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NIKUNJ KAPADIA
Curriculum Vitae
December 2004
Department of Finance and Operations Management |
Email: nkapadia@som.umass.edu |
Isenberg School of Management |
Url: http://www-unix.oit.umass.edu/~nkapadia |
University of Massachusetts |
Phone: 413 545 5643 |
Amherst, MA 01003 |
Fax: 413 545 3858 |
ACADEMIC POSITION
Associate Professor in Finance, Isenberg School of Management, University of Massachusetts, Amherst. September 2003 – present
Assistant Professor in Finance, Isenberg School of Management, University of Massachusetts, Amherst. September 1996 – August 2003.
EDUCATION
Doctorate in Finance
New York University, September 1995.
Dissertation: “Essays in Investments.”
Chair: Professor Stephen Figlewski.
Post-Graduate Diploma in Management (M.B.A.)
Indian Institute of Management, Bangalore, May 1986.
Bachelor of Engineering
Maharaja Sayajirao University, Baroda, 1984.
Major: Chemical Engineering.
RESEARCH
Research Interests
Equity Derivatives, Volatility, Real Options, Credit Risk
Publications
“Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights,” (with Gurdip Bakshi), 2003, The Journal of Derivatives, 11(1), 45-54.
“Delta-Hedged Gains and the Negative Market Volatility Risk Premium,” (with Gurdip Bakshi), 2003, Review of Financial Studies, Volume 16 (2), 527-566.
“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.
“Simply Credit: Useful Things to Know about Correlated Default Risk,” (with Sanjiv Das, Gifford Fong, Laurence Freed and Gary Geng), 2001, Extra Credit , Nov-Dec, 14:23.
“Negative Vega? Understanding Options on Spreads,” 1999, The Journal of Alternative Investment , Vol. 1, Number 4, pp 75-78.
“Volatility Risk Pricing,” 1997, The Blackwell Encyclopedic Dictionary of Finance, Edited by Dean Paxzon and Douglas Wood, Blackwell Publishers, Cambridge, MA.
Recent Working Papers and Work in Progress
“Common Failings: How corporate defaults are correlated,” (with Sanjiv Das and Darrel Duffie) on schedule for the 2005 Meeting of the Western Finance Association)
“Correlated Default Risk,” (with Sanjiv Das, Laurence Freed, and Gary Geng) presented at the 2003 Meeting of the American Finance Association.
“Strategic Exercise of European Warrants ,” (with Gregory Willette) presented at Georgetown University and the University of Virginia.
Presentations
University of Virginia McIntyre School (2004). “Strategic Exercise of European Warrants.”
Federal Deposit Insurance Corporation, Washington DC (2004).
Office of the Comptroller of the Currency, Washington D.C. (2004).
University of Maryland Seminar Series. “Strategic Exercise of European Warrants.”
Annual Meeting of the European Finance Association Conference, Glasgow (2003). “ Correlated Default Risk.”
Annual Meeting of the American Finance Association Conference, Washington, D.C. (2003). “ Correlated Default Risk.”
Citigroup, New York (2002). “Correlated Default Risk.”
Mathematical Sciences Research Institute Conference on Event Risk, New York (2002). “ Correlated Default Risk.”
Annual Meeting of the Society of Actuaries, Boston (2002). Panel on “Setting Credit Risk Limits.”
Georgetown University Seminar Series (2002). “ Dilution and the Valuation of Non-Identical Warrants and Options.”
Tulane University Seminar Series (2002). “ Dilution and the Valuation of Non-Identical Warrants and Options.”
Institutional Investors' Fixed Income Forum, Boston (2001). “ Correlated Default Risk.”
Annual Meetings of the American Finance Association, New Orleans (2001). “Delta-Hedged Gains and the Negative Market Volatility Risk Premium.”
11 th Annual Derivatives Conference, New York (2001). “Delta-Hedged Gains and the Negative Market Volatility Risk Premium.”
Annual Meetings of the Western Finance Association Meeting, Idaho (2000).“Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options.”
