Haas Ph.D. Program
Finance Faculty
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Nicolae Garleanu
Assistant Professor |
Ph.D. from Stanford Graduate School of Business in finance
Research: liquidity, consumption- and production-based asset pricing, contract theory
Publication Highlights: "Securities Lending, Shorting, and Pricing,’’ with D. Duffie and L. Pedersen, 2002 Journal of Financial Economics
"Over-the-Counter Markets,’’ with D. Duffie and L. Pedersen, 2005 Econometrica
`"Demand Based Option Pricing,’’ with L. Pedersen and A. Poteshman, forthcoming Review of Financial Studies
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Nils Hakansson
Sylvan C. Coleman Professor of Finance and Accounting, Emeritus |
Ph.D. from University of California, Los Angeles in quantitative methods
Research: dynamic portfolio strategies, the welfare economics of financial markets, economics of information, disclosure regulation and productive efficiency, financial reporting
Publication Highlight: “The Role of a Corporate Bond Market in an Economy – and in Avoiding Crises,” March 1999 China Accounting and Finance Review
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Dwight M. Jaffee
Willis Booth Professor of Banking, Finance, and Real Estate |
Ph.D. from Massachusetts Institute of Technology in economics
Research: catastrophe insurance, real estate markets and real estate finance, financial institutions and lending activity, international trade and the California economy
Publication Highlights: "Are Mortgage Backed Securities a Market for Lemons?," with C. Downing and N. Wallace, forthcoming Review of Financial Studies
"Non-Diversification Traps in Markets for Catastrophic Risk," with J. Walden and R. Ibragimov, March 2009 Review of Financial Studies
"The Interest Rate Risk of Fannie Mae and Freddie Mac," December 2003 Journal of Financial Services Research
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Hayne E. Leland
Arno Rayner Professor of Finance and Management |
Ph.D.from Harvard in economics
Research: structural modeling of credit risk, dynamic models of optimal leverage and agency costs, optimal investment strategies in the presence of transactions costs, performance measurement: beyond mean-variance analysis
Publication Highlights: "On Purely Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance," April 2007 Journal of Finance
"The Optimal Mix of Bank and Bond Market Debt: An Asset Pricing Approach," with D. Hackbarth and C. Hennessy, September 2007 Review of Financial Studies
"Predictions of Default Probabilities in Structural Models of Debt," April 2004, Journal of Investment Management
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Martin Lettau
Professor |
Ph.D. from Princeton University in economics
Research: Asset pricing and macroeconomics, consumption behavior, stock market volatility, joint behavior of stock and bond prices, interaction of the economic business cycle and financial markets
Publication Highlight: "Consumption, Aggregate Wealth, and Expected Stock Returns," with Sydney Ludvigson, 2001, Journal of Finance
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Dmitry Livdan
Assistant Professor |
Ph.D. from University of Pennsylvania in finance
Research: theory of the firm, financing under asymmetric information, contract theory, production based asset pricing, market “anomalies”, informational economics
Publication Highlights: “Optimal Diversification: Reconciling Theory and Evidence,” Spring 2004 Journal of Finance
"Oil Futures Prices in Production Economy with Investment Constraints," with L. Kogan and A. Yaron, forthcoming Journal of Finance
"Do Shareholders Rights Affect the Cost of Bank Loans," with S. Chava and A. Puranandam, forthcoming Review of Financial Studies
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Rich Lyons
Bank of America Dean and Professor of Business, Walter A. Haas School of Business |
Ph.D. from Massachusetts Institute of Technology in economics (international and macro)
Research: exchange rate economics, microstructure finance, international finance
Publication Highlights: "Meese-Rogoff Redux: Micro-based Exchange-Rate Forecasting," with Martin D. Evans, May 2006 American Economic Review
"Inventory Information," with Henry H. Cao, Martin D. Evans, January 2006 Journal of Business
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Terrance Odean
Rudd Family Foundation Professor of Finance |
Ph.D. from the University of California at Berkeley in finance
Research: the behavior of individual and institutional investors
Publication Highlight: "Do Retail Trades Move Markets?," 2009 The Review of Financial Studies
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Marcus Opp
Assistant Professor |
Ph.D. from University of Chicago, GSB in Finance
Research: International Finance, Corporate Finance, Rating Agencies and Banking, Information Economics, Applied Game Theory
