Gurdip S. Bakshi
Dean’s Professor of Finance
Phone: (301) 405-2261
4413 Van Munching Hall
Smith Business School
University of Maryland
College Park, MD 20742
E-Mail: gbakshi@rhsmith.umd.edu
Background
Gurdip Bakshi is Dean’s Professor of Finance at Department of Finance, Smith School of Business Bakshi's research interest include stock valuation, option valuation, term structure of interest rates, asset pricing, capital and currency markets, default risk, density approximations, aging, and international finance. He has also examined, both empirically and theoretically, the desire to accumulate wealth: his work demonstrates that investors acquire wealth not only for its implied consumption rewards but also for its resulting social status. How demographic factors affect the stock and the bond markets interest him. In a recent publication, he makes precise the link between spanning and valuing derivative securities. He is also working on modeling stock market crashes, studying the role of heterogeneity, developing probabilistic models for a firm's credit rating and the term structure of credit spreads, pricing and hedging credit spread based derivatives, studying the relative flatness of implied volatility curves of individual equity options versus the index, the nature of volatility spreads, continuous-time models of volatility, Nasdaq bubble, and on understanding the contribution of return-jumps versus volatility-jumps. The link to his papers at Google Scholar is: Gurdip Bakshi - Google Scholar and at SSRN is SSRN Author Page for Gurdip Bakshi.
Professor Bakshi serves on the editorial boards of Review of Financial Studies, Journal of Financial and Quantitative Analysis, Review of Derivatives Research, Journal of International Business Studies, Journal of Financial Econometrics, and Review of Financial Economics, and is a frequent reviewer for several finance and economics journals, and granting agencies. Professor Bakshi has been appointed Fellow of the FDIC Center for Financial Research and awarded a competitive grant to study recovery under default. He is a recent recipient of an award by the BSI GAMMA Foundation for his work on investor irrationality and the Nasdaq bubble. He was invited to be a part of the team (coordinated by Ron Masulis) that offered seminars to advanced Ph.D. students at the 2005 FMA meetings in Chicago. [Agenda]. My Talk.
Professor Gurdip Bakshi teaches the MBA international finance course at
Maryland Business School and is a top 15%-rated teacher (invited to apply for
the Krowe teaching award in 2003 and 2004), and most recently a top 15% teacher
for 2006-2007. He is the recipient of Joe Wikler Award for teaching excellence
in 2006. Previously he has taught MBA investments and Options and Futures
course. Gurdip Bakshi has also taught in the Smith Business MBA program to
executives in
You may access his curriculum vitae and teaching
ratings [Excel file]. Professor Bakshi served as the chair of
the doctoral studies committee from Fall 2005 to Fall 2007. Among his various service assignments, he is
serving on the
PERSONAL
U.S.
Citizen
Married
with two children
EDUCATION
Ph.D.
(Economics), University of Wisconsin-Madison, 1992
M.S.
(Finance), University of Wisconsin-Madison, 1989
M.S.
(Economics), University of Wisconsin-Madison, 1988
B.E.
(Electrical Engineering), Punjab Engineering College (India), 1985
Delhi
Public School, Mathura Road. New Delhi
HONORS AND AWARDS
Top 15% teaching Award, 2006-2007
Joe Wikler Teaching Award (2006)
Competitive Research Grant from BSI GAMMA foundation (2005-2006) for the
paper `Investor Irrationality and the Nasdaq Bubble.”
Top 15% teaching Award, 2003-2004
Finalist for 2003 Krowe Teaching Excellence Award.
Finalist for 2004 Krowe Teaching Excellence Award.
Top 15% teaching Award, 2003-2004
Fellow at FDIC Center for Financial Research (2005-2006)
Merton Miller Best Paper Award in the Journal of Business for 1994.
Research Fellow for 1994-1995 at the Pacific-Basin Capital Markets Research Center, University of Rhode Island, Kingston, RI.
Competitive Research Award,
Dice Faculty Fellow,
I/B/E/S Global Research Competition Award-Runners up (1999).
PUBLICATIONS
1. Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels (with Dilip Madan and George Panayotov). Forthcoming in the Journal of Financial Economics [PDF].
