Working Papers
My working papers are in asset pricing, corporate finance, derivatives, commodities, international finance, and machine learning for financial markets. Please cite the latest SSRN version when available. For papers without a public SSRN version, please contact me for the most recent draft.
1. Economic Drivers of Gold
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, Jorge W. Hansen, and Zhaowei Zhang
Conference presentations: Various conferences.
Award: Best Paper Award, 7th J.P. Morgan Center for Commodities and Energy Management Symposium.
SSRN: https://ssrn.com/abstract=4652113
Topics: gold; gold options; U.S. dollar index; reserve commodity; financialized gold; real Treasury yields; jump-diffusion models; Kalman filtering.
Contribution: This paper develops an empirical and theoretical framework for understanding the economic drivers of gold prices, volatility, and options, emphasizing gold's asymmetric inverse dependence on the U.S. dollar index.
2. Safe Haven Status of the U.S. Dollar, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Yuan Hu
Conference presentations: 2026 Midwest Finance Association.
SSRN version: https://ssrn.com/abstract=4649573
Topics: U.S. dollar; dollar index options; currency options; safe-haven demand; dynamic currency models; option risk premia; international finance.
Contribution: This paper studies options on dollar index futures as traded vehicles for protecting against coordinated U.S. dollar appreciations or depreciations and examines the quantitative implications for dynamic models of currency behavior.
3. Volatility Uncertainty and VIX Futures Contango: A Laplace Transform Order Theorem
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jinming Xue
SSRN: https://ssrn.com/abstract=3930703
Topics: VIX futures; contango and backwardation; volatility uncertainty; variance pockets; conditional Laplace-transform order; rough volatility; disaster risk.
Contribution: This paper establishes a model-free sufficient condition for VIX futures contango through a conditional Laplace-transform ordering of variance pockets and illustrates how rough volatility and disaster risk can generate contango or backwardation.
4. The Personal Balance Sheets of Ultrarich Executives: Portfolio Concentration and Wealth Outcomes
Authors: Gurdip Bakshi and Xiaohui Gao
Conference presentations: University of Iowa; Temple University; Philly 5 Conference.
SSRN: https://ssrn.com/abstract=7202282
Topics: ultrarich executives; portfolio concentration; own-company equity; executive wealth; personal balance sheets; Forbes 400; executive incentives.
Contribution: This paper studies how portfolio concentration among ultrarich executives is associated with subsequent wealth growth, Forbes 400 persistence, and relative wealth-rank improvement among continuing executives, highlighting balance-sheet exposure in executive incentives.
5. Two-Sided Volatility Jumps in Short-Maturity VIX Options
Authors: Gurdip Bakshi, Xiaohui Gao, and Zhaowei Zhang
Conference presentations: 10th China Derivatives Youth Forum; FMA 2026 (scheduled).
SSRN: https://ssrn.com/abstract=7461079
Topics: two-sided volatility jumps; state-dependent marked Hawkes-type processes; short-maturity VIX options; small-maturity option asymptotics; stock-VIX jump dependence; VIX positivity; volatility tail risk.
Contribution: This paper develops a risk-neutral, state-dependent marked Hawkes-type mechanism in which signed stock jumps generate upward and downward VIX jumps while preserving VIX positivity, and derives explicit short-maturity option-price expansions.
6. Option Share and the Affordability of CEO Pay
Authors: Gurdip Bakshi and Xiaohui Gao
SSRN: https://ssrn.com/abstract=7553003
Topics: CEO compensation; option share; stock compensation; stock options; affordability constraints; financial tightness; growth opportunities; executive incentives.
Contribution: This paper develops an affordability-based theory of CEO compensation design and examines theoretically and empirically how financial tightness and growth opportunities shape the share of equity pay delivered through options.
7. A Theory of U.S. Exceptionalism
Authors: Gurdip Bakshi and Xiaohui Gao
Topics: U.S. exceptionalism; asset pricing; global financial markets; international finance; safe assets; U.S. markets; risk premia.
