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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Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
TL;DR: In this article, the authors investigated the determinants of the term structures of market liquidity and bond yield in the case of the Quantitative Easing (QE) programs implemented by the Bank of Japan (BoJ).
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The Term Structure of Interest-Rate Futures Prices
TL;DR: In this article, the authors derived general properties of two-factor models of the term structure of interestrates and, in particular, the process for futures prices and rates, and showed that the correlation of the futures rates is restricted by the no-arbitrage conditions of the model.
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Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market
TL;DR: In this article, the authors present an extension of the Myers and Majluf (1984) model to examine private placements issued to owner-managers and empirically test the model's predictions on a sample of 164 preferential allotments (private placements) issued in the Indian capital markets during 2001-2009.
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Options on stock indices and options on futures
TL;DR: In this paper, the authors analyzed and compared the valuation of stock index options and stock index futures options and found that the difference in value depends on the differences between the dividend yield and interest rates.
A Two-factor Lognormal Model of the Term Structure and the Valuation of American-Style Options on Bonds
TL;DR: A two-factor lognormal model of the term structure and the valuation of American-style and Bermudan-style options on bonds was proposed in this article. But the model is not suitable for the analysis of derivatives.