Publication Highlight: “Expropriation Risk and Technology” (Dissertation, not yet published)
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Christine Parlour
Associate Professor On sabbatical Spring 2010 |
Ph.D. from Queen’s University at Kingston in economics
Research: market microstructure, loan contracts
Publication Highlights: "Equilibrium in a Dynamic Limit Order Market," with Ronald L. Goettler and U. Rajan, Journal of Finance
“Competition in Loan Contracts,” with U. Rajan, December 2001 American Economic Review
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David H. Pyle
Willis H. Booth Professor Emeritus of Banking and Finance |
Ph.D. from Massachussetts Institute of Technology in management
Research: risk management, financial regulation
Publication Highlights: "The Savings and Loan Crisis," 1995 Handbooks in Operations Research and Management Science
"Liquidation Costs and Risk-Based Capital," with Helena Mullins, January 1994 Journal of Banking and Finance
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Mark E. Rubinstein
Professor On sabbatical Fall 2009 |
Ph.D from University of California at Los Angeles in finance
Research: the history of the theory of investments, derivatives, valuation of various exotic options, empirical tests of alternative option pricing models
Publication Highlight: A History of the Theory of Investments, Wiley 2006
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Richard H. Stanton
Professor |
Ph.D. from Stanford University in finance
Research: mortgage and lease markets, term structure modeling, mutual funds and risk management, employee stock options
Publication Highlights: "Rational Prepayment and the Valuation of Mortgage-Backed Securities," Fall 1995 Review of Financial Studies
"Managerial Ability, Compensation and the Closed-End Fund Discount," with Jonathan Berk, forthcoming, Journal of Finance, 2007
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Alexei Tchisty Assistant Professor |
Ph.D. from Stanford University in Business Administration
Research: mortgages, mortgage backed securities, financial innovations, security design, dynamic contracting, agency theory and corporate finance
Publication Highlight: “Optimal Mortgage Design”, with Tomasz Piskorski, working paper, UC Berkeley
“Stochastic House Appreciation and Optimal Mortgage Lending”, with Tomasz Piskorski, working paper, UC Berkeley
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Johan Walden
Assistant Professor On sabbatical Spring 2010 |
Ph.Ds. from Yale University in financial economics and from Uppsala University in applied mathematics
Research: dynamic asset pricing, heavy-tailed distributions, human capital and capital markets, numerical asset pricing
Publication Highlights: "The Limits of Diversification When Losses May be Large," with R. Ibragimov, 2007Journal of Banking and Finance
"Portfolio Diversification Under Local and Moderate Deviations from Power Laws," with R. Ibragimov, 2008 Insurance, Mathematics and Economics
"Non-diversification Traps in Catastrophe Insurance Markets," with D. Jaffee and R. Ibragimov, forthcoming Review of Financial Studies
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Nancy E. Wallace Professor California Chair of Real Estate and Urban Economics Chair, Haas Real Estate Group |
Ph.D. from The University of Michigan in urban and regional planning
Research: housing price indices and models to monitor residential real estate price movements over the business cycle; Mortgage prepayment and pricing models, mortgage contract design, and the market microstructure of mortgage backed security trading; Option pricing models for pricing commercial and retail real estate leases for use in the commercial mortgage backed securities markets; Executive stock option valuation
Publication Highlights: "Innovations in Mortgage Modeling: An Introduction," Winter 2005 Real Estate Economics
"An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?" with Christopher Downing and Richard Stanton, Winter 2005 Real Estate Economics
“Is the Market for Mortgage Backed Securities a Market for Lemons?” with Chris Downing and Dwight Jaffee, forthcoming Review of Financial Studies
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Jim Wilcox
James J. and Marianne B. Lowrey Chair in Business On sabbatical Fall 2009 |
Ph.D. from Northwestern University in economics
Research: banking--mergers and acquisitions, cost reductions by consolidation, lending and bank capital, effects of economic conditions on banks, small business and banking
Publication Highlights: "Housing, Credit Constraints, and Macro Stability: The Secondary Mortgage Market and Reduced Cyclicality of Residential Investment," with Joe Peek, May 2006 American Economic Review Papers and Proceedings.
"Credit Union Conversions to Banks," Filene Research Institute, Madison, WI, 2006, forthcoming.
