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                    Equity Options | Credit Risk

  

  PUBLICATIONS & PAPERS
  

       Equity Derivatives    
The Risk Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index (Nikunj Kapadia and Edward Szado ), 2007, Journal of Alternative Investments, Spring (2007), pp. 1-18.
   
 PDF version
Equilibrium Exercise of European Warrants (Nikunj Kapadia and Gregory Willette) (Current Version: 2005)
   
 PDF version
Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights ( Gurdip Bakshi and Nikunj Kapadia), 2003, The Journal of Derivatives, 11(1), 45-54)
   
 PDF version
Delta-Hedged Gains and the Negative Market Volatility Risk Premium (Gurdip Bakshi and Nikunj Kapadia), 2003, Review of Financial Studies, Volume 16 (2), 527-566.

 

PDF version
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (Gurdip Bakshi, Nikunj Kapadia and Dilip Madan), 2003, Review of Financial Studies, Volume 16 (1), 101-143.

 

PDF version [unedited longer version, Nov 2000]

PDF version [shorter version, Apr 2001]
     Default Risk
 
Correlated Default Risk (Sanjiv Das, Laurence Freed, Gary Geng and Nikunj Kapadia), 2006, Journal of Fixed Income 16(2), 7-32.

 

PDF version
Common Failings: How corporate defaults are correlated (Sanjiv Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita ), 2007, Journal of Finance 62(1), 93-118

 

PDF version

 

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