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Mikhail Chernov

Associate Professor of Finance Research Affiliate, Centre for Economic Policy Research (CEPR) London Business School Regent's Park, Sussex Place London, NW1 4SA United Kingdom on leave at London School of Economics in 2010/11 E-mail: mchernov@london.edu Tel: +44 (0)20 7000 8258

LBS Finance Group

Curriculum Vitae

[CV]

Working Papers

"Disasters Implied by Equity Index Options," (with D. Backus and I. Martin), July 2008; last revised August 2009

"The Term Structure of Inflation Expectations," (with P. Mueller), July 2005; last revised April 2008

"Monetary Policy Regimes and The Term Structure of Interest Rates," (with R. Bikbov), October 2005; last revised November 2008

"A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," (with A. R. Gallant; E. Ghysels; G. Tauchen), May 1999; last revised October 1999

"No-Arbitrage Macroeconomic Determinants of the Yield Curve," (with R. Bikbov), Journal of Econometrics, forthcoming

"Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," (with R. Bikbov), Journal of Financial Econometrics, 2010

"Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," (with R. Bikbov), Management Science, 2009

"Understanding Index Options Returns," (with M. Broadie and M. Johannes), Review of Financial Studies, 2009

"On the Role of Risk Premia in Volatility Forecasting," Journal of Business and Economic Statistics, 2007

"Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions," (with M. Carrasco, J.-P. Florens, and E. Ghysels), Journal of Econometrics, 2007
 
"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 Premia: 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; G. Tauchen), Journal of Econometrics , 2003

 "Empirical Reverse Engineering of the Pricing Kernel," 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

Comment on "Iterative and Recursive Estimation in Structural Non-Adaptive Models'' by Sergio Pastorello, Valentin Patilea and Eric Renault, Journal of Business and Economic Statistics, 2003

"Estimation of Stochastic Volatility Models for the Purpose of Option Pricing," (with E. Ghysels), Computational Finance 1999, 2000

Last modified: June, 2010.