Sanjiv Das

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Snajiv Das
SanjivDas.jpg
Nationality India
Alma mater New York University
Occupation Academic
Author
Employer Santa Clara University
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
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. pp. 940. ISBN 978-0072949315.


See also

References

  1. 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. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:u5HHmVD_uO8C.
  2. Das, Sanjiv R.; Chen (2007). Yahoo! for Amazon: Sentiment extraction from small talk on the web. Management Science: INFORMS. pp. 1375-1388. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:UeHWp8X0CEIC.
  3. 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. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:9yKSN-GCB0IC.
  4. 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. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:d1gkVwhDpl0C.
  5. Godes, David, Mayzlin, Dina, Chen, Yubo, Das, Sanjiv, Dellarocas, Chrysanthos , Pfeiffer, Bruce, Libai, Barak, Sen, Subrata, Shi, Mengze, and Verlegh, Peeter (2005). The firm's management of social interactions. Marketing Letters: Kluwer Academic Publishers. pp. 415-428. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:YsMSGLbcyi4C.
  6. Das, Sanjiv R. (2002). The surprise element: jumps in interest rates. Journal of Econometrics: North-Holland. pp. 27-65. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:2osOgNQ5qMEC.
  7. 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. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:u-x6o8ySG0sC.
  8. Das, Sanjiv R.; Uppal, Raman (2004). Systemic risk and international portfolio choice. The Journal of Finance: Blackwell Publishing, Inc.. pp. 2809-2834. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=d33zFzkAAAAJ&citation_for_view=d33zFzkAAAAJ:qjMakFHDy7sC.

External links