Marti Subrahmanyam
31 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0001-9291-1124
Leonard N. Stern School of Business, New York University, New York, New York 10012
Publications
- Market Liquidity and Competition Among Designated Market Makers — Management Science 2025
- Sourcing for online marketplaces with demand and price uncertainty — Production and Operations Management 2023
- Attention triggers and investors’ risk-taking — Journal of Financial Economics 2022
- Credit Default Swaps around the World — The Review of Financial Studies 2022
- Informed Options Trading Prior to Takeover Announcements: Insider Trading? — Management Science 2019
- Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk — The Review of Financial Studies 2014
- The determinants of recovery rates in the US corporate bond market — Journal of Financial Economics 2014
- Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises — Journal of Financial Economics 2012
- Liquidity and Arbitrage in the Market for Credit Risk — Journal of Financial and Quantitative Analysis 2011
- Securitization and Real Investment in Incomplete Markets — Management Science 2011
- On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements — Journal of Financial and Quantitative Analysis 2009
- Introduction to the Special Issue on “Risk Management in Operations” — Production and Operations Management 2005
- A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives — Journal of Financial and Quantitative Analysis 2003
- An empirical examination of the convexity bias in the pricing of interest rate swaps — Journal of Financial Economics 2000
- When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel — Review of Finance 1999
- The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske—Johnson Technique — The Journal of Finance 1997
- Pricing and Hedging American Options: A Recursive Integration Method — The Review of Financial Studies 1996
- Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics — The Review of Financial Studies 1995
- Risk Aversion and the Intertemporal Behavior of Asset Prices — The Review of Financial Studies 1990
- Options on the Spot and Options on Futures — The Journal of Finance 1985
- The Valuation of Multivariate Contingent Claims in Discrete Time Models — The Journal of Finance 1984
- The Valuation of Options When Asset Returns Are Generated by a Binomial Process — The Journal of Finance 1984
- Notes on Multiperiod Valuation and the Pricing of Options: A Comment — The Journal of Finance 1984
- The Market Model and Capital Asset Pricing Theory: A Note — The Journal of Finance 1983
- A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs — Management Science 1982
- Systematic Risk and the Theory of the Firm — The Quarterly Journal of Economics 1980
- Marketability of Assets and the Price of Risk — Journal of Financial and Quantitative Analysis 1979
- Capital Market Equilibrium in a Mixed Economy, Optimal Public Sector Investment Decision Rules, and the Social Rate of Discount — The Quarterly Journal of Economics 1978
- INTRA-EQUILIBRIUM AND INTER-EQUILIBRIUM ANALYSIS IN CAPITAL MARKET THEORY: A CLARIFICATION — The Journal of Finance 1977
- MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE — The Journal of Finance 1977
- On the optimality of international capital market integration — Journal of Financial Economics 1975