2. First Passage Probability, Jump Models, and Intra-Horizon Risk (with George Panayotov). Forthcoming in the Journal of Financial Economics. [PDF File]
3. Deducing the Implications of Jump Models for the Structure of Crashes, Rallies, Jump Arrival rates and Extremes (Gurdip Bakshi and Dilip Madan and George Panayotov). Forthcoming in the Journal of Business and Economic Statistics (JBES). [PDF]
4. Stochastic Risk Premiums, Stochastic Skewness in
Currency Options, and Stochastic Discount Factors in International Economies
(with Peter Carr and Liuren Wu). October 2004.
[presented at WFA 2005 in
5. A Theory of Volatility Spreads (with Dilip Madan).[From SSRN: http://ssrn.com/abstract=828244]. Management Science 2006, No. 52, Issue 12, 1945-1956. [Management Science Version, PDF]
6. Estimation of Continuous-time Models with an Application to Equity Volatility (with Nengjiu Ju and Hui Ou-Yang). 2006. Journal of Financial Economics 82, 227-249. [pdf file from SSRN] [JFE Version, PDF]
7. Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models (with Dilip Madan and Frank Zhang). Journal of Business 79, No. 4, 1955-1988 (July 2006). [PDF] [JB PDF]
8. A Refinement to AitSahalia's (2002) `` Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach" (with Nengjiu Ju) Journal of Business 78, No. 5, 2037-2052 (2005). [accepted paper pdf] [pdf from JB]
9. Cash Flow Risk,
Discounting Risk, and the Equity Premium Puzzle?, 2005, Prepared for Handbook
of Investments: Equity Premium,
Edited by Rajnish Mehra, North Holland,
10. Stock Valuation in Dynamic Economies (with Zhiwu Chen), 2005, Journal of Financial Markets 8, No. 2, 115-151. [pdf ].
11. Volatility Risk Premium Embedded in Individual Equity
Options: Some New Insights (with Nikunj Kapadia).
Journal of Derivatives (Fall issue 2003), 45-54. [pdf file]. Revised Jul 2003. [PDF
JOD]
12. Delta Hedged Gains and the Negative Market Volatility Risk Premium (with Nikunj Kapadia). Review of Financial Studies 16 (Summer 2003), 527-566. [PDF] [RFS PDF]
13. Stock Return Characteristics, Skew Laws, and Differential Pricing of Individual Equity Options (with Nikunj Kapadia and Dilip Madan). Review of Financial Studies (Winter 2003) 101-143. (ADOBE]: Shorter final version; [ADOBE]: un-edited longer version (November 2000); [adobe RFS]
14. Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options, Journal of Financial and Quantitative Analysis. (with Dilip Madan), Vol. 37 No. 1 (March) 2002, 93-115. [ADOBE] [PDF JFQA]
15. Do Call Prices and the Underlying Stock Always Move in the Same Direction?, 2000, Review of Financial Studies 13 (Fall), 549-584. (with Charles Cao and Zhiwu Chen) [ADOBE ]
16. Spanning and Derivative-Security Valuation, Journal of Financial Economics 55 (2) 2000, 205-238. (with Dilip Madan). [JFE-ADOBE]
17. Pricing and Hedging Long-Term Options, Journal of Econometrics 94, 2000, 277-318. (with Charles Cao and Zhiwu Chen). [JOE-ADOBE ]
18. Markowitz Models of Portfolio Selection: The Inverse Problem, Advances in Investment Analysis and Portfolio Management 7, 55-89. (with Michael Hartley). [PS File] [ADOBE]
19. Empirical Performance of Alternative Option Pricing Models, Journal of Finance 52, No. 5, 1997, 2003-2049. (with Charles Cao and Zhiwu Chen) [PDF FILE]
20. Equilibrium Valuation of Foreign Exchange Claims, Journal of Finance 52, No. 2, 1997, 799-826. (with Zhiwu Chen). [PDF FILE]
21. An Alternative Valuation Model for Contingent Claims, Journal of Financial Economics, Vol 44, No. 1, 1997, 123-165. (with Zhiwu Chen) [PDF FILE].
22. An Empirical Investigation of Asset Pricing Models Using Japanese Stock Market Data, Journal of International Money and Finance16, No. 1, 1997, 81-112. (with Atsuyuki Naka). [PDF File]
23. Inflation, Asset Prices, and the Term Structure of Interest Rates in
Monetary Economies, Review of Financial Studies ,
Vol 9, No 1, 1996, 237-271. (with Zhiwu Chen) [PDF FILE].
