Marti G. Subrahmanyam

New York University (NYU) - Department of Finance

Charles E. Merrill Professor

Stern School of Business,

44 West 4th Street, Suite 9-68

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

98

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CITATIONS
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322

Scholarly Papers (98)

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 (NYU) - Department of Finance
Downloads 1,698 (9,162)
Citation 2

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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 (NYU) - Department of Finance
Downloads 79 (306,387)

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2.

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

Number of pages: 48 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 (NYU) - Department of Finance
Downloads 1,478 (11,652)
Citation 28

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

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 (NYU) - Department of Finance
Downloads 720 (33,383)
Citation 5

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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 (NYU) - Department of Finance
Downloads 188 (158,619)
Citation 75

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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 (NYU) - Department of Finance
Downloads 154 (189,141)
Citation 2

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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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 416 (67,830)
Citation 8

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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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 327 (89,958)

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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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 309 (95,831)
Citation 63

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Credit default swap, bankruptcy risk, empty creditor, restructuring

5.
Downloads 1,036 ( 20,165)
Citation 3

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 (NYU) - Department of Finance
Downloads 1,036 (19,798)
Citation 1

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money markets, Libor, Euribor, manipulation, collusion

The Manipulation Potential of Libor and Euribor

European Financial Management, Vol. 23, Issue 4, pp. 604-647, 2017
Number of pages: 44 Posted: 02 Oct 2017
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 (NYU) - Department of Finance
Downloads 0
Citation 4
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money markets, Libor, Euribor, manipulation, collusion

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 (NYU) - Department of Finance
Downloads 819 (28,007)
Citation 11

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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 (NYU) - Department of Finance, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)
Downloads 161 (182,093)
Citation 29

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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 (NYU) - Department of Finance
Downloads 924 (23,906)
Citation 19

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

8.
Downloads 923 ( 23,955)
Citation 4

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 (NYU) - Department of Finance
Downloads 829 (27,504)
Citation 5

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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 (NYU) - Department of Finance
Downloads 47 (400,555)

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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 (NYU) - Department of Finance
Downloads 47 (400,555)

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 790 (29,365)
Citation 8

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 76 (313,638)

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 44 (411,781)

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10.

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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 885 (25,559)
Citation 53

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11.

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 (NYU) - Department of Finance
Downloads 882 (25,594)
Citation 10

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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 (NYU) - Department of Finance
Downloads 433 (64,618)
Citation 4

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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 (NYU) - Department of Finance
Downloads 292 (101,884)

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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 (NYU) - Department of Finance
Downloads 63 (348,143)

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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 (NYU) - Department of Finance
Downloads 60 (356,961)

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

13.
Downloads 846 ( 27,141)
Citation 4

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 (NYU) - Department of Finance
Downloads 646 (38,586)
Citation 5

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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 (NYU) - Department of Finance
Downloads 117 (235,584)

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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 (NYU) - Department of Finance
Downloads 83 (297,308)

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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 (NYU) - Department of Finance
Downloads 689 (35,473)
Citation 7

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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 (NYU) - Department of Finance
Downloads 111 (244,769)

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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 (NYU) - Department of Finance
Downloads 33 (458,317)

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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 (NYU) - Department of Finance and Case Western Reserve University - Weatherhead School of Management
Downloads 656 (37,816)

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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 (NYU) - Department of Finance
Downloads 39 (431,799)
Citation 2

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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 (NYU) - Department of Finance
Downloads 32 (463,088)

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16.

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 (NYU) - Department of Finance
Downloads 732 (33,122)
Citation 30

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credit risk, recovery rate, corporate bonds, liquidity

17.
Downloads 711 ( 34,437)
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 (NYU) - Department of Finance
Downloads 558 (46,973)
Citation 13

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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 (NYU) - Department of Finance and Waseda University
Downloads 59 (360,007)

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Credit Risk, Japanese 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 (NYU) - Department of Finance and Waseda University
Downloads 48 (396,955)

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Credit Risk, Japenese Goverment 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 (NYU) - Department of Finance and Waseda University
Downloads 46 (404,216)

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Credit Risk, Japanase Government Bonds market, Swap Pricing

18.

