Detail

Professor Johannesâ??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.

• Summer 2013
  Capital Markets & Investments (EMBA)
  
• Spring 2013
  Capital Markets & Investments (EMBA)
  MS Finance Internship (MBA)
  
• Spring 2012
  Capital Markets & Investments (EMBA)
  
• Fall 2012
  (PhD) Computational Bayesian Methods (PHD)
  
• Fall 2011
  (PhD) Computational Bayesian Methods (PHD)
  Capital Markets & Investments (EMBA)
  
• Spring 2010
  Capital Markets & Investments (MBA)
  
• Fall 2010
  (PhD) Computational Bayesian Methods (PHD)
  Capital Markets & Investments (EMBA)
  
• Fall 2009
  (PhD) Computational Bayesian Methods (PHD)
  

Particle Learning for Sequential Bayesian Computation In Bayesian Statistics 9 (2011)
Author(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

Bayesian computation in finance In Frontiers of Statistical Decision Making and Bayesian Analysis (2010)
Author(s): Michael Johannes, Robert McColluch, Satadru Hore, Nicholas Polson, Hedibert Lopes

Particle Learning and Smoothing In Statistical Science (2010)
Author(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

Understanding index option returns In Review of Financial Studies (2009)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

Model specification and risk premia: Evidence from futures options In Journal of Finance (2007)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

The Impact of Jumps in Equity Index Volatility and Returns In Journal of Finance (2003)
Author(s): Bjørn Eraker, Michael Johannes, Nicholas Polson

Learning about Consumption Dynamics Working paper (2011)
Author(s): Michael Johannes, Lars Lochstoer, Yiqun Mou

The Asset Pricing Implications of Priced Structural Parameter Uncertainty Working Paper (2011)
Author(s): Michael Johannes, Lars Lochstoer, Pierre Collin-Dufresne

Sequential learning, predictive regressions, and optimal portfolio returns (2008)
Author(s): Michael Johannes, Arthur Korteweg, Nicholas Polson

The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models Working Paper (2004)
Author(s): Michael Johannes

Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models (2003)
Author(s): Michael Johannes, Nicholas Polson, Jonathan Stroud

Pricing Collateralized Swaps (2003)
Author(s): Michael Johannes, M. Suresh Sundaresan

Nonlinear Filtering of Stochastic Differential Equations with Jumps (2002)
Author(s): Michael Johannes, Nicholas Polson, Jonathan Stroud

MCMC Methods for Financial Econometrics (2002)
Author(s): Michael Johannes, Nicholas Polson

Sequential Optimal Portfolio Performance: Market and Volatility Timing (2002)
Author(s): Michael Johannes, Nicholas Polson, Jonathan Stroud

State Dependent Jump Models: How Do U.S. Equity Markets Jump? Working paper (1999)
Author(s): Michael Johannes, Rohit Kumar, Nicholas Polson