Rangarajan K. Sundaram: Articles and Unpublished Papers

 

A) Articles

  • CDS Auctions and Recovery Rates: An Appraisal, Journal of Derivatives, forthcoming. Download PDF Version
  • First-Purchase Rights: Rights of First Refusal and Rights of First Offer, in American Law & Economics Review. Download PDF Version
  • Derivatives in Financial Market Development. Download PDF Version
  • Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes, Working Paper, Stern School of Business; in Journal of Financial Intermediation (with Viral Acharya & Kose John). Download PDF Version
  • Governance, Incentives, and Fair Value Accounting Overview, in Restoring Financial Stability: How to Repair a Failed System, (V. Acharya and M. Richardson, Eds.), Wiley Finance, pp.179-184 (with Viral Acharya).
  • Corporate Governance in the Modern Financial Sector, in Restoring Financial Stability: How to Repair a Failed System, (V. Acharya and M. Richardson, Eds.), Wiley Finance, pp.185-196 (with Viral Acharya and others).
  • The Financial Sector Bailout: Sowing the Seeds of the Next Crisis?, in Restoring Financial Stability: How to Repair a Failed System, (V. Acharya and M. Richardson, Eds.), Wiley Finance, pp.327-340 (with Viral Acharya) .
  • An Integrated Model for Hybrid Derivatives, Management Science 53, September 2007, 1439-1451 (with Sanjiv Das). Download PDF Version
  • Pay Me Later: Inside Debt and its Role in Executive Compensation, Journal of Finance 62(4), 1551-1588, August 2007 (with David Yermack) (lead article in the issue). Download PDF Version
  • When Does Strategic Debt-Service Matter?, Working Paper, Stern School of Business; forthcoming in Economic Theory (with Viral Acharya, Jing-zhi Huang, and Marti Subrahmanyam).  Download PDF Version
  • On Rescissions in Executive Stock Options, Working Paper, Stern School of Business; forthcoming in Journal of Business (with Menachem Brenner and David Yermack). Download Postscript Version  Download PDF Version
  • The Foundations of Freezeout Laws in Takeovers, Journal of Finance, June 2004 (with Yakov Amihud and Marcel Kahan). Download Postscript Version Download PDF Version
  • Generalized Bandit Problems, Working Paper, Stern School of Business; forthcoming in Social and Strategic Behavior: Essays in Honor of Jeffrey S. Banks (David Austen-Smith and John Duggan, Eds). Download Postscript Version  Download PDF Version
  • Fee Speech: Signalling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare, Review of Financial Studies 15, December 2002, pp. 1465-1497 (with Sanjiv R. Das). Download Postscript Version Download PDF Version
  • A Numerical Algorithm for Consumption-Investment Problems, International Journal of Intelligent Systems in Accounting, Finance, and Management (Special Issue on Computational Methods in Economics and Finance), December 2002, pp.55-69 (with Sanjiv R. Das).
  • Arbitrage-Free Pricing of Credit Derivatives with Ratings Transitions, Financial Analysts Journal May/June 2002, pp.28-44 (with Viral Acharya and Sanjiv R. Das). Download Postscript Version Download PDF Version
  • Survival and the Art of Profit Maximization, Review of Economic Design 6, December 2001, pp. 429-446 (with Prajit Dutta). Download Postscript Version Download PDF Version
  • On the Regulation of Fee Structures in Mutual Funds, in Quantitative Analysis in Financial Markets Vol III, Courant Institute of Mathematical Sciences (with Sanjiv R. Das). Download Postscript Version Download PDF Version
  • The Merton/KMV Approach to Pricing Credit Risk, Extra Credit January/February 2001.
  • On the Optimality of Resetting Executive Stock Options, Journal of Financial Economics 57, June 2000, pp. 65-101 (with Viral Acharya and Kose John).
  • Altering the Terms of Executive Stock Options, Journal of Financial Economics 57, June 2000, pp. 103-128 (with Menachem Brenner and David Yermack).
  • A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives, Management Science 46(1), January 2000, pp. 46-63 (with Sanjiv Das).
          To be reprinted in Mathematical Modelling in Finance, Vol III , Courant Institute of Mathematical Sciences, 2001.