How Do Insiders Trade?

CFS Working Paper, No. 541
Number of pages: 66 Posted: 09 Oct 2016 Last Revised: 18 Jan 2018
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 (NYU) - Department of Finance
Downloads 658 (38,310)
Citation 1

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

19.

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
Independent, Singapore Management University - Lee Kong Chian School of Business and New York University (NYU) - Department of Finance
Downloads 588 (44,481)
Citation 13

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

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 (NYU) - Department of Finance
Downloads 430 (65,168)

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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 (NYU) - Department of Finance
Downloads 140 (204,676)

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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance
Downloads 497 (54,375)
Citation 8

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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance
Downloads 53 (379,447)

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22.

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 (NYU) - Department of Finance
Downloads 525 (51,366)

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

23.

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 (NYU) - Department of Finance
Downloads 515 (52,611)
Citation 6

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

SAFE Working Paper No. 95
Number of pages: 66 Posted: 01 Apr 2015 Last Revised: 17 Apr 2019
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 465 (59,847)
Citation 11

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

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 (NYU) - Department of Finance
Downloads 353 (82,405)
Citation 1

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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 (NYU) - Department of Finance and Waseda University
Downloads 75 (316,127)

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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 (NYU) - Department of Finance

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26.

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 (NYU) - Department of Finance
Downloads 418 (68,061)
Citation 12

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liquidity, structured products, OTC markets, transparency, TRACE

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 (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 384 (74,641)
Citation 55

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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 Last Revised: 29 Oct 2014
Heitor Almeida, Sang Yong Park, Marti G. Subrahmanyam and Daniel Wolfenzon
University of Illinois at Urbana-Champaign, Yonsei University, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 33 (458,317)

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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 (NYU) - Department of Finance
Downloads 327 (89,958)

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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 (NYU) - Department of Finance
Downloads 79 (306,387)
Citation 1

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29.

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 (NYU) - Department of Finance
Downloads 378 (76,644)
Citation 3

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

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 (NYU) - Department of Finance, RMIT University and Indian Institute of Management Bangalore
Downloads 240 (125,234)

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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 (NYU) - Department of Finance
Downloads 64 (345,246)

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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 (NYU) - Department of Finance
Downloads 33 (458,317)

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31.

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 (NYU) - Department of Finance
Downloads 330 (89,659)
Citation 1

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

32.
Downloads 330 ( 89,659)
Citation 15

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 (NYU) - Department of Finance
Downloads 256 (117,186)
Citation 2

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
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Citation 19
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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 16 (558,069)

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Finance

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

33.
Downloads 309 ( 96,364)
Citation 12

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 309 (95,831)
Citation 12

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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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

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

Number of pages: 77 Posted: 19 Nov 2015 Last Revised: 02 Sep 2018
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 (NYU) - Department of Finance
Downloads 303 (97,940)
Citation 3

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ratings, Dodd-Frank Act, corporate bonds, liquidity

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

Number of pages: 77 Posted: 19 Nov 2015
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 (NYU) - Department of Finance
Downloads 1 (675,099)
Citation 4

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ratings, Dodd-Frank Act, corporate bonds, liquidity

35.

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 (NYU) - Department of Finance, New York University (NYU) - Department of Finance and State Street Global Markets
Downloads 298 (100,184)
Citation 28

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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 (NYU) - Department of Finance
Downloads 173 (171,016)

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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 (NYU) - Department of Finance
Downloads 111 (244,769)

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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 (NYU) - Department of Finance
Downloads 150 (193,434)

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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 (NYU) - Department of Finance
Downloads 126 (222,664)

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance
Downloads 176 (168,437)
Citation 35

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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 (NYU) - Department of Finance
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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 (NYU) - Department of Finance

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39.

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 (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 274 (109,698)
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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance
Downloads 150 (193,434)
Citation 1

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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance
Downloads 120 (231,120)

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41.

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
Independent and New York University (NYU) - Department of Finance
Downloads 253 (119,233)

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

42.

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
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 250 (120,649)
Citation 1

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

43.

Security Design with Status Concerns

Number of pages: 46 Posted: 29 Jan 2015 Last Revised: 06 Jun 2019
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 (NYU) - Department of Finance
Downloads 239 (126,273)
Citation 1

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

44.

Sourcing Strategies for Online Retail Marketplaces

Number of pages: 30 Posted: 22 Oct 2015 Last Revised: 21 Apr 2018
Vishal Gaur, Nikolay Osadchiy, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Emory University - Goizueta Business School, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance
Downloads 215 (140,017)
Citation 1

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Supply Chain Management, Stochastic inventory theory, Optimal stopping.

Credit Default Swaps Around the World: Investment and Financing Effects

Number of pages: 74 Posted: 22 Apr 2018 Last Revised: 05 Mar 2019
Söhnke M. Bartram, Jennifer S. Conrad, Jongsub Lee and Marti G. Subrahmanyam
Warwick Business School - Department of Finance, University of North Carolina Kenan-Flagler Business School, University of Florida - Warrington College of Business Administration and New York University (NYU) - Department of Finance
Downloads 142 (202,339)
Citation 3

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Credit default swaps, CDS, investment policy, financing policy, creditor rights, property rights, private credit, ownership concentration

Credit Default Swaps Around the World: Investment and Financing Effects

Kenan Institute of Private Enterprise Research Paper No. 18-21
Number of pages: 74 Posted: 28 Aug 2018 Last Revised: 05 Mar 2019
Söhnke M. Bartram, Jennifer S. Conrad, Jongsub Lee and Marti G. Subrahmanyam
Warwick Business School - Department of Finance, University of North Carolina Kenan-Flagler Business School, University of Florida - Warrington College of Business Administration and New York University (NYU) - Department of Finance
Downloads 59 (360,007)
Citation 2

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Credit Default Swaps, Cds, Investment Policy, Financing Policy, Creditor Rights, Property Rights, Private Credit, Ownership Concentration

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 (NYU) - Department of Finance
Downloads 120 (231,159)
Citation 7

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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 (NYU) - Department of Finance and Pennsylvania State University - University Park - Department of Finance
Downloads 70 (328,804)

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance and RMIT University
Downloads 111 (244,817)
Citation 8

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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 (NYU) - Department of Finance and RMIT University
Downloads 67 (336,879)

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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, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 100 (263,477)

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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, New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 64 (345,246)

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49.

Central Bank-Driven Mispricing

SAFE Working Paper No. 226
Number of pages: 61 Posted: 27 Aug 2018 Last Revised: 29 Oct 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 163 (179,980)
Citation 3

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Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage

50.

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 (NYU) - Department of Finance
Downloads 158 (184,799)

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51.

How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities

CFS Working Paper No. 540
Number of pages: 59 Posted: 09 Oct 2016 Last Revised: 22 Nov 2018
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 157 (185,757)
Citation 6

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Credit Default Swaps, Credit Risk, Financial Intermediaries, OTC, Systemic Risk

52.

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 (NYU) - Department of Finance, Santa Clara University - Finance Department and State Street Global Markets
Downloads 152 (190,920)
Citation 67

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53.

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 (NYU) - Department of Finance, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 129 (217,896)

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54.

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 (NYU) - Department of Finance
Downloads 129 (217,896)
Citation 1

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Correlation Risk, Derivatives, Portfolio Performance, Exchange Risk

55.

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 (NYU) - Department of Finance
Downloads 125 (223,165)

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

56.

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 120 (230,122)
Citation 2

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

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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
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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 (NYU) - Department of Finance

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Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 04 Jun 2017
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 59 (360,007)
Citation 1

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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 47 Posted: 23 Jan 2018 Last Revised: 18 Apr 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 44 (411,781)
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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

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 (NYU) - Department of Finance and O'Melveny & Myers LLP
Downloads 100 (263,525)
Citation 27

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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 (NYU) - Department of Finance

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60.

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 (NYU) - Department of Finance
Downloads 98 (265,285)
Citation 1

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61.

Can Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections

Number of pages: 60 Posted: 13 Feb 2017 Last Revised: 28 Nov 2018
Copenhagen Business School, New York University (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 96 (268,828)
Citation 4

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62.

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 (NYU) - Department of Finance
Downloads 92

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

63.

