Mark Garman's Home Page

Mark Garman

Professor Emeritus

Phone: (510) 548-6200 Fax: (510) 548-0332

EDUCATION

RESEARCH INTERESTS

TEACHING

SELECTED PUBLICATIONS

"Market Microstructure," Journal of Financial Economics 3, 1976, pp.257-275.
"On the Estimation of Stock Price Volatilities from Historical Data" (with M. Klass) Journal of Business 53,1, 1980, pp.67-78, recently updated as "The Estimation of Security Price Volatility from Newspaper Data."
"Foreign Currency Option Values" (with S. Kohlhagen) Journal of International Money and Finance 2, 3, December 1983, pp.231-237.
"Improving on VaR," RISK 9, 5, May 1996, pp. 61-63.
"Taking VaR to Pieces (Component VaR)," RISK 10, 10, October 1997.

SELECTED WORKING PAPERS

"A General Theory of Asset Valuation under Diffusion State Processes," Working Paper #50, IBER, Berkeley, 1977.
"Ending the Search for Component VaR," 1997.

Updated: May 15, 2001. Photograph by Billy Hustace