Contribution: This paper develops a theoretical asset-pricing account of U.S. exceptionalism and its implications for global financial markets, risk premia, and international capital allocation.
8. 0DTE Options and the Audacity of Wagers on a Single-Jump
Authors: Gurdip Bakshi and Xiaohui Gao
Topics: 0DTE options; zero-days-to-expiration options; single-jump risk; short-maturity options; option trading; tail risk; derivatives.
Contribution: This paper studies 0DTE options as high-frequency wagers on short-horizon jump risk and examines the implications for short-maturity option pricing and risk-taking.
9. Culling the Factor Zoo
Authors: Gurdip Bakshi, Timothy Christensen, John Crosby, and Xiaohui Gao
Conference presentations: 2026 Midwest Finance Association; 2026 Northern Finance Association; AFA 2027 (scheduled); INFORMS Annual Meeting, Arizona.
SSRN: https://ssrn.com/abstract=4470335
Topics: asset pricing; factor models; best subset selection; stochastic discount factors; model selection; mixed-integer optimization; out-of-sample alphas.
Contribution: This paper develops a mixed-integer-optimization method for jointly selecting and estimating a low-dimensional linear factor model from a high-dimensional set of candidate factors while imposing economically motivated restrictions on the stochastic discount factor.
10. Be on Your Guard: Options Markets and Safety-Related Small-Maturity Phenomena
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jorge W. Hansen
SSRN: https://ssrn.com/abstract=4986866
Topics: 7DTE options; S&P 500 options; Treasury futures options; stock-bond co-jumps; small-maturity options; bivariate jumps; stochastic jump intensities; VVIX/VIX ratio.
Contribution: This paper develops a model of small-maturity safety phenomena in bond and stock option markets, explaining patterns in out-of-the-money Treasury and equity option returns and the behavior of the VVIX/VIX ratio during market stress.
11. A Theory of Small Maturity Effects and Data Realities of 7DTE Treasury Options across Tenors
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jorge W. Hansen
Conference presentations: 2025 Midwest Finance Association.
SSRN: https://ssrn.com/abstract=4959006
Topics: 7DTE Treasury options; Treasury bond futures; 10-year Treasury futures; 30-year Treasury futures; risk-neutral distributions; return skewness; jump processes; stochastic intensity.
Contribution: This paper introduces data on weekly expiring Treasury options and documents small-maturity effects across tenors, including differences in risk-neutral distributions and return skewness between 10-year and 30-year Treasury bond futures.
12. Machine-Guided Factor Models for the Crypto Return Cross-Section
Authors: Gurdip Bakshi, Xiaohui Gao, and Zhaowei Zhang
SSRN: https://ssrn.com/abstract=4986862
Topics: cryptocurrencies; crypto returns; cross-sectional asset pricing; machine learning; model selection; factor models; average returns; empirical asset pricing.
Contribution: This paper uses machine-learning techniques to evaluate and improve models of the crypto return cross-section, studying crypto portfolios and factors based on multiple crypto-market characteristics.
13. Upside Risks and Models of the Oil Market
Authors: Gurdip Bakshi, Xiaohui Gao, and Yuan Hu
Conference presentations: 8th J.P. Morgan Center for Commodities and Energy Management Symposium; 2025 Eastern Finance Association.
Topics: crude oil; oil options; upside risk; commodity derivatives; energy markets; option pricing; tail risk; oil-market models.
Contribution: This paper studies upside risks in the oil market and examines their implications for models of crude oil prices, oil options, and commodity-market risk premia.
14. The Geography of Exchange Rate Disconnect
Authors: Gurdip Bakshi, John Crosby, and Xiaohui Gao
Conference presentations: Midwest Finance Association 2022; Eastern Finance Association 2021.
SSRN: https://ssrn.com/abstract=3763550
Topics: exchange rate disconnect; international finance; exchange rates; incomplete markets; stochastic discount factors; currency risk premia; exchange-rate predictability.
Contribution: This paper proposes a measure of exchange rate disconnect and studies how disconnect varies across economies, linking exchange-rate behavior to international asset-pricing restrictions and incomplete-market forces.