Jayaram Muthuswamy

Kent State University

Kent, OH 44242

United States

  • Kent State University

SCHOLARLY PAPERS

7

DOWNLOADS

1,246

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

The Implied Volatility of Australian Index Options

Number of pages: 37 Posted: 08 Aug 2008
Sean Dowling and Jayaram Muthuswamy
Reserve Bank of Australia and Kent State University
Downloads 520 (75,633)
Citation 8

Abstract:

Loading...

2.

Discrepancy between Black-Scholes and Binomial Option Premia

Number of pages: 25 Posted: 17 Mar 2012
Jayaram Muthuswamy and Thomas A. Hanson
Kent State University and Butler University - Lacy School of Business
Downloads 233 (181,698)
Citation 2

Abstract:

Loading...

Option pricing model, binomial lattice, Black-Scholes model, Gosper's algorithm, hypergeometricity

3.

The Impact of Computational Error on the Volatility Smile

Number of pages: 41 Posted: 04 Apr 2013
Don M. Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy
Louisiana State University, Baton Rouge - Department of Finance, Butler University - Lacy School of Business, Civil Aviation Flight University of China and Kent State University
Downloads 223 (189,331)
Citation 2

Abstract:

Loading...

Black-Scholes-Merton model, option pricing, implied volatility, volatility, volatility smile, computational finance, options

4.

A Decomposition of Conditional Correlations in Us Equities

Number of pages: 38 Posted: 03 Jun 2003
R. Brian Balyeat and Jayaram Muthuswamy
Xavier University - Department of Finance and Kent State University
Downloads 176 (234,326)

Abstract:

Loading...

Large returns, conditional correlation, equity portfolios, diversification, portfolio performance, heteroscedasticity

5.

The Correlation Structure of Unexpected Returns in U.S. Equities

Downloads 94 (373,606)

The Correlation Structure of Unexpected Returns in U.S. Equities

Number of pages: 38 Posted: 12 Jan 2007
R. Brian Balyeat and Jayaram Muthuswamy
Xavier University - Department of Finance and Kent State University
Downloads 93 (379,266)

Abstract:

Loading...

Large returns, conditional correlation, equity portfolios, diversification, portfolio performance, heteroskedasticity

The Correlation Structure of Unexpected Returns in U.S. Equities

Financial Review, Vol. 44, Issue 2, pp. 263-290, May 2009
Number of pages: 28 Posted: 16 Jun 2009
R. Brian Balyeat and Jayaram Muthuswamy
Xavier University - Department of Finance and Kent State University
Downloads 1 (915,556)

Abstract:

Loading...

The Correlation Structure of Unexpected Returns in U.S. Equities

The Financial Review, Vol. 44, No. 2, May 2009
Posted: 20 Feb 2009
R. Brian Balyeat and Jayaram Muthuswamy
Xavier University - Department of Finance and Kent State University

Abstract:

Loading...

G11, G12

6.

Does Spurious Mean Reversion in Basis Changes Still Exist After the Introduction of Exchange Traded Funds

Review of Futures Markets Vol 17(4): Article 4, 2009
Posted: 01 Jun 2020
Nivine Richie, Jayaram Muthuswamy, Reuben Segara and Robert I. Webb
University of North Carolina Wilmington, Kent State University, University of Sydney Business School and University of Virginia - McIntire School of Commerce

Abstract:

Loading...

Observed Basis Mean Reversion, Spurious Basis Predictability, Cash Index, Exchange Traded Funds, SPDR’s, Index Futures, Non-Synchronicity Between Cash and Derivative Securities

7.

Market Microstructure Effects on Volatility at the TAIFEX

Journal of Futures Markets, Vol 27(12): 1219-1243, 2007
Posted: 01 Jun 2020
Jayaram Muthuswamy, Reuben Segara and Robert I. Webb
Kent State University, University of Sydney Business School and University of Virginia - McIntire School of Commerce

Abstract:

Loading...

Volatility, Stock Index Futures, TAIFEX, SGX, Market Micro-structure