Biography
Gurdip Bakshi is the Marvin Wachman Professor of Finance. He joins the Fox School from the University of Maryland, where he was the Dean’s Professor of Finance at the Smith School of Business.
Bakshi’s research interests include stock valuation, option valuation, term structure of interest rates, asset pricing, capital, commodity, and currency markets, crashes, and international finance. His recent work focuses on studying risk premiums, incomplete markets, opaqueness of hedge fund investments, recovery theorem, and probability of stock market crashes.
His works have been published in the American Economic Review, the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, Management Science, and Journal of Financial and Quantitative Analysis, among others. He serves co-editor for the Review of Derivatives Research, and editorial board roles with the Review of Financial Studies (term completed), the Journal of Financial and Quantitative Analysis, and the Journal of Financial Econometrics (term completed), Journal of Banking and Finance, among others.
Research Interests
- stock valuation
- option valuation
- term structure of interest rates
- asset pricing
- capital, commodity, and currency markets
- crashes
- international finance
Courses Taught
Number | Name | Level |
|---|---|---|
FIN 3551 | International Finance | Undergraduate |
IB 3551 | International Finance | Undergraduate |
BA 9203 | Financial Economics | Graduate |
Selected Publications
Recent
Bakshi, G., Crosby, J., Gao, X., & Hansen, J.W. (2023). Treasury option returns and models with unspanned risks. Journal of Financial Economics, 150(3), 103736-103736. Elsevier BV. doi: 10.1016/j.jfineco.2023.103736.
Bakshi, G., Gao, X., & Xue, J. (2023). Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market. Journal of Financial and Quantitative Analysis, 58(4), 1808-1842. Cambridge University Press (CUP). doi: 10.1017/s0022109022000758.
Bakshi, G., Crosby, J., & Gao, X. (2022). Dark Matter in (Volatility and) Equity Option Risk Premiums. Operations Research, 70(6), 3108-3124. Institute for Operations Research and the Management Sciences (INFORMS). doi: 10.1287/opre.2022.2360.
Bakshi, G., Gao, X., & Zhong, Z. (2022). Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods. Annual Review of Financial Economics, 14(1), 391-413. Annual Reviews. doi: 10.1146/annurev-financial-111720-090709.
Bakshi, G., Cao, C., & Zhong, Z. (2021). Assessing models of individual equity option prices. Review of Quantitative Finance and Accounting, 57(1). doi: 10.1007/s11156-020-00951-4.
Bakshi, G., Gao, X., & Panayotov, G. (2021). A theory of dissimilarity between stochastic discount factors. Management Science, 67(7), 4602-4622. doi: 10.1287/mnsc.2020.3690.
Bakshi, G. & Chabi-Yo, F. (2019). New Entropy Restrictions and the Quest for Better-Specified Asset-Pricing Models. Journal of Financial and Quantitative Analysis, 54(6), 2517-2541. doi: 10.1017/S0022109018001503.
Bakshi, G., Gao, X., & Rossi, A. (2019). Understanding the sources of risk underlying the cross section of commodity returns. Management Science, 65(2), 619-641. doi: 10.1287/mnsc.2017.2840.