Paying for Market Liquidity: Competition and Incentives

SAFE Working Paper No. 247
Number of pages: 60 Posted: 18 Apr 2019
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 89 (282,149)

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High-Frequency Trading (HFT), Designated Market Makers (DMMs) Market Making, Adverse Selection, Liquidity Provision

64.

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 (NYU) - Department of Finance
Downloads 88 (284,186)
Citation 5

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65.

Lighting up the Dark: Liquidity in the German Corporate Bond Market

SAFE Working Paper No. 230
Number of pages: 61 Posted: 05 Oct 2018
Deutsche Bundesbank, Vienna Graduate School of Finance (VGSF), Goethe University Frankfurt - Faculty of Economics and Business Administration, Deutsche Bundesbank and New York University (NYU) - Department of Finance
Downloads 83 (294,627)

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Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets

66.

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 (NYU) - Department of Finance
Downloads 79 (303,443)

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67.

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 (NYU) - Department of Finance
Downloads 78 (305,747)
Citation 7

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68.

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 (NYU) - Department of Finance
Downloads 69 (327,613)

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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 (NYU) - Department of Finance
Downloads 43 (415,735)

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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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 26 (495,287)

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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 (NYU) - Department of Finance

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70.

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 (NYU) - Department of Finance
Downloads 64 (340,879)

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71.

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 (NYU) - Department of Finance
Downloads 62 (346,363)
Citation 7

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72.

Clientele Effects in Sovereign Bonds: Evidence from the Malaysian Cash and Repo Markets

Number of pages: 79 Posted: 26 Jun 2018 Last Revised: 30 Apr 2019
Minxia Chen, Joseph Cherian, Yuping Shao and Marti G. Subrahmanyam
National University of Singapore (NUS), NUS Business School, National University of Singapore (NUS) and New York University (NYU) - Department of Finance
Downloads 47 (393,473)
Citation 1

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Clientele Effect, Liquidity, Credit Risk, Sovereign Sukuk, Islamic Sovereign Bond, Conventional Sovereign Bond

73.

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 (NYU) - Department of Finance, Yonsei University and Waseda University
Downloads 43 (407,768)

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Credit Risk, Japanese Government Bonds Market, Swap Pricing

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 (NYU) - Department of Finance
Downloads 28 (483,888)

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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 (NYU) - Department of Finance
Downloads 14 (571,309)

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75.

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 (NYU) - Department of Finance
Downloads 40 (418,882)

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76.

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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 40 (418,882)

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77.

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 (NYU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 33 (447,459)

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78.

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 (NYU) - Department of Finance
Downloads 33 (447,459)
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79.

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 (NYU) - Department of Finance
Downloads 28 (470,926)

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80.

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 (NYU) - Department of Finance
Downloads 26 (481,278)

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81.

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 (NYU) - Department of Finance
Downloads 21 (509,159)

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82.

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 (NYU) - Department of Finance
Downloads 18 (526,478)
Citation 2

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83.

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 (NYU) - Department of Finance, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 16 (537,893)

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84.

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 (NYU) - Department of Finance
Downloads 7 (592,722)

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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance

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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, University of Illinois at Urbana Champaign and New York University (NYU) - Department of Finance

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86.

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 (NYU) - Department of Finance

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87.

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 and New York University (NYU) - Department of Finance

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

88.

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 (NYU) - Department of Finance

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89.

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 (NYU) - Department of Finance

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90.

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 (NYU) - Department of Finance

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91.

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 (NYU) - Department of Finance

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92.

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 (NYU) - Department of Finance

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93.

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 (NYU) - Department of Finance

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94.

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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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96.

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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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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 (NYU) - Department of Finance

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Other Papers (1)

Total Downloads: 0
1.

The Linkage between Primary- and Secondary-Markets for Eurozone Sovereign Debt: Free Flow or Bottleneck?

Posted: 27 Jan 2018 Last Revised: 05 Oct 2018
Alexander Eisl, Christian Ochs, Nikolay Osadchiy and Marti G. Subrahmanyam
Vienna University of Economics and Business, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Emory University - Goizueta Business School and New York University (NYU) - Department of Finance

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Eurozone, Financial Intermediation, Sovereign Bond Market