Joost Driessen

Finance · 2003–2012

A researcher in the Science corpus: 9 papers; trusts 48 researchers and is trusted by 51 researchers here, as inferred from the citation graph.

Subfields

• Finance — 164 citations into it; #802 of 10,518 by trust here, #893 by citations
• Economics and Econometrics — 74 citations into it; #2,012 of 23,481 by trust here, #4,779 by citations
• Accounting — 43 citations into it

Whom Joost Driessen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jun Pan
2. Yacine Aït-Sahalia
3. Gurdip Bakshi
4. John C. Hull
5. Amos Tversky
6. John H. Cochrane
7. Joshua D. Coval
8. Qiang Dai
9. O. Bondarenko
10. George K. Chacko

Who trusts Joost Driessen overall

1. Antonio Di Cesare
2. Rüdiger Frey
3. Arnaud de Servigny
4. Jeffery D. Amato
5. Eli M. Remolona
6. Peter F. Christoffersen
7. Qiang Dai
8. Jie Cao
9. Zhanhui Chen
10. Giovanni Guazzarotti

Papers from Joost Driessen's perspective

Ordered by how strongly the researchers Joost Driessen trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Specification Analysis of Affine Term Structure Models
3. The Pricing of Options and Corporate Liabilities
4. Nonparametric Risk Management and Implied Risk Aversion
5. Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs
6. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
7. Expected Option Returns
8. Variable Selection for Portfolio Choice
9. Delta-Hedged Gains and the Negative Market Volatility Risk Premium
10. Term premia and interest rate forecasts in affine models

Their papers

• The Price of Correlation Risk: Evidence from Equity Options (2009) — 386 citations
• The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2003) — 114 citations
• Is Default Event Risk Priced in Corporate Bonds (2003) — 584 citations
• A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds (2012) — 124 citations
• Liquidity Risk Premia in Corporate Bond Markets (2012) — 208 citations
• Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011) — 323 citations
• Individual Stock-Option Prices and Credit Spreads (2008) — 280 citations
• Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008) — 242 citations
• An Empirical Portfolio Perspective on Option Pricing Anomalies (2007) — 132 citations