Overview
Gurdip Bakshi is a finance professor at the Robert H. Smith School of Business, University of Maryland (College Park). His research focuses on derivative securities, asset pricing, and empirical option pricing, with particular emphasis on models that allow for stochastic volatility, random jumps, and stochastic interest rates.
Key Contributions
- Bakshi-Cao-Chen (1997): Co-developed the SVSI-J nested option pricing framework that unifies Black-Scholes, stochastic-volatility, and jump-diffusion models as special cases. Established that stochastic volatility is the first-order improvement in pricing and hedging, while jumps and stochastic interest rates provide only second-order gains.
- Bakshi-Chen (1997a): "An alternative valuation model for contingent claims." Journal of Financial Economics 44: 123–165.
- Bakshi-Chen (1997b): "Equilibrium valuation of foreign exchange claims." Journal of Finance 52: 799–826.
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