Sanjay Nawalkha

Sanjay Nawalkha is professor of finance at the Isenberg School of Management at the University of Massachusetts, Amherst. He holds a PhD in finance from the University of Massachusetts, Amherst. Previously, he served as the chair of the Finance Department at the Isenberg School from 2011 to 2018.   

His research interests span theoretical asset pricing, fixed-income securities, derivatives, term structure modeling, and interest rate risk management. Among his influential contributions are a theoretical critique of Stephen A. Ross’s (1976) Arbitrage Pricing Theory and the development of the Equivalent Expectation Measures (EEMs) and Multiverse Equivalent Expectation Measures (MEEMs), which extend the Black–Scholes–Merton arbitrage-free valuation framework to the analysis of risk and return with higher-order moments of contingent claims. He is the recipient of the Isenberg School of Management Research Excellence Award and the Roger F. Murray Prize from the Q Group.  

He is the author of several books and monographs on fixed-income analytics and interest rate risk management, including Dynamic Term Structure Modeling, Interest Rate Risk Modeling, Interest Rate Risk Measurement and Management, and Closed-Form Duration Measures and Strategy Applications.   

His research has appeared in leading finance journals, including the Journal of Finance and the Journal of Financial Economics.   

Associate Director, Center for International Securities and Derivative Markets.  

Editor, 2024, Second Special Issue on the 50th Anniversary of Black–Merton–Scholes Nobel prize-winning research, Journal of Investment Management, Winter.  

Editor, 2024, First Special Issue on the 50th Anniversary of Black–Merton–Scholes Nobel prize-winning research, Journal of Investment Management, Fall.  

Associate Editor, 2015-2020, Journal of Investment Management.  

Received 200000 RMB award from Beijing Institute of Technology Research Fund (H20240448) to conduct research on the paper, "Multiverse Equivalent Expectation Measures for Computing Moments of Contingent Claim Returns" – August 2025.  

Winner of Roger F. Murray second prize by Q-Group – May 2024.

Nawalkha, Sanjay K. and Xiaoyang Zhuo, 2022, “A Theory of Equivalent Expectation Measures for Contingent Claim Returns,” The Journal of Finance, Volume 77, Issue 5, Pages: 2853-2906. 

Isenberg Research Excellence Award – Spring 2023.

"Markowitz Redux: Updating Modern Portfolio Theory," AI-CIO, January 9, 2024. https://www.ai-cio.com/news/markowitz-redux-updating-modern-portfolio-theory/ 

 “Black-Scholes 2.0: Classic Valuation Method Expanded to Cover More Derivatives,” AI-CIO, January 10, 2023. https://www.ai-cio.com/news/black-scholes-2-0-classic-valuation-method-expanded-to-cover-more-derivatives/ 

"The World of Finance Is Primed to Have a Big Impact on Climate Change. Here's How," Boston Globe Media Studio/B (sponsored content), March 19, 2018.  https://sponsored.bostonglobe.com/isenberg/finance-climate-change/ 

Nawalkha, Sanjay K. and Xiaoyang Zhuo, 2025, “Multiverse Equivalent Expectation Measures for Computing Moments of Contingent Claim Returns.” Working Paper, University of Massachusetts, Amherst.  

Dan Luo, Sanjay Nawalkha, Guangli Xu, Xiaoyang Zhuo, 2025, “A GMM-Based Analysis of Affine Models with Information from Spot, Option Prices, and Option Returns.” Working Paper. Beijing Institute of Technology.