Michael Johannes is a finance professor at Columbia University's Graduate School of Business. His research focuses on asset pricing and financial econometrics, particularly MCMC methods for continuous-time models with jumps and stochastic volatility, and their applications to derivatives pricing and portfolio management.
Key Contributions / Features
Jacquier, Johannes, and Polson (2007): MCMC-ML algorithm for latent state models — J-copy data augmentation concentrates the parameter marginal on the MLE; J(draws−MLE)→N(0,I−1) provides standard errors; applied to SV and multivariate Merton (1976) jump-diffusion.
Eraker, Johannes, and Polson (2002): "The Impact of Jumps in Volatility and Returns," Journal of Finance 57 — evidence for simultaneous jumps in returns and volatility.
Johannes and Polson (2004): "MCMC Methods for Financial Econometrics," chapter in Handbook of Financial Econometrics, eds. Aït-Sahalia and Hansen.