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Anurag Gupta · Study
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Author
Anurag Gupta
11 works
· latest 2022
· 4 institutions
cluster: provisional
ORCID 0000-0002-7242-510X
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Citations
843
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22
Most cited in this library
Moral hazard and adverse selection in the originate-to-distribute model of bank credit
2009 · 187 citations
Do hedge funds have enough capital? A value-at-risk approach
2005 · 133 citations
Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
2003 · 85 citations
An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps
1998 · 84 citations
Liquidity in the Pricing of Syndicated Loans
2006 · 70 citations
Works
11 shown
A comparative study of the Vasicek and the CIR model of the short rate
Fraunhofer-Publica (Fraunhofer-Gesellschaft)
·
2022
·
2 authors
·
report
·
Open access
34
citations
Liquidity effect in OTC options markets: Premium or discount?
Journal of Financial Markets
·
2010
·
3 authors
·
Open access
65
citations
Moral hazard and adverse selection in the originate-to-distribute model of bank credit
Journal of Monetary Economics
·
2009
·
2 authors
187
citations
Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit
SSRN Electronic Journal
·
2008
·
2 authors
·
preprint
·
Open access
63
citations
The economic determinants of interest rate option smiles
Journal of Banking & Finance
·
2007
·
3 authors
·
Open access
32
citations
Liquidity in the Pricing of Syndicated Loans
Journal of Financial Markets
·
2006
·
3 authors
·
Open access
70
citations
Do hedge funds have enough capital? A value-at-risk approach
Journal of Financial Economics
·
2005
·
1 author
·
Open access
133
citations
Pricing and hedging interest rate options: Evidence from cap–floor markets
Journal of Banking & Finance
·
2005
·
2 authors
39
citations
Pricing and hedging interest rate options: Evidence from cap–floor markets
Journal of Banking & Finance
·
2004
·
2 authors
51
citations
Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
The Journal of Finance
·
2003
·
3 authors
·
Open access
85
citations
An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps
Faculty Digital Archive (New York University Florence)
·
1998
·
2 authors
·
report
84
citations