Isenberg School of Management Professor - Nikunj Kapadia

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PUBLICATIONS & PAPERS

	Equity Derivatives
	Tail and volatility indices from option prices (with Jian Du, updated 8/2012). Paper shows how to construct a return tail index from a volatility index (please email me for the tail index)		PDF version
	The Risk Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index (with Edward Szado ), 2007, Journal of Alternative Investments, Spring (2007), pp. 1-18.		PDF version
	Equilibrium Exercise of European Warrants (with Gregory Willette), 2012, Review of Derivatives Research forthcoming.		PDF version
	Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights ( with Gurdip Bakshi ), 2003, The Journal of Derivatives, 11(1), 45-54)		PDF version
	Delta-Hedged Gains and the Negative Market Volatility Risk Premium (with Gurdip Bakshi), 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 (with Gurdip Bakshi 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]
	Credit Risk
	Rating Agency Bias and Changes in Credit Rating (with Nazmul Hasan and Akhtar Siddique) Coming soon!		PDF version
	Can Credit Risk be Hedged in Equity Markets? (with Xuan Che) Coming soon!		PDF version
	Limited Arbitrage between Equity and Credit Markets (with Xiaoling Pu), 2012, Journal of Financial Economics forthcoming.		PDF version
	Correlated Default Risk (with Sanjiv Das, Laurence Freed, and Gary Geng), 2006, Journal of Fixed Income 16(2), 7-32.		PDF version
	Common Failings: How corporate defaults are correlated (with Sanjiv Das, Darrell Duffie, and Leandro Saita ), 2007, Journal of Finance 62(1), 93-118		PDF version