25 citations · 164 across the 28 of their papers we have counts for
12 papers · 1 filter
Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
Ravi Kashyap
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insi…
Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything
Ravi Kashyap
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representativ…
The Circle of Investment: Connecting the Dots of the Portfolio Management Cycle...
Ravi Kashyap
We will look at the entire cycle of the investment process relating to all aspects of, formulating an investment hypothesis, constructing a portfolio based on that, executing the t…
The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance
Ravi Kashyap
We develop a novel methodology based on the marriage between the Bhattacharyya distance, a measure of similarity across distributions of random variables, and the Johnson-Lindenstr…
Solving Society's Big Ills, A Small Step
Ravi Kashyap
We look at a collection of conjectures with the unifying message that smaller social systems, tend to be less complex and can be aligned better, towards fulfilling their intended o…
Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs
Ravi Kashyap
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities,…
Financial Services, Economic Growth and Well-Being: A Four-Pronged Study
Ravi Kashyap
A four-pronged approach to dealing with Social Science Phenomenon is outlined. This methodology is applied to Financial Services, Economic Growth and Well-Being. The four prongs ar…
Securities Lending Strategies: Exclusive Valuations and Auction Bids
Ravi Kashyap
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the t…
David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
Ravi Kashyap
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market particip…
Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences
Ravi Kashyap
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of fina…
A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
Ravi Kashyap
We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change…
Fighting Uncertainty with Uncertainty: A Baby Step
Ravi Kashyap
We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncerta…