Jayaram Muthuswamy

Kent State University

Kent, OH 44242

United States

SCHOLARLY PAPERS

7

DOWNLOADS

1,246

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (7)

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:

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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:

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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:

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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)

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

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:

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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:

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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:

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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:

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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:

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