Sanjiv Das
Sanjiv Das | |
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Nationality | India |
Alma mater | New York University |
Occupation | Academic Author |
Employer | Santa Clara University |
Known for | Modeling default risk Derivative pricing models |
Website | Das at Santa Clara Blog |
Sanjiv Das is the William and Janice Terry Professor of Finance at Santa Clara University's Leavey School of Business. His current research interests include: the modeling of default risk, machine learning, social networks, derivatives pricing models, portfolio theory, and venture capital.
Papers
Year | Study |
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1993 | Efficiency with costly information: A reinterpretation of evidence from managed portfolios[1] |
2007 | Yahoo! for Amazon: Sentiment extraction from small talk on the web[2] |
2007 | Common failings: How corporate defaults are correlated[3] |
1999 | Of smiles and smirks: A term structure perspective[4] |
2005 | The firm's management of social interactions[5] |
2002 | The surprise element: jumps in interest rates[6] |
1995 | Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic[7] |
2004 | Systemic risk and international portfolio choice[8] |
Book
Das is the co-author of a book on derivatives.
- Rangarajan Sundaram and Sanjiv R. Das (2010). Derivatives: Principles and Practice. McGraw-Hill Education. p. 940. ISBN 978-0072949315.
See also
References
- ↑ Elton, Edwin J.; Gruber, Martin J.; Das, Sanjiv R.; Hlavka, Matthew (1993). Efficiency with costly information: A reinterpretation of evidence from managed portfolios. Review of Financial Studies: Oxford University Press. pp. 1–22.
- ↑ Das, Sanjiv R.; Chen, Mike Y. (2007). Yahoo! for Amazon: Sentiment extraction from small talk on the web. Management Science: INFORMS. pp. 1375–1388.
- ↑ Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; Saita, Leandro (2007). Common failings: How corporate defaults are correlated. The Journal of Finance: Blackwell Publishing Inc. pp. 93–117.
- ↑ Das, Sanjiv R.; Sundaram, Rangarajan K. (1999). Of smiles and smirks: A term structure perspective. Journal of Financial and Quantitative Analysis: Cambridge University Press. pp. 211–239.
- ↑ Godes, David; Mayzlin, Dina; Chen, Yubo; Das, Sanjiv; Dellarocas, Chrysanthos; Pfeiffer, Bruce; Libai, Barak; Sen, Subrata; Shi, Mengze; Verlegh, Peeter (2005). The firm's management of social interactions. Marketing Letters: Kluwer Academic Publishers. pp. 415–428.
- ↑ Das, Sanjiv R. (2002). The surprise element: jumps in interest rates. Journal of Econometrics: North-Holland. pp. 27–65.
- ↑ Das, Sanjiv R.; Tufano, Peter (1995). Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic. Division of Research, Harvard Business School.
- ↑ Das, Sanjiv R.; Uppal, Raman (2004). Systemic risk and international portfolio choice. The Journal of Finance: Blackwell Publishing, Inc. pp. 2809–2834.
External links
- Home page
- Author page, Academic search (beta)
- Sanjiv Ranjan Das : Citation Profile, CitEc
- Google Scholars page
- Authors page, SSRN