Professor Mikhail Chernov

Professor of Finance

Research interests

• Asset pricing
• Derivatives
• Fixed income 
• Financial econometrics

Selected papers 

• "CDS Auctions" (with Alexander S. Gorbenko and Ivan Makarov), Review of Financial Studies, 26 (3), pp. 768-805. 2013

• "The Term Structure of Inflation Expectations" (with P. Mueller), Online Appendix, US Real Yields 1971 - 2002,  Journal of Financial Economics, 106. 2012

• "Disasters Implied by Equity Index Options" (with D. Backus and I. Martin), Journal of Finance, 66. 2011

• "Yield Curve and Volatility: Lessons from Eurodollar Futures and Options" (with R. Bikbov), Journal of Financial Econometrics, 9. 2011

• "No-Arbitrage Macroeconomic Determinants of the Yield Curve" (with R. Bikbov), Journal of Econometrics, 159. 2010

• "Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options" (with R. Bikbov), Management Science, 55. 2009

• "Understanding Index Options Returns" (with M. Broadie and M. Johannes), Review of Financial Studies, 22. 2009

• "On the Role of Risk Premia in Volatility Forecasting" Journal of Business and Economic Statistics, 25. 2007

• "Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions" (with M. Carrasco, J.-P. Florens, and E. Ghysels), Journal of Econometrics, 140. 2007

• "Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11" (with M. Broadie and S. Sundaresan),  Journal of Finance, 62. 2007

• "Model Specification and Risk Premia: Evidence from Futures Options" (with M. Broadie and M. Johannes),  Journal of Finance, 62. 2007

• "Alternative Models for Stock Price Dynamics" (with A. R. Gallant; E. Ghysels; G. Tauchen), Journal of Econometrics, 116. 2003

• "Empirical Reverse Engineering of the Pricing Kernel" Journal of Econometrics, 116. 2003

• "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation" (with E. Ghysels), Journal of Financial Economics, 56. 2000

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM423 Asset Markets
  Current Students click here for course information

• FM503 Empirical Finance
  Current Students click here for course information

Other webpages

• Financial Markets Group Asset Pricing and Portfolio Management