Sanjay K. Nawalkha

Personal Details

First Name:	Sanjay
Middle Name:	K.
Last Name:	Nawalkha
Suffix:
RePEc Short-ID:	pna211
	http://ssrn.com/author=287162

Affiliation

Department of Finance
Isenberg School of Management
University of Massachusetts-Amherst

Amherst, Massachusetts (United States)
https://www.isenberg.umass.edu/programs/depts/finance
RePEc:edi:dfumaus (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Nawalkha, Sanjay K. & Soto, Gloria M. & Zhang, Jun, 2003. "Generalized M-vector models for hedging interest rate risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1581-1604, August.

   Cited by:

   1. Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, November.
   2. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.
   3. Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021. "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, vol. 9(4), pages 1-28, March.
   4. Michał Boczek & Marek Kałuszka, 2018. "On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 209-228.
   5. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics 05/03, University of Waikato.
   6. Gavin Kretzschmar & Axel Kirchner, 2008. "Recovery of hidden state participation effects on oil and gas asset values," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 755-769.
   7. Saphores, Jean-Daniel M. & Boarnet, Marlon G., 2006. "Uncertainty and the timing of an urban congestion relief investment.: The no-land case," Journal of Urban Economics, Elsevier, vol. 59(2), pages 189-208, March.
   8. Carcano, Nicola & Dall'O, Hakim, 2011. "Alternative models for hedging yield curve risk: An empirical comparison," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2991-3000, November.
   9. Joseba Iñaki De La Peña & Iván Iturricastillo & Rafael Moreno & Francisco Román & Eduardo Trigo, 2021. "Towards an immunization perfect model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1181-1196, January.
   10. Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel, 2006. "Immunization using a stochastic-process independent multi-factor model: The Portuguese experience," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 133-156, January.
   11. Michael Theobald & Peter Yallup, 2010. "Liability-driven investment: multiple liabilities and the question of the number of moments," The European Journal of Finance, Taylor & Francis Journals, vol. 16(5), pages 413-435.

2. Chambers, Donald R & Nawalkha, Sanjay K, 2001. "An Improved Approach to Computing Implied Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 89-99, August.

   Cited by:

   1. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.
   2. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
   3. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics.
   4. Shou-Lei Wang & Yu-Fei Yang & Yu-Hua Zeng, 2014. "The Adjoint Method for the Inverse Problem of Option Pricing," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
   5. Yibing Chen & Cheng-Few Lee & John Lee & Jow-Ran Chang, 2018. "Alternative Methods to Estimate Implied Variance: Review and Comparison," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-28, December.
   6. Yixiao Lu & Yihong Wang & Tinggan Yang, 2021. "Adaptive Gradient Descent Methods for Computing Implied Volatility," Papers 2108.07035, arXiv.org, revised Mar 2023.
   7. Dan Stefanica & Radoš Radoičić, 2017. "An Explicit Implied Volatility Formula," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-32, November.
   8. Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
   9. Li, Minqiang, 2008. "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper 6867, University Library of Munich, Germany.
      • Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
   10. Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017. "The Chebyshev method for the implied volatility," Papers 1710.01797, arXiv.org.
   11. Adrienne Kearney & Raymond Lombra, 2004. "Stock market volatility, the news, and monetary policy," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(2), pages 252-259, June.
   12. Jaehyuk Choi & Jeonggyu Huh & Nan Su, 2023. "Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding," Papers 2302.08758, arXiv.org, revised Oct 2024.
   13. Jaehyuk Choi & Kwangmoon Kim & Minsuk Kwak, 2009. "Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 261-268.
   14. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.

3. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.

   Cited by:

   1. Geoffroy Enjolras & Robert Kast & Patrick Sentis, 2009. "Diversification in Area-Yield Crop Insurance : The Multi Linear Additive Model," Working Papers 09-15, LAMETA, Universtiy of Montpellier, revised Nov 2009.
   2. Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
   3. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
      • Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
   4. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
   5. Jeng, Jau-Lian, 2008. "The existence theorem of approximate multibeta representation for multifactor pricing models with unobservable omitted variables: A technical note," Global Finance Journal, Elsevier, vol. 19(1), pages 11-18.

4. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.

   Cited by:

   1. Padmaja Kadiyala, 2000. "The Relation Between The Magnitude Of Growth Opportunities And The Duration Of Equity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 285-310, September.
   2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
   3. Sarkar, Sudipto & Hong, Gwangheon, 2004. "Effective duration of callable corporate bonds: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 499-521, March.
   4. Francisco Sotos, 2003. "Interest risk and default risk: A conditional volatility study," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 56-63, February.
   5. Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
   6. Skinner, Frank S., 1998. "Hedging bonds subject to credit risk1," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 321-345, March.
   7. Sarkar, Sudipto, 1999. "Duration and convexity of zero-coupon convertible bonds," Journal of Economics and Business, Elsevier, vol. 51(2), pages 175-192, March.
   8. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
   9. Jacoby, Gady & Roberts, Gordon S., 2003. "Default- and call-adjusted duration for corporate bonds," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2297-2321, December.
   10. Lesseig, Vance P. & Stock, Duane, 2000. "Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt," Journal of Business Research, Elsevier, vol. 49(3), pages 289-301, September.

5. Nawalkha, Sanjay K & Chambers, Donald R, 1995. "The Binomial Model and Risk Neutrality: Some Important Details," The Financial Review, Eastern Finance Association, vol. 30(3), pages 605-615, August.

   Cited by:

   1. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, December.

6. K. Nawalkha, Sanjay, 1995. "Face value convergence for stochastic bond price processes: a note on Merton's partial equilibrium option pricing model," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 153-164, April.

   Cited by:

   1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

7. Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.

   Cited by:

   1. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.
   2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
   3. Magomet Yandiev, 2021. "Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders," Papers 2111.07075, arXiv.org.

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