Overview
Suresh M. Sundaresan is a finance professor at Columbia Business School, known for his research in continuous-time asset pricing, fixed income, and consumption-based asset pricing. His 2000 Journal of Finance presidential address surveys continuous-time methods in finance over the period 1969–1999, organized around the Harrison-Kreps martingale foundation, the affine jump-diffusion (AJD) framework, six estimation methods, and open problems. He is also known for early work on habit formation in consumption (Sundaresan 1989), which generates time-varying effective risk aversion and provides a partial resolution of the equity premium puzzle.
Key Contributions / Features
- Habit formation (1989): Introduced durability and habit persistence in consumption utility; generates time-varying risk aversion where effective curvature rises as consumption approaches the habit stock in bad times. Contemporaneous with and complementary to Constantinides (1990).
- Survey of continuous-time finance (2000): Comprehensive review of foundational breakthroughs (1969–1980) and estimation-era developments (1981–1999); organizes the field around Harrison-Kreps (1979), AJD (Duffie-Kan 1996), six estimation methods, and unsolved problems.
- Term structure and derivatives: Contributions to continuous-time term structure modeling, endogenous financial contracts, and derivative pricing under credit and liquidity risk.
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