Sanjiv R. Das View PDF… Read more
Surveys and Crossovers
SURVEY OF THE RECENT LITERATURE: Venture Capital Syndication
Sanjiv R. Das, Hoje Jo and Yongtae Kim View PDF… Read more
SURVEY OF THE LITERATURE: The Progeny of CAPM
Sanjay K. Nawalkha and Christopher Schwarz View PDF… Read more
STREET RESEARCH: Pension Fund Management Revisited
Tony Kao View PDF… Read more
SURVEYS AND CROSSOVERS: An Introduction to Peer-To-Peer Loans as Investments
Ethan Namvar This paper constitutes a discussion of the rise of Peer-to-peer loans as alternative investments. Peer-to-peer loans are being incorporated into portfolios in the interest of diversification. This paper outlines this strategy and provides a guided tour of this new alternative asset class along with the current risks and barriers. View PDF… Read more
SURVEYS AND CROSSOVERS: Value of Corporate Control: Some International Evidence
Paul Hanouna, Atulya Sarin and Alan C. Shapiro Existing literature shows that the market values control because controlling shareholder can generate private benefits and improve the efficiency of the corporation. In this study, we provide a measure of the value of control for a set of domestic and foreign transactions. Our measure of the value… Read more
SURVEYS AND CROSSOVERS: Structured Finance Deals: A Review of the Rating Process and Recent Evidence Thereof
Seoyoung Kim View PDF… Read more
SURVEYS AND CROSSOVERS: Random Lattices for Option Pricing Problems in Finance
Sanjiv R. Das While the use of Monte Carlo methods is well established for pricing derivatives, this paper focuses on a random-lattice approach, also known in the literature as the stochastic-mesh method. The method is reviewed here. We show that the method may be refined with an ad-hoc bias correction, that suitably adjusts these models… Read more
SURVEYS AND CROSSOVERS: Implementing Option Pricing Models Using Python and Cython
Sanjiv R. Das and Brian Granger In this article we propose a new approach for implementing option pricing models in finance. Financial engineers typically prototype such models in an interactive language (such as Matlab) and then use a compiled language such as C/C++ for production systems. Code is therefore written twice. In this article we… Read more
SURVEYS AND CROSSOVERS: The Libor/SABR Market Models: A Critical Review
Sanjay K. Nawalkha This paper reviews the LIBOR market model (LMM) and the LMM-SABR model. While a plethora of interest rate models, such as fundamental models, single-plus models, double-plus models, and triple-plus models, can be used for valuation of plain vanilla derivatives, only a few models such as the LMM and the LMM-SABR have been… Read more