Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.
Michael Johannes
Associate Professor
BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000
Joined CBS in 2000
Office
424 Uris
Phone
212-854-0110
E-mail
mj335@columbia.edu
Fax
212-316-9180
Teaching and research interest
Courses taught
- Fall 2009
(PhD) Computational Bayesian Methods
- Spring 2008
(PhD) Models & Methods of Continuous Time Finance
- Fall 2007
(PhD) Computational Bayesian Methods
- Spring 2007
(PhD) Empirical Asset Pri
(PhD) Models & Methods of Continuous Time Finance - Spring 2005
(PHD) ASSET PRICNG THEORY
CAPITAL MARKETS & INVESTM
Journal articles
Working Papers
Understanding Index Option Returns In Working Paper (2007) Coauthor(s): Mark Broadie, Michael Johannes
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models In Working Paper (2004) Coauthor(s): Michael Johannes
Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models In (2003) Coauthor(s): Michael Johannes, Nicholas Polson, Jonathan Stroud
Pricing Collateralized Swaps In (2003) Coauthor(s): Michael Johannes, M. Suresh Sundaresan
Pricing Collateralized Swaps In (2003) Coauthor(s): M. Suresh Sundaresan, Michael Johannes
Nonlinear Filtering of Stochastic Differential Equations with Jumps In (2002) Coauthor(s): Michael Johannes, Nicholas Polson, Jonathan Stroud
MCMC Methods for Financial Econometrics In (2002) Coauthor(s): Michael Johannes, Nicholas Polson
Sequential Optimal Portfolio Performance: Market and Volatility Timing In (2002) Coauthor(s): Michael Johannes, Nicholas Polson, Jonathan Stroud
State Dependent Jump Models: How Do U.S. Equity Markets Jump? In Working paper (1999) Coauthor(s): Michael Johannes, Rohit Kumar, Nicholas Polson