (193,045)

Abstract:

Volatility smiles, liquidity, interest rate options, euro interestrate markets, Euribor market

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

NYU Working Paper No. FIN-98-070
Number of pages: 40 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Sandra Peterson and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 113 (205,309)
Citation 2

Abstract:

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Posted: 15 Oct 1998
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

48.

Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate Bonds

NYU Working Paper No. FIN-06-024
Number of pages: 54 Posted: 03 Nov 2008
State Street Global Markets, New York University (NYU) - Department of Finance, New York University - Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 105 (184,813)
Citation 33

Abstract:

49.

The Term Structure of Interest-Rate Future Prices

NYU Working Paper No. FIN-99-045
Number of pages: 51 Posted: 11 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 97 (227,653)
Citation 6

Abstract:

Pricing and Hedging American Options: A Recursive Integration Method

NYU Working Paper No. FIN-95-025
Number of pages: 32 Posted: 11 Nov 2008
Jing-Zhi Huang, Marti G. Subrahmanyam and George C Yu
Pennsylvania State University - University Park - Department of Finance, New York University - Stern School of Business and O'Melveny & Myers LLP
Downloads 88 (244,411)
Citation 30

Abstract:

Pricing and Hedging American Options: A Recursive Integration Method

REVIEW OF FINANCIAL STUDIES, Vol 9 No. 1
Posted: 20 Jul 1998
Jing-Zhi Huang and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance and New York University - Stern School of Business

Abstract:

51.

A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates

NYU Working Paper No. FIN-96-029
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 84 (244,227)

Abstract:

52.

When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel

NYU Working Paper No. FIN-99-003
Number of pages: 30 Posted: 07 Nov 2008
Guntar Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 74 (263,271)
Citation 20

Abstract:

53.

Security Design with Status Concerns

Number of pages: 51 Posted: 29 Jan 2015 Last Revised: 28 Jun 2017
Suleyman Basak, Dmitry Makarov, Alex Shapiro and Marti G. Subrahmanyam
London Business School, ICEF, Higher School of Economics, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 71 (145,991)

Abstract:

Security Design, Status Concerns, Convertible Securities, Hybrid Securities, Internal Financing, External Financing

54.

Illiquidity or Credit Deterioration: A Study of Liquidity in the Us Corporate Bond Market During

NYU Working Paper No. 2451/31418
Number of pages: 40 Posted: 26 Jun 2013
Marti G. Subrahmanyam, Rainer Jankowitsch and Nils Friewald
New York University - Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 68 (203,086)
Citation 11

Abstract:

55.

The Drivers and Pricing of Liquidity in Interest Rate Option Markets

NYU Working Paper No. FIN-05-036
Number of pages: 38 Posted: 03 Nov 2008
Prachi Deuskar and Marti G. Subrahmanyam
Indian School of Business and New York University - Stern School of Business
Downloads 68 (267,471)

Abstract:

56.

The Valuation of American-Style Options on Bonds

NYU Working Paper No. FIN-96-027
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 62 (282,511)
Citation 4

Abstract:

American Bond Options, Stochastic Interest Rates

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-96-025
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 36 (382,562)
Citation 26

Abstract:

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-98-063
Number of pages: 31 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 18 (473,412)
Citation 26

Abstract:

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

Journal of Economic Theory, 1998
Posted: 20 May 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

58.

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

NYU Working Paper No. FIN-94-036
Number of pages: 39 Posted: 11 Nov 2008
Teng-Suan Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 51 (314,509)
Citation 18

Abstract:

59.

Private Placements to Owner-Managers: Theory and Evidence

NYU Working Paper No. 2451/31420
Number of pages: 66 Posted: 13 Jan 2012
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
affiliation not provided to SSRN, RMIT University and New York University - Stern School of Business
Downloads 48 (311,857)

Abstract:

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-95-022
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 26 (427,787)

Abstract:

Background risk, derived utility, sharing rules

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-94-034
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 12 (508,352)

Abstract:

61.

Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps

NYU Working Paper No. FIN-98-069
Number of pages: 43 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Young Ho Eom and Jun Uno
New York University - Stern School of Business, Yonsei University and Waseda University
Downloads 37 (363,642)
Citation 2

Abstract:

Credit Risk, Japanese Government Bonds Market, Swap Pricing

62.

The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1

NYU Working Paper No. FIN-99-078
Number of pages: 40 Posted: 11 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 34 (363,642)

Abstract:

63.

Why are Options Expensive?

NYU Working Paper No. FIN-98-065
Number of pages: 38 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 32 (381,824)

Abstract:

64.

Background Risk and Trading in a Full-Information Rational Expectations Economy

NYU Working Paper No. 2451/31419
Number of pages: 33 Posted: 08 Sep 2009
Richard Stapleton, Marti G. Subrahmanyam and Qi Zeng
University of Manchester - Division of Accounting and Finance, New York University - Stern School of Business and University of Melbourne - Department of Finance
Downloads 29 (385,674)

Abstract:

65.

Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique

NYU Working Paper No. FIN-96-028
Number of pages: 29 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 29 (389,584)
Citation 8

Abstract:

66.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. S-MF-99-02
Number of pages: 26 Posted: 12 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 27 (406,537)
Citation 1

Abstract:

67.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. FIN-01-039
Number of pages: 28 Posted: 03 Nov 2008
G. Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 23 (415,922)
Citation 1

Abstract:

68.

The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy

NYU Working Paper No. FIN-96-037
Number of pages: 29 Posted: 11 Nov 2008
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 19 (446,445)
Citation 2

Abstract:

69.

Who Buys and Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-95-021
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business
Downloads 13 (462,114)
Citation 28

Abstract:

70.

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-98-066
Number of pages: 26 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University - Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 11 (482,828)

Abstract:

71.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. FIN-00-011
Number of pages: 26 Posted: 03 Nov 2008
G unter Franke, R.C Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, affiliation not provided to SSRN and New York University - Stern School of Business
Downloads 6 (512,670)
Citation 1

Abstract:

72.

How Do Insiders Trade?

CFS WP No. 541
Number of pages: 66 Posted: 09 Oct 2016
Patrick Augustin, Menachem Brenner, Gunnar Grass and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University - Stern School of Business
Downloads 0 (85,921)

Abstract:

Insider Trading, Market Microstructure, Corporate Announcements, Extreme Price Movements, Equity Options

73.

Why Do Investors Buy Sovereign Default Insurance?

CFS WP No. 540
Number of pages: 67 Posted: 09 Oct 2016 Last Revised: 15 Mar 2017
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, Desautels Faculty of Management, Stockholm School of Economics - Department of Finance, New York University - Stern School of Business and Darden School of Business
Downloads 0 (269,529)

Abstract:

Banking Regulation, Basel III, Contagion, Credit Default Swaps, OTC, Sovereign Credit Risk, Systemic Risk

74.

The Rules of the Rating Game: Market Perception of Corporate Ratings

Number of pages: 71 Posted: 19 Nov 2015 Last Revised: 04 Jul 2017
Rainer Jankowitsch, Giorgio Ottonello and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Vienna Graduate School of Finance (VGSF) and New York University - Stern School of Business
Downloads 0 (149,091)

Abstract:

ratings, Dodd-Frank Act, corporate bonds, liquidity

75.

Optimal Timing of Inventory Decisions with Price Uncertainty

Number of pages: 31 Posted: 22 Oct 2015 Last Revised: 06 Jun 2017
Vishal Gaur, Nikolay Osadchiy, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Emory University - Goizueta Business School, Indian School of Business and New York University - Stern School of Business
Downloads 0 (175,134)

Abstract:

Stochastic inventory theory, Optimal stopping, Real options

Intermediation and Value Creation in an Incomplete Market: Implications for Securitization

NYU Working Paper No. FIN-05-039
Posted: 03 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business

Abstract:

Intermediation and Value Creation in an Incomplete Market: Implications for Securitization

NYU Working Paper No. S-DRP-05-05
Posted: 05 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Indian School of Business and New York University - Stern School of Business

Abstract:

77.

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Journal of Financial and Quantitative Analysis, No. 38, December 2003
Posted: 17 Nov 2003
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

78.

Stale Prices and Strategies for Trading Mutual Funds

Financial Analysts Journal, Vol. 58, No. 4, 2002
Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University - Stern School of Business

Abstract:

Portfolio Management: trading and execution, Portfolio Management: private client focus

79.

A Simple Technique for the Valuation and Hedging of American Options

Posted: 30 Dec 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

80.

Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates

Posted: 15 Oct 1998
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

81.

The Size Of Background Risk and the Theory Of Risk Bearing

Posted: 29 Aug 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

82.

Who Buys and Who Sells Options: The Role of Options in a General Equilibrium Model with Background Risk

Posted: 20 Jul 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

83.

The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1
Posted: 26 May 1998
Marti G. Subrahmanyam
New York University - Stern School of Business

Abstract:

84.

Evaluating the Risk of a Currency Swap: A Methodology Based on Multivariate-Bionomial Approximation

European Financial Management, 1998
Posted: 08 Mar 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

85.

The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

AUSTRALIAN J. OF MANAGEMENT
Posted: 04 Jul 1997
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

The Risk of a Currency Swap: A Multivariate-Binomial Methodology

Posted: 13 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

The Risk of a Currency Swap: A Multivariate-Binomial Methodology

European Financial Management, Vol. 4, No. 1, March 1998
Posted: 04 May 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

87.

The Valuation of American Options on Bonds

J. OF BANKING AND FINANCE
Posted: 05 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

EUROPEAN FINANCIAL MANAGEMENT, 1995
Posted: 25 Jul 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

Posted: 08 Mar 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

REVIEW OF FINANCIAL STUDIES, Vol 8 No 4
Posted: 05 Sep 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

Posted: 01 Dec 1994
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

Abstract:

90.

The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

Number of pages: 25 Posted: 17 Mar 2001
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University - Stern School of Business
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Citation 1

Abstract:

interest rate swaps, interest rate swap spreads, relative value, international linkages, credit risk

91.

Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase And the Opening Auction of NYSE Euronext Paris

Number of pages: 82
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
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Abstract:

High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery