Publications

Publications

1. Do Investors Gain by Selling the Tails of Return Distributions?
Publication ID: PUB-2025-01
Authors: Gurdip Bakshi; John Crosby; Xiaohui Gao
Year: 2025
Journal: Mathematical Finance
Publication details: Volume 35, Issue 2, April 2025, pages 297–336
DOI: 10.1111/mafi.12447
Summary: This paper studies whether investors gain from selling the tails of return distributions, with relevance for option markets, tail risk, risk aversion, and return-distribution pricing.
Topics: tail risk; return distributions; option markets; risk aversion; ambiguity; derivative pricing; asset pricing
Citation: Bakshi, Gurdip, John Crosby, and Xiaohui Gao. “Do Investors Gain by Selling the Tails of Return Distributions?” Mathematical Finance 35(2), April 2025, 297–336. DOI: 10.1111/mafi.12447.

2. The Options-Inferred Equity Premium and the Slippery Slope of the Negative Correlation Condition
Publication ID: PUB-2024-02
Authors: Gurdip Bakshi; John Crosby; Xiaohui Gao; Jinming Xue; Wei Zhou
Year: 2024
Journal: Journal of Investment Management
Publication details: Volume 22, Issue 3, 2024
DOI: Not listed
Summary: This paper studies the equity premium inferred from option prices and analyzes the role of the negative correlation condition in option-implied asset-pricing restrictions.
Topics: equity premium; options-implied information; option pricing; asset pricing; correlation restrictions; risk premia
Citation: Bakshi, Gurdip, John Crosby, Xiaohui Gao, Jinming Xue, and Wei Zhou. “The Options-Inferred Equity Premium and the Slippery Slope of the Negative Correlation Condition.” Journal of Investment Management 22(3), 2024.

3. What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?
Publication ID: PUB-2024-03
Authors: Gurdip Bakshi; Xiaohui Gao; Zhaowei Zhang
Year: 2024
Journal: Commodities
Publication details: Volume 3, Issue 2, 2024, pages 225–247
DOI: 10.3390/commodities3020014
Summary: This paper examines what short-maturity, seven-days-to-expiration return predictive regressions reveal about risk preferences in the oil market.
Topics: 7DTE options; oil market; commodity markets; risk preferences; return predictability; short-maturity options
Citation: Bakshi, Gurdip, Xiaohui Gao, and Zhaowei Zhang. “What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?” Commodities 3(2), 2024, 225–247. DOI: 10.3390/commodities3020014.

4. Treasury Option Returns and Models with Unspanned Risks
Publication ID: PUB-2023-04
Authors: Gurdip Bakshi; John Crosby; Xiaohui Gao; Jorge W. Hansen
Year: 2023
Journal: Journal of Financial Economics
Publication details: Volume 150, Issue 3, December 2023, article 103736
DOI: 10.1016/j.jfineco.2023.103736
Summary: This paper studies Treasury option returns and evaluates models that incorporate risks not spanned by standard Treasury-market state variables.
Topics: Treasury options; bond markets; unspanned risks; derivative pricing; fixed income; option returns; asset pricing
Citation: Bakshi, Gurdip, John Crosby, Xiaohui Gao, and Jorge W. Hansen. “Treasury Option Returns and Models with Unspanned Risks.” Journal of Financial Economics 150(3), December 2023, article 103736. DOI: 10.1016/j.jfineco.2023.103736.

5. Dark Matter in (Volatility and) Equity Option Risk Premiums
Publication ID: PUB-2022-05
Authors: Gurdip Bakshi; John Crosby; Xiaohui Gao
Year: 2022
Journal: Operations Research
Publication details: Volume 70, Issue 6, 2022, pages 3108–3124
DOI: 10.1287/opre.2022.2360
Summary: This paper studies equity option risk premiums and emphasizes the role of unspanned volatility and jump risks in explaining option-market returns.
Topics: equity options; volatility risk premium; option risk premia; unspanned risks; jump risk; pricing kernels; derivatives
Citation: Bakshi, Gurdip, John Crosby, and Xiaohui Gao. “Dark Matter in (Volatility and) Equity Option Risk Premiums.” Operations Research 70(6), 2022, 3108–3124. DOI: 10.1287/opre.2022.2360.

6. Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market
Publication ID: PUB-2023-06
Authors: Gurdip Bakshi; Xiaohui Gao; Jinming Xue
Year: 2023
Journal: Journal of Financial and Quantitative Analysis
Publication details: Volume 58, Issue 4, 2023, pages 1808–1842
DOI: 10.1017/S0022109022000758
Summary: This paper applies recovery-theorem methods to forecast equity disaster probability and to test the spanning hypothesis in the Treasury market.
Topics: recovery theorem; equity disaster probability; Treasury market; spanning hypothesis; asset pricing; stochastic discount factors
Citation: Bakshi, Gurdip, Xiaohui Gao, and Jinming Xue. “Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market.” Journal of Financial and Quantitative Analysis 58(4), 2023, 1808–1842. DOI: 10.1017/S0022109022000758.

7. Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods
Publication ID: PUB-2022-07
Authors: Gurdip Bakshi; Xiaohui Gao; Zhaodong Zhong
Year: 2022
Journal: Annual Review of Financial Economics
Publication details: Volume 14, 2022, pages 391–413
DOI: 10.1146/annurev-financial-111720-090709
Summary: This article reviews modeling approaches, empirical findings, and estimation methods used to study default risk.
Topics: default risk; credit risk; credit-risk models; estimation methods; corporate finance; asset pricing
Citation: Bakshi, Gurdip, Xiaohui Gao, and Zhaodong Zhong. “Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods.” Annual Review of Financial Economics 14, 2022, 391–413. DOI: 10.1146/annurev-financial-111720-090709.

8. A Theory of Dissimilarity Between Stochastic Discount Factors
Publication ID: PUB-2021-08
Authors: Gurdip Bakshi; Xiaohui Gao; George Panayotov
Year: 2021
Journal: Management Science
Publication details: Volume 67, Issue 7, 2021, pages 4602–4622
DOI: 10.1287/mnsc.2020.3690
Summary: This paper develops a theory for measuring and interpreting dissimilarity between stochastic discount factors.
Topics: stochastic discount factors; asset pricing; model comparison; pricing kernels; financial economics
Citation: Bakshi, Gurdip, Xiaohui Gao, and George Panayotov. “A Theory of Dissimilarity Between Stochastic Discount Factors.” Management Science 67(7), 2021, 4602–4622. DOI: 10.1287/mnsc.2020.3690.

9. Assessing Models of Individual Equity Option Prices
Publication ID: PUB-2021-09
Authors: Gurdip Bakshi; Charles Cao; Zhaodong (Ken) Zhong
Year: 2021
Journal: Review of Quantitative Finance and Accounting
Publication details: Volume 57, Issue 1, 2021, pages 1–28
DOI: 10.1007/s11156-020-00951-4
Summary: This paper evaluates models of individual equity option prices and contributes to empirical research on option-pricing model performance.
Topics: individual equity options; option pricing; empirical finance; model evaluation; derivatives
Citation: Bakshi, Gurdip, Charles Cao, and Zhaodong (Ken) Zhong. “Assessing Models of Individual Equity Option Prices.” Review of Quantitative Finance and Accounting 57(1), 2021, 1–28. DOI: 10.1007/s11156-020-00951-4.

10. New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models
Publication ID: PUB-2019-10
Authors: Gurdip Bakshi; Fousseni Chabi-Yo
Year: 2019
Journal: Journal of Financial and Quantitative Analysis
Publication details: Volume 54, Issue 6, 2019, pages 2517–2541
DOI: 10.1017/S0022109018001503
Summary: This paper develops entropy-based restrictions designed to improve the specification and evaluation of asset-pricing models.
Topics: entropy restrictions; asset-pricing models; stochastic discount factors; model specification; financial econometrics
Citation: Bakshi, Gurdip, and Fousseni Chabi-Yo. “New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models.” Journal of Financial and Quantitative Analysis 54(6), 2019, 2517–2541. DOI: 10.1017/S0022109018001503.

11. Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns
Publication ID: PUB-2019-11
Authors: Gurdip Bakshi; Xiaohui Gao; Alberto Rossi
Year: 2019
Journal: Management Science
Publication details: Volume 65, Issue 2, 2019, pages 619–641
DOI: 10.1287/mnsc.2017.2840
Summary: This paper studies the sources of risk that explain the cross-section of commodity returns.
Topics: commodity returns; cross-sectional asset pricing; commodity markets; risk premia; asset pricing
Citation: Bakshi, Gurdip, Xiaohui Gao, and Alberto Rossi. “Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns.” Management Science 65(2), 2019, 619–641. DOI: 10.1287/mnsc.2017.2840.

12. Implications of Incomplete Markets for International Economies
Publication ID: PUB-2018-12
Authors: Gurdip Bakshi; Mario Cerrato; John Crosby
Year: 2018
Journal: Review of Financial Studies
Publication details: Volume 31, Issue 10, 2018, pages 4017–4062
DOI: 10.1093/rfs/hhx120
Summary: This paper studies the implications of incomplete markets for international economies and international asset pricing.
Topics: incomplete markets; international finance; international economies; asset pricing; market incompleteness
Citation: Bakshi, Gurdip, Mario Cerrato, and John Crosby. “Implications of Incomplete Markets for International Economies.” Review of Financial Studies 31(10), 2018, 4017–4062. DOI: 10.1093/rfs/hhx120.

13. A Recovery That We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem
Publication ID: PUB-2018-13
Authors: Gurdip Bakshi; Fousseni Chabi-Yo; Xiaohui Gao
Year: 2018
Journal: Review of Financial Studies
Publication details: Volume 31, Issue 2, 2018, pages 532–555
DOI: 10.1093/rfs/hhx108
Summary: This paper deduces and tests restrictions associated with the recovery theorem in asset pricing.
Topics: recovery theorem; asset pricing; stochastic discount factors; risk-neutral probabilities; pricing kernels
Citation: Bakshi, Gurdip, Fousseni Chabi-Yo, and Xiaohui Gao. “A Recovery That We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem.” Review of Financial Studies 31(2), 2018, 532–555. DOI: 10.1093/rfs/hhx108.

14. Heterogeneity in Beliefs and Volatility Tail Behavior
Publication ID: PUB-2015-14
Authors: Gurdip Bakshi; Dilip Madan; George Panayotov
Year: 2015
Journal: Journal of Financial and Quantitative Analysis
Publication details: Volume 50, Issue 6, December 2015, pages 1389–1414
DOI: 10.1017/S0022109015000642
Summary: This paper studies how heterogeneity in beliefs relates to volatility tail behavior and asset-pricing implications.
Topics: heterogeneous beliefs; volatility tail behavior; option markets; asset pricing; tail risk
Citation: Bakshi, Gurdip, Dilip Madan, and George Panayotov. “Heterogeneity in Beliefs and Volatility Tail Behavior.” Journal of Financial and Quantitative Analysis 50(6), December 2015, 1389–1414. DOI: 10.1017/S0022109015000642.

15. Currency Carry Trade Return Predictability and Asset Pricing Implications
Publication ID: PUB-2013-15
Authors: Gurdip Bakshi; George Panayotov
Year: 2013
Journal: Journal of Financial Economics
Publication details: Volume 110, Issue 1, 2013, pages 139–163
DOI: 10.1016/j.jfineco.2013.04.010
Summary: This paper studies predictability in currency carry-trade returns and the implications for asset-pricing models.
Topics: currency carry trade; return predictability; foreign exchange; currency markets; asset pricing; international finance
Citation: Bakshi, Gurdip, and George Panayotov. “Currency Carry Trade Return Predictability and Asset Pricing Implications.” Journal of Financial Economics 110(1), 2013, 139–163. DOI: 10.1016/j.jfineco.2013.04.010.

16. Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
Publication ID: PUB-2012-16
Authors: Gurdip Bakshi; Fousseni Chabi-Yo
Year: 2012
Journal: Journal of Financial Economics
Publication details: Volume 105, Issue 1, 2012, pages 191–208
DOI: 10.1016/j.jfineco.2012.01.003
Summary: This paper derives variance bounds for permanent and transitory components of stochastic discount factors.
Topics: stochastic discount factors; variance bounds; asset pricing; permanent components; transitory components
Citation: Bakshi, Gurdip, and Fousseni Chabi-Yo. “Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors.” Journal of Financial Economics 105(1), 2012, 191–208. DOI: 10.1016/j.jfineco.2012.01.003.

17. Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios
Publication ID: PUB-2011-17
Authors: Gurdip Bakshi; George Panayotov; Georgios Skoulakis
Year: 2011
Journal: Journal of Financial Economics
Publication details: Volume 100, Issue 3, 2011, pages 475–495
DOI: 10.1016/j.jfineco.2011.01.002
Summary: This paper examines whether forward variances inferred from option portfolios improve forecasts of real economic activity and asset returns.
Topics: forward variance; option portfolios; return predictability; real economic activity; asset returns; options
Citation: Bakshi, Gurdip, George Panayotov, and Georgios Skoulakis. “Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios.” Journal of Financial Economics 100(3), 2011, 475–495. DOI: 10.1016/j.jfineco.2011.01.002.

18. The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
Publication ID: PUB-2010-18
Authors: Gurdip Bakshi; Liuren Wu
Year: 2010
Journal: Management Science
Publication details: Volume 56, Issue 12, December 2010, pages 2251–2264
DOI: 10.1287/mnsc.1100.1256
Summary: This paper studies how risk and market prices of risk behaved during the Nasdaq bubble period.
Topics: Nasdaq bubble; market prices of risk; risk premia; asset pricing; financial bubbles; equity markets
Citation: Bakshi, Gurdip, and Liuren Wu. “The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period.” Management Science 56(12), December 2010, 2251–2264. DOI: 10.1287/mnsc.1100.1256.

19. Do Subjective Expectations Explain Asset Pricing Puzzles?
Publication ID: PUB-2010-19
Authors: Gurdip Bakshi; Georgios Skoulakis
Year: 2010
Journal: Journal of Financial Economics
Publication details: Volume 98, Issue 3, 2010, pages 462–477
DOI: Not listed
Summary: This paper studies whether subjective expectations can explain major asset-pricing puzzles.
Topics: subjective expectations; asset-pricing puzzles; expected returns; investor beliefs; financial economics
Citation: Bakshi, Gurdip, and Georgios Skoulakis. “Do Subjective Expectations Explain Asset Pricing Puzzles?” Journal of Financial Economics 98(3), 2010, 462–477.

20. Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels
Publication ID: PUB-2010-20
Authors: Gurdip Bakshi; Dilip Madan; George Panayotov
Year: 2010
Journal: Journal of Financial Economics
Publication details: Volume 97, Issue 1, 2010, pages 130–154
DOI: Not listed
Summary: This paper studies returns of upside claims and evaluates the viability of U-shaped pricing kernels.
Topics: pricing kernels; upside claims; option pricing; stochastic discount factors; asset pricing; derivatives
Citation: Bakshi, Gurdip, Dilip Madan, and George Panayotov. “Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels.” Journal of Financial Economics 97(1), 2010, 130–154.

21. Deducing the Implications of Jump Models for the Structure of Crashes, Rallies, Jump Arrival Rates and Extremes
Publication ID: PUB-2010-21
Authors: Gurdip Bakshi; Dilip Madan; George Panayotov
Year: 2010
Journal: Journal of Business and Economic Statistics
Publication details: Volume 28, Issue 3, July 2010, pages 380–396
DOI: 10.1198/jbes.2009.06176
Summary: This paper studies the implications of jump models for crashes, rallies, jump arrival rates, and extreme market outcomes.
Topics: jump models; crashes; rallies; extreme events; jump risk; market risk; financial econometrics
Citation: Bakshi, Gurdip, Dilip Madan, and George Panayotov. “Deducing the Implications of Jump Models for the Structure of Crashes, Rallies, Jump Arrival Rates and Extremes.” Journal of Business and Economic Statistics 28(3), July 2010, 380–396. DOI: 10.1198/jbes.2009.06176.

22. First Passage Probability, Jump Models, and Intra-Period Risk
Publication ID: PUB-2010-22
Authors: Gurdip Bakshi; George Panayotov
Year: 2010
Journal: Journal of Financial Economics
Publication details: Volume 95, Issue 1, 2010, pages 20–40
DOI: Not listed
Summary: This paper studies first-passage probabilities, jump models, and intra-period risk in financial markets.
Topics: first-passage probability; jump models; intra-period risk; derivatives; asset pricing; financial econometrics
Citation: Bakshi, Gurdip, and George Panayotov. “First Passage Probability, Jump Models, and Intra-Period Risk.” Journal of Financial Economics 95(1), 2010, 20–40.

23. Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies
Publication ID: PUB-2008-23
Authors: Gurdip Bakshi; Peter Carr; Liuren Wu
Year: 2008
Journal: Journal of Financial Economics
Publication details: Volume 87, Issue 1, January 2008, pages 132–156
DOI: Not listed
Summary: This paper studies stochastic risk premiums and stochastic skewness in currency options and links them to stochastic discount factors in international economies.
Topics: currency options; stochastic risk premiums; stochastic skewness; stochastic discount factors; international finance; foreign exchange
Citation: Bakshi, Gurdip, Peter Carr, and Liuren Wu. “Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies.” Journal of Financial Economics 87(1), January 2008, 132–156.

24. A Theory of Volatility Spreads
Publication ID: PUB-2006-24
Authors: Gurdip Bakshi; Dilip Madan
Year: 2006
Journal: Management Science
Publication details: Volume 52, Issue 12, December 2006, pages 1945–1956
DOI: Not listed
Summary: This paper develops a theory of volatility spreads in derivative markets.
Topics: volatility spreads; derivatives; option pricing; volatility; asset pricing; financial theory
Citation: Bakshi, Gurdip, and Dilip Madan. “A Theory of Volatility Spreads.” Management Science 52(12), December 2006, 1945–1956.

25. Estimation of Continuous-Time Models with an Application to Equity Volatility
Publication ID: PUB-2006-25
Authors: Gurdip Bakshi; Nengjiu Ju; Hui Ou-Yang
Year: 2006
Journal: Journal of Financial Economics
Publication details: Volume 82, Issue 1, October 2006, pages 227–249
DOI: Not listed
Summary: This paper develops estimation methods for continuous-time models and applies them to equity volatility.
Topics: continuous-time models; equity volatility; estimation; financial econometrics; stochastic processes
Citation: Bakshi, Gurdip, Nengjiu Ju, and Hui Ou-Yang. “Estimation of Continuous-Time Models with an Application to Equity Volatility.” Journal of Financial Economics 82(1), October 2006, 227–249.

26. Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models
Publication ID: PUB-2006-26
Authors: Gurdip Bakshi; Dilip Madan; Frank Zhang
Year: 2006
Journal: Journal of Business
Publication details: Volume 79, Issue 4, July 2006, pages 1955–1988
DOI: Not listed
Summary: This paper empirically evaluates credit-risk models and studies the role of systematic and firm-specific factors in default risk.
Topics: default risk; credit risk; credit-risk models; systematic risk; firm-specific risk; empirical finance
Citation: Bakshi, Gurdip, Dilip Madan, and Frank Zhang. “Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models.” Journal of Business 79(4), July 2006, 1955–1988.

27. A Refinement to Ait-Sahalia’s (2000) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach
Publication ID: PUB-2005-27
Authors: Gurdip Bakshi; Nengjiu Ju
Year: 2005
Journal: Journal of Business
Publication details: Volume 78, Issue 5, September 2005, pages 2037–2052
DOI: Not listed
Summary: This paper refines maximum likelihood estimation methods for discretely sampled diffusion processes using a closed-form approximation approach.
Topics: maximum likelihood estimation; diffusion processes; financial econometrics; continuous-time finance; closed-form approximation
Citation: Bakshi, Gurdip, and Nengjiu Ju. “A Refinement to Ait-Sahalia’s (2000) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach.” Journal of Business 78(5), September 2005, 2037–2052.

28. Stock Valuation in Dynamic Economies
Publication ID: PUB-2005-28
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 2005
Journal: Journal of Financial Markets
Publication details: Volume 8, Issue 2, 2005, pages 111–151
DOI: Not listed
Summary: This paper studies stock valuation in dynamic economic environments.
Topics: stock valuation; dynamic economies; asset pricing; equity valuation; financial markets
Citation: Bakshi, Gurdip, and Zhiwu Chen. “Stock Valuation in Dynamic Economies.” Journal of Financial Markets 8(2), 2005, 111–151.

29. Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights
Publication ID: PUB-2003-29
Authors: Gurdip Bakshi; Nikunj Kapadia
Year: 2003
Journal: Journal of Derivatives
Publication details: Fall 2003, pages 45–54
DOI: Not listed
Summary: This paper studies the volatility risk premium embedded in individual equity options.
Topics: volatility risk premium; individual equity options; derivatives; option pricing; equity options
Citation: Bakshi, Gurdip, and Nikunj Kapadia. “Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights.” Journal of Derivatives, Fall 2003, 45–54.

30. Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Publication ID: PUB-2003-30
Authors: Gurdip Bakshi; Nikunj Kapadia
Year: 2003
Journal: Review of Financial Studies
Publication details: Volume 16, Issue 2, 2003, pages 527–566
DOI: 10.1093/rfs/hhg002
Summary: This paper uses delta-hedged gains to study the negative market volatility risk premium in option markets.
Topics: delta hedging; volatility risk premium; market volatility; option pricing; equity options; risk premia; derivatives
Citation: Bakshi, Gurdip, and Nikunj Kapadia. “Delta-Hedged Gains and the Negative Market Volatility Risk Premium.” Review of Financial Studies 16(2), 2003, 527–566. DOI: 10.1093/rfs/hhg002.

31. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Publication ID: PUB-2003-31
Authors: Gurdip Bakshi; Nikunj Kapadia; Dilip Madan
Year: 2003
Journal: Review of Financial Studies
Publication details: Volume 16, Issue 1, 2003, pages 101–143
DOI: 10.1093/rfs/16.1.0101
Summary: This paper studies how stock-return characteristics and skewness affect the pricing of individual equity options.
Topics: individual equity options; skewness; stock returns; option pricing; volatility; derivatives
Citation: Bakshi, Gurdip, Nikunj Kapadia, and Dilip Madan. “Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options.” Review of Financial Studies 16(1), 2003, 101–143. DOI: 10.1093/rfs/16.1.0101.

32. Average-Rate Contingent Claims with Emphasis on Catastrophe Loss Options
Publication ID: PUB-2002-32
Authors: Gurdip Bakshi; Dilip Madan
Year: 2002
Journal: Journal of Financial and Quantitative Analysis
Publication details: Volume 37, Issue 1, March 2002, pages 93–115
DOI: Not listed
Summary: This paper studies average-rate contingent claims with an emphasis on catastrophe loss options.
Topics: contingent claims; catastrophe loss options; derivative pricing; average-rate claims; risk transfer
Citation: Bakshi, Gurdip, and Dilip Madan. “Average-Rate Contingent Claims with Emphasis on Catastrophe Loss Options.” Journal of Financial and Quantitative Analysis 37(1), March 2002, 93–115.

33. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
Publication ID: PUB-2000-33
Authors: Gurdip Bakshi; Charles Cao; Zhiwu Chen
Year: 2000
Journal: Review of Financial Studies
Publication details: Volume 13, Fall 2000, pages 549–584
DOI: Not listed
Summary: This paper studies whether call option prices and underlying stock prices always move in the same direction.
Topics: call options; stock prices; option pricing; equity options; derivatives; market anomalies
Citation: Bakshi, Gurdip, Charles Cao, and Zhiwu Chen. “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies 13, Fall 2000, 549–584.

34. Spanning and Derivative-Security Valuation
Publication ID: PUB-2000-34
Authors: Gurdip Bakshi; Dilip Madan
Year: 2000
Journal: Journal of Financial Economics
Publication details: Volume 55, Issue 2, 2000, pages 205–238
DOI: 10.1016/S0304-405X(99)00050-1
Summary: This paper develops theory on spanning and derivative-security valuation.
Topics: spanning; derivative-security valuation; option pricing; asset pricing; financial theory; derivatives
Citation: Bakshi, Gurdip, and Dilip Madan. “Spanning and Derivative-Security Valuation.” Journal of Financial Economics 55(2), 2000, 205–238. DOI: 10.1016/S0304-405X(99)00050-1.

35. Pricing and Hedging Long-Term Options
Publication ID: PUB-2000-35
Authors: Gurdip Bakshi; Charles Cao; Zhiwu Chen
Year: 2000
Journal: Journal of Econometrics
Publication details: Volume 94, 2000, pages 277–318
DOI: Not listed
Summary: This paper studies pricing and hedging methods for long-term options.
Topics: long-term options; option pricing; hedging; derivatives; financial econometrics
Citation: Bakshi, Gurdip, Charles Cao, and Zhiwu Chen. “Pricing and Hedging Long-Term Options.” Journal of Econometrics 94, 2000, 277–318.

36. Empirical Performance of Alternative Option Pricing Models
Publication ID: PUB-1997-36
Authors: Gurdip Bakshi; Charles Cao; Zhiwu Chen
Year: 1997
Journal: Journal of Finance
Publication details: Volume 52, Issue 5, December 1997, pages 2003–2049
DOI: 10.1111/j.1540-6261.1997.tb02749.x
Summary: This paper empirically evaluates the performance of alternative option-pricing models.
Topics: option pricing; empirical finance; derivatives; volatility; model evaluation; equity options
Citation: Bakshi, Gurdip, Charles Cao, and Zhiwu Chen. “Empirical Performance of Alternative Option Pricing Models.” Journal of Finance 52(5), December 1997, 2003–2049. DOI: 10.1111/j.1540-6261.1997.tb02749.x.

37. Equilibrium Valuation of Foreign Exchange Claims
Publication ID: PUB-1997-37
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 1997
Journal: Journal of Finance
Publication details: Volume 52, 1997, pages 799–826
DOI: Not listed
Summary: This paper studies equilibrium valuation of foreign exchange claims.
Topics: foreign exchange claims; currency markets; international finance; asset pricing; contingent claims
Citation: Bakshi, Gurdip, and Zhiwu Chen. “Equilibrium Valuation of Foreign Exchange Claims.” Journal of Finance 52, 1997, 799–826.

38. An Alternative Valuation Model for Contingent Claims
Publication ID: PUB-1997-38
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 1997
Journal: Journal of Financial Economics
Publication details: Volume 44, 1997, pages 123–165
DOI: Not listed
Summary: This paper develops an alternative valuation model for contingent claims.
Topics: contingent claims; derivative valuation; option pricing; asset pricing; financial theory
Citation: Bakshi, Gurdip, and Zhiwu Chen. “An Alternative Valuation Model for Contingent Claims.” Journal of Financial Economics 44, 1997, 123–165.

39. An Empirical Investigation of Asset Pricing Models Using Japanese Stock Market Data
Publication ID: PUB-1997-39
Authors: Gurdip Bakshi; Atsuyuki Naka
Year: 1997
Journal: Journal of International Money and Finance
Publication details: Volume 16, 1997, pages 81–112
DOI: Not listed
Summary: This paper empirically investigates asset-pricing models using Japanese stock-market data.
Topics: Japanese stock market; asset-pricing models; international finance; empirical asset pricing; equity markets
Citation: Bakshi, Gurdip, and Atsuyuki Naka. “An Empirical Investigation of Asset Pricing Models Using Japanese Stock Market Data.” Journal of International Money and Finance 16, 1997, 81–112.

40. Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies
Publication ID: PUB-1996-40
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 1996
Journal: Review of Financial Studies
Publication details: Volume 9, Issue 1, 1996, pages 237–271
DOI: Not listed
Summary: This paper studies inflation, asset prices, and the term structure of interest rates in monetary economies.
Topics: inflation; asset prices; term structure; interest rates; monetary economies; asset pricing
Citation: Bakshi, Gurdip, and Zhiwu Chen. “Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies.” Review of Financial Studies 9(1), 1996, 237–271.