24. The Spirit of Capitalism and Stock Market Prices, American Economic Review 86, No. 1, March 1996, 133-157. (with Zhiwu Chen).[AER-PDF]
25. Production-Based Asset Pricing in
26. Baby Boom, Population Aging and Capital Markets, Journal of Business , April 1994, 165-202. (with Zhiwu Chen). [JB-PDF]
RECENT WORKING PAPERS
1. Do Subjective Expectations Explain Asset Pricing Puzzles with Georgios Skoulakis). 2008 [pdf]
2. Forward Variances Embedded in Exponential Claims on Integrated Variance: What Do They Convey? (with George Panayotov and Georgios Skoulakis).
3. Do Higher-Moment Equity Risks Explain Hedge Fund Returns (with Vikas Agarwal and Joop Huij).
4. A Framework for Studying Option Mispricing: A New Test and Empirical Evidence (with George Panayotov).
5. Investor Heterogeneity and the Non-Monotonicity of the Aggregate Marginal Rate of Substitution in Market-index. 2007. (with Dilip Madan). [pdf]
6. Investor Irrationality and the Nasdaq Bubble (with Liuren Wu). (revised January 2009). [pdf]]
7. Risk-Neutral Kurtosis, Jumps, and Option Pricing: Evidence from Most Actively Traded Firms (with Charles Cao). 2004.
8. Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (with Dilip Madan and Frank Zhang). [presented at AFA 2004] . [PDF FILE] (revised 2006)
9. Is the Present-Value Relation Destined for Empirical Failures? (with Nengjiu Ju). [PDF]
BOOK CHAPTERS
1. Models of Currency Option Pricing, 1999, Advanced Tools
for the Fixed-Income
Professional, edited by
2. Empirical Performance of Alternative Option Pricing Models , in Model
Risk: Concepts, Calibration, and Pricing, Haymarket House,
3. Empirical Performance of Alternative Option Pricing Models , in Options
Markets, Edited by G. Constantinides and
A. Malliaris (Critical Writing in Financial Economics, Series Editor:
Richard Roll), Edward Elgar Publishing Ltd.
COAUTHORS (in alphabetical order)
Vikas Agarwal
Joop Huij
George Panaytov
Frank Xioling Zhang
RESEARCH INTEREST
Derivatives
Stock Valuation
Asset Pricing
International Finance
Capital Markets
PROFESSIONAL SERVICE
Editorial Boards
Associate Editor, Review of Financial
Studies (2006-present)
Associate Editor, Journal of Financial and
Quantitative Analysis (2005-present)
Associate Editor, Review of Derivatives Research
(2005-present)
Associate Editor, Journal of International
Business Studies (2007-present)
Associate
Editor, Journal of Financial Econometrics (2003-present)
Associate
Editor, Review of Financial Economics (2000-present)
Adhoc Referee
Granting agencies: US National Science Foundation, Canadian Grants Council, and University Grants Commission of Hong Kong
Journal Referee for the Journal of Finance, Review of Financial Studies, American Economic Review, Journal of Business, Journal of Financial and Quantitative Analysis, Mathematical Finance, Journal of Futures Markets, Journal of Economic Dynamics and Control, Journal of International Economics, Journal of International Money and Finance, Journal of Banking and Finance, Real Estate Economics, Journal of International Markets and Financial Institutions, Journal of Financial Research, Journal of Derivatives, International Review of Economics & Finance, Review of Derivatives Research, Financial Management, European Finance Review, Economic Notes, European Economic Review, Journal of Business and Economics, Journal of Empirical Finance, Pacific-Basin Finance Journal, Oxford Economic Papers, Journal of Econometrics, and Journal of Money Credit and Banking (more than 30 Journals).
SEMINAR PRESENTATIONS [ WORD]
RESOURCE PAGE
Implementation
tricks used to implement equity
valuation model (this model is driven by 11 parameters)
Codes
for spanning skew and kurtosis
TEACHING
BMGT 446 (undergraduate class in
International Finance). See
Blackboard (bb.rhsmith.umd.edu)
BUFN 724 (MBA class in International Finance). See Blackboard
BMGT 843 (Ph.D. class in Asset Pricing Theory).
BUSI 640 (Core MBA class). See Blackboard
COURSES TAUGHT
· International Finance (MBA and Undergraduates)
· Investments (MBA and Undergraduates)
· Derivatives (MBA and Undergraduates)
· Ph.D. Seminar in Asset Pricing
· Ph.D. Seminar in Contingent Claims Valuation
Last Updated: February, 2008