Natalia Beliaeva

Suffolk University - Department of Finance

8 Ashburton Place-Beacon Hill

Boston, MA 02108-2770

United States

SCHOLARLY PAPERS

10

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3,324

SSRN CITATIONS
Rank 39,672

SSRN RANKINGS

Top 39,672

in Total Papers Citations

7

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

A Practical Guide to Arbitrage-Free Pricing Using Martingales

Number of pages: 49 Posted: 22 Jul 2007
Sanjay K. Nawalkha and Natalia Beliaeva
University of Massachusetts Amherst - Isenberg School of Management and Suffolk University - Department of Finance
Downloads 1,740 (9,383)

Abstract:

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arbitrage-free pricing, valuation, martingales, Arrow-Debreu prices, riskneutral measure, forward measure, stochastic discount factor, pricing kernel, Radon-Nikodym derivative, Girsanov theorem, Feynman Kac theorem

2.

Efficient Trees for CIR and CEV Short Rate Models

Number of pages: 39 Posted: 29 Mar 2007
Sanjay K. Nawalkha and Natalia Beliaeva
University of Massachusetts Amherst - Isenberg School of Management and Suffolk University - Department of Finance
Downloads 966 (23,314)
Citation 4

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

3.

A New Taxonomy of the Dynamic Term Structure Models

Number of pages: 44 Posted: 11 Sep 2008 Last Revised: 20 Sep 2010
Sanjay K. Nawalkha, Natalia Beliaeva and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management, Suffolk University - Department of Finance and University of Murcia - Faculty of Business and Economics
Downloads 279 (111,578)
Citation 6

Abstract:

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

4.

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

Number of pages: 53 Posted: 28 Dec 2009
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 187 (165,130)
Citation 1

Abstract:

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

5.

Pricing American Interest Rate Options Under the Jump-Extended Constant-Elasticity-of-Variance Short Rate Models

Number of pages: 49 Posted: 27 Jan 2011 Last Revised: 15 Aug 2019
Natalia Beliaeva and Sanjay K. Nawalkha
Suffolk University - Department of Finance and University of Massachusetts Amherst - Isenberg School of Management
Downloads 152 (197,659)
Citation 6

Abstract:

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

6.

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

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

Abstract:

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Heston, options, stochastic volatility, American options, trees

7.

Yields versus Expected Returns of Corporate Bonds: Some Unexpected Results

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

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

8.

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

Posted: 07 May 2007 Last Revised: 15 Aug 2019
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

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

9.

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

Posted: 07 May 2007 Last Revised: 15 Aug 2019
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

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

10.

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

Posted: 01 Mar 2007 Last Revised: 15 Aug 2019
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

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

Other Papers (2)

Total Downloads: 1,315
1.

Dynamic Term Structure Modeling: The Preface

Number of pages: 12 Posted: 30 Jul 2007
Sanjay K. Nawalkha, Natalia Beliaeva and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management, Suffolk University - Department of Finance and University of Murcia - Faculty of Business and Economics
Downloads 794 (29,825)

Abstract:

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

2.

Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models

Number of pages: 73 Posted: 16 May 2007
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 521 (52,286)

Abstract:

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