RESEARCH Research Interests Volatility, Equity Derivatives, Credit Risk Publications Hasan, Mohammad, Kapadia, Nikunj, and in Akhtar Siddique, 2017, “Issuer Bias Journal of Credit Risk Corporate Ratings towards Financially Constrained Firms,” 13(4) pp. 1-35. Lead article Bissas, Brian Levine, and Nikunj Kapadia, 2017, Security George “Market-based for of the ACM Workshop on New Security Distributed Applications.” In Proc. Paradigms, Sep. 2017. Ball, Daniel, Abhijit Deshmukh, and Nikunj Kapadia, 2015, ``An Options-Based Approach to Coordinating Distributed Decision Systems,” European Journal of 240 (3), 706-717. Operational Research Kapadia, Nikunj and of European Gregory Willette, 2012, “Equilibrium Exercise 15 (2), 129-156. Review of Derivatives Research, Warrants,” Kapadia, Nikunj and Xiaoling Pu, 2012, Arbitrage Between Equity and “Limited Credit 105 (3), 542-564. Journal of Financial Economics, markets,” Kapadia, Nikunj and Risk and Return Characteristics Edward Szado, 2007, “The of the Buy-Write Strategy on the Journal of Alternative Russell 2000 Index,” 8 (1), pp. 39-56. Investment, Das, Sanjiv, Darrell Duffie, Nikunj Kapadia, and Leandro Saita, 2007, “Common 62(1), Failings: How corporate defaults are correlated,” Journal of Finance Best Paper prize at the Western Finance Association. Reprinted in: The Foundations of Credit Risk Analysis, Eds. Willi Semler and Lucas Bernard, MA: Edward Elgar Publishing, 2007. Das, Sanjiv, Laurence Freed, Garg Geng, and Nikunj Kapadia, 2006, “Correlated 16(2), 7-32 Default Risk,” Journal of Fixed Income Lead article.
RESEARCH Research Interests Volatility, Equity Derivatives, Credit Risk Publications Hasan, Mohammad, Kapadia, Nikunj, and Akhtar Siddique, 2017, “Issuer Bias in Corporate Ratings towards Financially Constrained Firms,” Journal of Credit Risk 13(4) pp. 1-35. Lead article George Bissas, Brian Levine, and Nikunj Kapadia, 2017, “Market-based Security for Distributed Applications.” In Proc. of the ACM Workshop on New Security Paradigms, Sep. 2017. Ball, Daniel, Abhijit Deshmukh, and Nikunj Kapadia, 2015, ``An Options-Based Approach to Coordinating Distributed Decision Systems,” European Journal of Operational Research 240 (3), 706-717. Kapadia, Nikunj and Gregory Willette, 2012, “Equilibrium Exercise of European Warrants,” Review of Derivatives Research, 15 (2), 129-156. Kapadia, Nikunj and Xiaoling Pu, 2012, “Limited Arbitrage Between Equity and Credit markets,” Journal of Financial Economics, 105 (3), 542-564. Kapadia, Nikunj and Edward Szado, 2007, “The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index,” Journal of Alternative Investment, 8 (1), pp. 39-56. Das, Sanjiv, Darrell Duffie, Nikunj Kapadia, and Leandro Saita, 2007, “Common Failings: How corporate defaults are correlated,” Journal of Finance 62(1), Best Paper prize at the Western Finance Association. Reprinted in: The Foundations of Credit Risk Analysis, Eds. Willi Semler and Lucas Bernard, MA: Edward Elgar Publishing, 2007. Das, Sanjiv, Laurence Freed, Garg Geng, and Nikunj Kapadia, 2006, “Correlated Default Risk,” Journal of Fixed Income 16(2), 7-32 Lead article.