Sanjiv Das

Dept. of Finance
Santa Clara University
316M Lucas Hall, 500 El Camino Real
Santa Clara, CA 95053
Tel: 4085542776

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Santa Clara University

NBER Working Papers and Publications

December 2018Systemic Risk and the Great Depression
with Kris James Mitchener, Angela Vossmeyer: w25405
January 2006Common Failings: How Corporate Defaults are Correlated
with Darrell Duffie, Nikunj Kapadia, Leandro Saita: w11961

Published: Das, Sanjiv R., Darrell Duffie, Nikunj Kapadia, and Leandro Saita. "Common Failings: How Corporate Defoults are Correlated." Journal of Finance 62, 1 (February 2007): 93-117. citation courtesy of

July 1998Poisson-Guassian Processes and the Bond Markets
A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
with Rangarajan K. Sundaram: w6635
On the Regulation of Fee Structures in Mutual Funds
with Rangarajan K. Sundaram: w6639
Fee Speech: Adverse Selection and the Regulation of Mutual Funds
with Rangarajan K. Sundaram: w6644
December 1997The Central Tendency: A Second Factor in Bond Yields
with Pierluigi Balduzzi, Silverio Foresi: w6325

Published: Review of Economics and Statistics, Vol. 80, no. 1 (February 1998): 62-72. citation courtesy of

June 1997An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model

Published: Das, Sanjiv Ranjan. "A Direct Discrete-Time Approach To Poisson-Gaussian Bond Option Pricing In The Heath-Jarow-Morton Model," Journal of Economic Dynamics and Control, 1998, v23(3,Nov), 333-369.

May 1997Average Interest
with George Chacko: w6045
March 1997Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
with Rangarajan K. Sundaram: w5976
January 1997Auction Theory: A Summary with Applications to Treasury Markets
with Rangarajan K. Sundaram: w5873

Published: FMII, Vol. 5, no. 5 (1996): 1-36.

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