Boston University Research Seminar (1998). “Do Equity Options Price Volatility Risk?”
Annual Meetings of the Western Finance Association Meeting, Monterey (1998). “Do Equity Options Price Volatility Risk?”
Annual Meetings of the Financial Management Association Meeting, Chicago (1998). “Do Equity Options Price Volatility Risk?”
Virginia Polytechnic University Seminar Series (1996). “Do Equity Options Price Volatility Risk?”
University of Massachusetts, Amherst (1996). “Do Equity Options Price Volatility Risk?”
University of New Orleans Seminar Series (1996). "Do Equity Options Price Volatility Risk?”
Annual Meeting of the Financial Management Association, St. Louis (1995). “Systematic Volatility in Stock Returns.”
Annual Meeting of the European Finance Association Meeting, Milan (1995). “The Price of Volatility Risk.”
Annual Meeting of the European Finance Association Meeting, Brussels (1994). “Systematic Volatility in Stock Returns.”
Annual Meeting of the European Finance Association, Copenhagen (1993). “Information Arrival and Real Investment.”
TEACHING
Teaching Interests
Investments, International Finance, Derivatives, Advanced Corporate Finance
Teaching Experience
University of Massachusetts, Isenberg School of Management
Associate Professor, September 2003 - present
Assistant Professor, September 1996 – 2003
Indian School of Business, Hyderabad
Term 7, 2005
University of Maryland, Smith School of Business
Visiting Faculty, 2003-04
New York University, Stern School of Business
Visiting Assistant Professor, 1995-96
China-Europe International Business School, Shanghai
Executive Programs, 2000-03
Dianos, Milano, Italy
Executive Programs, 2001-02
Courses Taught
Doctoral
Seminar on Capital Markets – Equity Derivatives
MBA
Mergers and Acquisition
Advanced Corporate Finance
International Finance
Investments
Undergraduate
Investments
International Finance
Advanced Investments
Executive
Introduction to Finance
Structured Equity Products
Numerical Methods for Equity and Interest-Rate Derivatives
Recent Mean Student Evaluation (Maximum of 5)
Spring 2004
MBA (University of Maryland, Advanced Financial Management): 4.79
Fall 2003
MBA (University of Maryland, Advanced Financial Management): 4.67
Spring 2003
Undergraduate: 4.86
Fall 2002
Undergraduate: 4.41, 4.35
Spring 2002
Undergraduate: 4.85, 4.39
Research Director, Center for International Securities and Derivatives Markets (2003)
Program Committee Member, European Finance Association (2003, 2004)
Program Committee Member, Financial Management Association (2001)
Discussant, AFA (1997), EFA (1993, 1994, 1995, 2003), FMA (1994, 1995)
Session Chair: EFA (1995, 2003)
Ad Hoc Referee: Annals of Operations Research, Financial Analyst Journal, Financial Review, Journal of Banking and Finance, Journal of Business, Journal of Alternative Investments, Journal of Derivatives, Journal of Finance, Journal of Financial Services Research, Management Science, Quantitative Finance.
Book Review, “Dictionary of Risk Management”, Journal of Derivatives , 1996.
Editorial Board
Financial Analyst Journal, 2002.
HONORS & AWARDS
Fellow of the Federal Deposit Insurance Corporation's Center for Financial Research, 2004.
Salomon Center Doctoral Fellowship, New York University, 1992-93.
Doctoral Fellowships, New York University, 1990-93
First rank in engineering school, Maharaja Sayajirao University, 1983.
Award from Government of India for academic achievement in the Indian Certificate of School Examination
BUSINESS EXPERIENCE
Gifford Fong Associates, 2000-2002.
Consultant for development of credit risk models.
Bear Stearns, Inc., New York
Associate, Options, 1994-95.
Responsible for analytics for proprietary trading group.
Nirmal Jeevan Enterprise, Bombay
Partner, 1986-89.
Managed dealership for one of India's largest textile manufacturer.
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