  • Stochastic Mean Models of the Term-Structure of Interest Rates, in Advanced Tools for the Fixed-Income Professional , (B. Tuckman and N. Jegadeesh, Eds), John Wiley and Sons, New York, 2000 (with P. Balduzzi, Sanjiv R. Das, and Silverio Foresi).
  • Of Smiles and Smirks: A Term-Structure Perspective, Journal of Financial and Quantitative Analysis 34(2), June 1999, pp. 211--239 (with Sanjiv R. Das).
  • The Equilibrium Existence Problem in General Markovian Games, in Organizations with Incomplete Information: A Tribute to Roy Radner , (M. Majumdar, Ed.), Cambridge University Press, Cambridge and New York, 1998 (with Prajit Dutta).
  • Optimal Retention in Agency Problems, Journal of Economic Theory , October 1998, pp. 293-323 (with Jeffrey S. Banks).
  • Equivalent Martingale Measures and Risk-Neutral Valuation: An Expository Note, Journal of Derivatives , Fall 1997, pp. 85-98.
  • A Simple Approach to Three-Factor Models of Interest Rates, Journal of Fixed Income 6(3), 1996 (with P. Balduzzi, Sanjiv R. Das, and S. Foresi).
  • Auction Theory: A Summary with Applications to Treasury-Bill Auctions, Financial Markets, Institutions, and Investments 5(5), 1996, pp. 1-36 (with Sanjiv R. Das).
  • Switching Costs and the Gittins Index, Econometrica 62(3), May 1994, pp. 687-694 (with Jeffrey S. Banks).
  • Parametric Continuity in Dynamic Programming Problems, Journal of Economic Dynamics and Control 18, 1994, pp. 1069-1092 (with Prajit K. Dutta and Mukul Majumdar).
  • Adverse Selection and Moral Hazard in a Repeated Elections Model, in Political Economy: Institutions, Information, Competition, and Representation , (W. Barnett, et al, Eds.), Cambridge University Press, Cambridge and New York, 1993 (with Jeffrey S. Banks).
  • The Tragedy of the Commons?, Economic Theory 3(3), July 1993, pp. 413-426 (with Prajit K. Dutta).
  • How Different Can Strategic Models Be?, Journal of Economic Theory 60(1), June 1993, pp. 42-62 (with Prajit K. Dutta).
  • Bayesian Economists,..., Bayesian Agents: An Alternative Approach to Optimal Learning, Journal of Economic Dynamics and Control 17(2), April 1993, pp. 355-383 (with Mahmoud El-Gamal).
  • Denumerable-Armed Bandits, Econometrica 60(5), September 1992, pp. 1071-1096 (with Jeffrey S. Banks).
  • A Class of Bandit Problems yielding Myopic Optimal Strategies, Journal of Applied Probability , September 1992, pp. 625-632 (with Jeffrey S. Banks).
  • Markovian Equilibirum in a Class of Stochastic Games: Existence Theorems for Discounted and Undiscounted Models, Economic Theory 2(2), April 1992, pp. 197-214 (with Prajit K. Dutta).
  • Symmetric Stochastic Games of Resource Extraction: The Existence of Non-Randomized Stationary Equilibrium, in Stochastic Games and Related Topics , (T.S. Ferguson, et al, Eds.), Kluwer Academic Publishing, Boston, 1991 (with M. Majumdar).
  • Repeated Games, Finite Automata, and Complexity, Games and Economic Behavior 2(2), June 1990, pp. 97-117 (with Jeffrey S. Banks).
  • Perfect Equilibrium in a Class of Symmetric Dynamic Games, Journal of Economic Theory 47(1), February 1989, pp. 153-177.
  • An Alternative Approach to Axiomatizations of the Von Neumann-Morgenstern Characteristic Function, Mathematical Social Sciences , April 1988 (with A. Lewis).

B) Unpublished Papers:

  • On the Hedging Efficacy of Commodity Futures Contracts: A Comment, manuscript in preparation (with C.A. Yoonus).
  • Do Bankruptcy Costs AFfect Firm Leverage? Evidence from Time-series and Cross-Country Variation in Bankruptcy Codes, Working Paper, Stern School of Business and London Business School; currently under revision (with Viral Acharya and Rong Leng).
  • A Numerical Algorithm for Optimal Consumption-Investment Problems, mimeo, 2000 (with Sanjiv R. Das).
  • Proportionate Liability vs. Joint-and-Several Liability: Does the Choice of Regime Matter?, mimeo, Department of Economics, University of Rochester, 1995 (with Dhananjay K. Gode).
  • The Non-Existence of Perfect Equilibrium in Infinite State Stochastic Games, mimeo, Department of Economics, University of Rochester, 1994 (with Prajit Dutta).