Sanjiv R. Das and Brian Granger The use of statistical packages in finance has two functions. One, econometric analysis of large volumes of data, and two, programming financial models. A popular package for these purposes is R. In this article we will examine two canonical applications of parallel programming for option pricing. We use the… Read more
Surveys and Crossovers
SURVEYS: Managing Interest Rate Risk: The Next Challenge?
Sanjay K. Nawalkha and Gloria M. Soto Are the managers of financial institutions ready for the small but increasingly significant risk of inflation in the near future, due to the unprecedented fiscal and monetary responses of the US government to prevent an economic collapse? This paper addresses this important issue by reviewing important findings in… Read more
SURVEYS AND CROSSOVERS: Dealing With Dimension: Option Pricing on Factor Trees
Sanjiv R. Das and Brian Granger We present a scheme for pricing derivatives on M assets on K -factor recombining trees with N periods. The computational complexity of these trees is O(NK +1), i.e. polynomial in N, making it possible to price a wide range of derivatives without resorting to Monte Carlo simulation. Numerical implementation… Read more
SURVEY OF THE LITERATURE: The Housing Bubble and Resulting Mortgage Crisis
Robert Hendershott, Patric Hendershott and James Shilling In the late 1990s, United States house prices began a long boom that peaked in mid 2006. The subsequent reversal of the housing boom has spawned a major crisis in the credit markets. This paper reviews the financial developments that stimulated the house price bubble and the financial… Read more
SURVEY OF THE LITERATURE: Credit Default Swap Spreads
Sanjiv R. Das and Paul Hanouna We review the literature on credit default swap spreads, which are fast replacing bond spreads as source data for analyzing and predicting credit risk. We review results that examine the basis, i.e. the difference between bond and CDS spreads, enabling the extraction of liquidity measures. Results show that pure… Read more
SURVEY OF THE LITERATURE: Power Laws
Sanjiv R. Das and Jacob Sisk We provide a brief survey of two areas in finance in which power laws may play an important role—one, in better describing the tails of return distributions; and two, in market microstructure modeling. While the existing literature in finance is not extensive, we have surveyed a collection of papers… Read more
SURVEY OF THE LITERATURE: Genetic Algorithms
Sanjiv R. Das View PDF… Read more
SURVEY OF THE LITERATURE: Recovery Risk
Sanjiv R. Das I survey a selection of recent working papers on recovery rates, providing a framework for extant research. Simpler versions of models are also presented with a view to aid accessibility and pedagogical presentation. Despite the obvious empirical difficulties encountered with recovery rate data, modeling advances are making possible better quantification and measurement… Read more
WORKING PAPERS: Private Equity Returns
Robert J. Hendershott View PDF… Read more
WORKING PAPERS: Technical Analysis
Sanjiv R. Das and David Tien View PDF… Read more