Prof. Nikunj Kapadia
 

Nikunj Kapadia
 

Professor of Finance


Telephone: 413-545-5643

Email: nkapadia@isenberg.umass.edu

Office: Isenberg 310C 

http://people.umass.edu/nkapadia/

View CV (pdf)

 


Education:

Ph.D. in Finance, Stern School of Business, New York University, 1995
Postgraduate Diploma in Management, Indian Institute of Management, Bangalore, 1986
B.E. (Chemical Engineering), Maharaja Sayajirao University, Baroda, 1984 

Research Interests:

Equity Derivatives
Volatility
Real Options
Credit Risk

Courses:

International Finance, Financial Modeling, Advanced Corporate Finance, Doctoral Seminar in Options


Selected Publications

"Equilibrium Exercise of European Warrants," (with Gregory Willette), 2012, Review of Derivatives Research, 15 (2), 129-156.

 

"Limited Arbitrage Between Equity and Credit markets," (with Xiaoling Pu), 2012, Journal of Financial Economics, 105 (3), 542-564.

 

Das, Sanjiv, Darrell Duffie, Nikunj Kapadia and Leandro Saita, 2007,  "Common Failings: How corporate defaults are correlated," Journal of Finance 62(1),pp. 93-118.

 

Das, Sanjiv, Laurence Freed, Gary Geng and Nikunj Kapadia, 2006, "Correlated Default Risk," Journal of Fixed Income 16(2),pp. 7-32.

 

Bakshi, Gurdip and Nikunj Kapadia, 2003,  "Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights," The Journal of Derivatives, 11(1), pp. 45-54.

 

Bakshi, Gurdip and Nikunj Kapadia, 2003,  "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," Review of Financial Studies, Volume 16 (2), pp. 527-566.

 

Bakshi, Gurdip, Nikunj Kapadia and Dilip Madan, 2003, "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," Review of Financial Studies, Volume 16 (1), pp.101-143.

 

Academic and Professional Experience

Board of Directors: Aurionpro Solutions (National Stock Exchange, Bombay Stock Exchange)

Editorial Board: Journal of Derivatives (2011 to present), Financial Analyst Journal (2002)

 

Achievements and Awards

College Outstanding Teacher Award, Isenberg School of Management, 2007-08

College Outstanding Research Award, Isenberg School of Management, 2006-07 and 2011-12

Caesarea Center Award for Best Paper, Western Finance Association, 2005

Fellow, Federal Deposit Insurance Corporation's Center for Financial Research, 2004