Faculty profiles
Mikhail Chernov
BS MS (Moscow State University) PhD (Pennsylvania State University)
Associate Professor of Finance
- Subject area:
- Finance
- Personal site:
- Personal web page
Expertise
Interest rates and options and their relationship to macroeconomic fundamentals. His work focuses on changing volatility and extreme events in these markets
Publications
Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 (with M Broadie and S Sundaresan), Journal of Finance (2007); Model Specification and Risk Premiums: Evidence from Futures Options, (with M Broadie and M Johannes), Journal of Finance (2007); Alternative Models for Stock Price Dynamics, (with A R Gallant, E Ghysels and G Tauchen), Journal of Econometrics (2003); A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation (with E Ghysels), Journal of Financial Economics (2000).
Research interest
Empirical asset pricing, options, fixed-income and credit models, applications of econometric methods.
Formerly
Associate Professor of Finance, Columbia Business School