41. The Spirit of Capitalism and Stock Market Prices
Publication ID: PUB-1996-41
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 1996
Journal: American Economic Review
Publication details: Volume 86, Issue 1, 1996, pages 133–157
DOI: Not listed
Summary: This paper studies stock-market prices using a model that incorporates wealth-based preferences associated with the “spirit of capitalism.”
Topics: stock market prices; asset pricing; preferences; macro-finance; wealth; equity markets
Citation: Bakshi, Gurdip, and Zhiwu Chen. “The Spirit of Capitalism and Stock Market Prices.” American Economic Review 86(1), 1996, 133–157.

42. Production-Based Asset Pricing in Japan
Publication ID: PUB-1995-42
Authors: Gurdip Bakshi; Zhiwu Chen; Yuki Naka
Year: 1995
Journal: Pacific-Basin Finance Journal
Publication details: Volume 3, 1995, pages 217–240
DOI: Not listed
Summary: This paper studies production-based asset pricing in Japan.
Topics: production-based asset pricing; Japan; international finance; empirical asset pricing; Pacific-Basin markets
Citation: Bakshi, Gurdip, Zhiwu Chen, and Yuki Naka. “Production-Based Asset Pricing in Japan.” Pacific-Basin Finance Journal 3, 1995, 217–240.

43. Baby Boom, Population Aging and Capital Markets
Publication ID: PUB-1994-43
Authors: Gurdip Bakshi; Zhiwu Chen
Year: 1994
Journal: Journal of Business
Publication details: Volume 67, Issue 2, 1994, pages 165–202
DOI: Not listed
Summary: This paper studies the relationship between demographic change, population aging, and capital markets.
Topics: demographics; population aging; capital markets; asset pricing; macro-finance; baby boom
Citation: Bakshi, Gurdip, and Zhiwu Chen. “Baby Boom, Population Aging and Capital Markets.” Journal of Business 67(2), 1994, 165–202.

Topic Index

Asset pricing:
PUB-2024-02; PUB-2023-04; PUB-2023-06; PUB-2021-08; PUB-2021-09; PUB-2019-10; PUB-2019-11; PUB-2018-12; PUB-2018-13; PUB-2013-15; PUB-2012-16; PUB-2010-18; PUB-2010-19; PUB-1997-39; PUB-1996-40; PUB-1996-41; PUB-1995-42; PUB-1994-43

Option pricing and derivatives:
PUB-2025-01; PUB-2024-02; PUB-2024-03; PUB-2023-04; PUB-2022-05; PUB-2021-09; PUB-2011-17; PUB-2010-20; PUB-2008-23; PUB-2006-24; PUB-2003-29; PUB-2003-30; PUB-2003-31; PUB-2002-32; PUB-2000-33; PUB-2000-34; PUB-2000-35; PUB-1997-36; PUB-1997-38

Volatility, jump risk, and tail risk:
PUB-2025-01; PUB-2022-05; PUB-2015-14; PUB-2010-21; PUB-2010-22; PUB-2008-23; PUB-2006-24; PUB-2006-25; PUB-2003-29; PUB-2003-30; PUB-2003-31

Stochastic discount factors and pricing kernels:
PUB-2023-06; PUB-2021-08; PUB-2019-10; PUB-2018-13; PUB-2012-16; PUB-2010-20; PUB-2008-23

Commodity markets:
PUB-2024-03; PUB-2019-11

Currency markets and international finance:
PUB-2018-12; PUB-2013-15; PUB-2008-23; PUB-1997-37; PUB-1997-39; PUB-1995-42

Treasury markets and fixed income:
PUB-2023-04; PUB-2023-06; PUB-1996-40

Default risk and credit risk:
PUB-2022-07; PUB-2006-26

Recovery theorem and disaster probability:
PUB-2023-06; PUB-2018-13

Demographics and capital markets:
PUB-1994-43