Prof. Sanjay Nawalkha
 

Sanjay K. Nawalkha 
 

Professor and Chairman


Telephone: 413-687-2561

Email: nawalkha@isenberg.umass.edu

Office: Isenberg 310B

Professional Web Sites:
Books and Software
Downloadable Articles

 

 

View CV (pdf)



Education:

Ph.D., University of Massachusetts
M.B.A., University of Massachusetts
B.Sc. (Math), University of Bombay 

Research/Teaching Interests:

Interest Rate Risk Modeling
Term Structure Modeling
Credit Risk Modeling
Financial Derivatives
Asset Pricing
Fixed Income
Asset Pricing
Finance Theory


Publications/Presentations:

Beliaeva, Natalia, Sanjay K. Nawalkha, 2012, "Pricing American Interest Rate Options Under the Jump Extended Constant-Elasticity-of-Variance Short Rate Models," Journal of Banking and Finance, Vol. 36, No.1, 151-163.

 

Nawalkha, Sanjay K., Jose Alberto de Luca, and Gloria Soto, 2011, "Simple Formulas for Financial Analysts for Pricing Zero-Dividend and Positive-Dividend Stocks," Investment Management and Financial Innovations, Vol. 8(1), 40-50. 

 

Nawalkha, Sanjay K., and Riccardo Rebonato, 2011, "What Interest Rate Models to Use?  Buy Side versus Sell Side. Journal of Investment Management, Third quarter.

Beliaeva, Natalia A. and Sanjay K. Nawalkha, 2010, "A Simple Approach to Pricing American Options under the Heston Stochastic Volatility Model, The Journal of Derivatives, (Summer). 


Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2010, "A New Taxonomy of Dynamic Term Structure Models," Journal of Investment
Management, Third quarter.

Nawalkha, Sanjay K., 2010, "The LIBOR/SABR Market Model: A Critical Review," 
Journal of Investment Management, Second quarter, 101-22.

Nawalkha, Sanjay K. and Gloria M. Soto, 2009, "Managing Interest Rate Risk:  The Next Challenge," Journal of Investment Management, Third quarter, 82-96.

PUBLISHED BOOKS AND MONOGRAPHS 

Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2007, "Dynamic Term Structure Modeling: The Fixed Income Valuation Course," Wiley Finance, John Wiley and Sons, 683 pages.


Nawalkha, Sanjay K., Gloria M. Soto, and Natalia A. Beliaeva, 2005, "Interest Rate Risk Modeling: The Fixed Income Valuation Course," Wiley Finance, John Wiley and Sons,  496 pages.

 

Nawalkha, Sanjay K. and Donald R. Chambers (Editors), 1999, "Interest Rate Risk Measurement and Management," Institutional Investor, New York, 568 pages.


Lacey, Nelson J. and Sanjay K. Nawalkha, 1990, "Closed Form Duration Measures and Strategy Applications," The Research Foundation of the Institute of Chartered Financial Analysts, Charlottesville, Virginia. 

WORKING PAPERS AND RESEARCH IN PROGRESS 

Beliaeva, Natalia A. Sanjay K. Nawalkha, and Michael Sullivan, 2014, "Pricing American Options under Low-Dimensional Stochastic Volatility Models," Working Paper, University of Massachusetts, Amherst.

Beliaeva, Natalia A., Timothy Crack, and Sanjay K. Nawalkha, 2014, "Pricing American Index Options under Stochastic Volatility Jump Models: An Empirical Investigation," research in progress, Suffolk University, Boston.

Nawalkha, Sanjay K. and Feng Tu, 2014, "The Net Impact of Diversification on Bank Liquidity Creation," Working Paper, University of Massachusetts, Amherst.
 
BOOKS IN PROGRESS

Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2014, "Credit Risk and Return Modeling: The Fixed Income Valuation Course," Wiley Finance, John Wiley and Sons. Work in progress.


Nawalkha, Sanjay K., 2014, "Fooled by the Black Swan: A Critique of Antifragility," Work in Progress.