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Sanjay K. Nawalkha
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Education:Ph.D., University of Massachusetts |
Research/Teaching Interests:Interest Rate Risk Modeling |
Publications/Presentations:
Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, "Credit Risk Modeling: The Fixed Income Valuation Course," Wiley Finance, John Wiley and Sons, forthcoming, 2009.
Beliaeva, Natalia A., Sanjay K. Nawalkha, and Gloria M. Soto, 2008, "Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model, Journal of Derivatives, Fall.
Nawalkha, Sanjay and Natalia Beliaeva, 2007, "Efficient Trees for CIR and CEV Short Rate Models," Journal of Alternative Investments, Summer.
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, S. K., and N. Beliaeva, 2006, "Shifted CEV Short Rate Models with Exponential and Lognormal Jumps," Financial Management Association International Annual Meeting, Salt Lake City, October 2006.
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 and Saira Latif, 2004, "Measuring True Risk Exposure," Banking Today, July/August, p. 23-27.
Nawalkha, Sanjay and Christopher Schwarz, "The Progeny of CAPM," Journal of Investment Management, third quarter, 2004.
Nawalkha, Sanjay K., Jun Zhang, and Gloria M. Soto, 2003, "Generalized M-Vector Models for Hedging Interest Rate Risk," Journal of Banking and Finance, Vol. 27, No.8, 1581-1604.
