M
Marti G. Subrahmanyam
Researcher at New York University
Publications - 210
Citations - 8295
Marti G. Subrahmanyam is an academic researcher from New York University. The author has contributed to research in topics: Market liquidity & Credit risk. The author has an hindex of 52, co-authored 202 publications receiving 7641 citations. Previous affiliations of Marti G. Subrahmanyam include New York University Shanghai & Indian Institute of Management Ahmedabad.
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The economic determinants of interest rate option smiles
TL;DR: In this paper, the authors investigated the economic determinants of the shape of the smile and the predictive power of these determinants for the future shape of smile and vice versa using daily bid and ask prices of euro (€) interest rate caps/floors.
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When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel
TL;DR: In this paper, it was shown that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant.
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Credit Risk and the Yen Interest Rate Swap Market
TL;DR: In this paper, the authors investigated the pricing of Japanese yen interest rate swaps during the period 1990-96 and obtained measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyzed the relationship between the swap spreads and credit risk variables.
Journal ArticleDOI
The Economic Determinants of Interest Rate Option Smiles
TL;DR: In this paper, the authors investigated the economic determinants of the shape of the smile and the predictive power of these determinants for the future shape of smile and vice versa using daily bid and ask prices of euro interest rate caps/floors.
Journal ArticleDOI
Sovereign credit risk, liquidity, and ECB intervention : deus Ex machina?
TL;DR: In this paper, the authors examined the relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions and showed that changes in credit risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a 10% change in the CDS spread leads to an 11% increase in the bid-ask spread.