Nikunj Kapadia

Associate Professor of Finance

Telephone: 413-545-5643

Office: Isenberg 310C

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, InfoTech Finance, Advanced Corporate Finance, Doctoral Seminar in Options

Selected Publications

Kapadia, Nikunj and Xiaoilng Pu, 2011, "Limited Arbitrage between Equity and Credit Markets," Journal of Financial Economics forthcoming.

Kapadia, Nikunj and Gregory Willette, 2011, "Equilibrium Exercise of European Warrants," Review of Derivatives Research forthcoming.

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 Award, Isenberg School of Management, 2006-07

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

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