Publications
Publications
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(118,337)
- Faculty Publications (84)
- March 2011
- Supplement
Valuation of AirThread Connections, Faculty Spreadsheet Supplement (Brief Case)
By: Erik Stafford and Joel L. Heilprin
- March 2011
- Supplement
Valuation of AirThread Connections, Spreadsheet Supplement (Brief Case)
By: Erik Stafford and Joel L. Heilprin
- September 2010 (Revised May 2012)
- Case
Harvard Management Company (2010)
By: Andre F. Perold and Erik Stafford
In February 2010, Jane Mendillo, CEO of Harvard Management Company, was reflecting on the list of issues facing Harvard University's endowment in preparation for the upcoming board meeting. The recent financial crisis had vividly highlighted several key issues... View Details
- 2010
- Working Paper
Crashes and Collateralized Lending
By: Jakub W. Jurek and Erik Stafford
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic... View Details
- Article
The Economics of Structured Finance
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
This paper investigates the spectacular rise and fall of structured finance. The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known... View Details
Keywords: Financial Crisis; Asset Management; Debt Securities; Investment; Risk Management; Behavior
- June 2009 (Revised March 2010)
- Teaching Note
Hansson Private Label, Inc.: Evaluating an Investment in Expansion (Brief Case)
By: Erik Stafford, Joel L. Heilprin and Jeffrey DeVolder
Teaching Note for 4021 View Details
- June 2009 (Revised March 2010)
- Supplement
Hansson Private Label, Inc.: Evaluating an Investment in Expansion, Student Spreadsheet (Brief Case)
By: Erik Stafford and Joel L. Heilprin
- June 2009 (Revised March 2010)
- Supplement
Hansson Private Label, Inc.: Evaluating an Investment in Expansion, Teaching Note Spreadsheet (Brief Case)
By: Erik Stafford and Joel L. Heilprin
- 2008
- Working Paper
The Economics of Structured Finance
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
- April 2008 (Revised December 2008)
- Case
Leveraged Loans 2007
By: Andre F. Perold and Erik Stafford
The leveraged loan market was in a crisis during the summer of 2007, following many years of low realized volatility (less than 4% per annum), an index of leveraged loans had fallen over 5% in the month of July. A sudden drop in capital market prices for an asset class... View Details
- April 2008
- Teaching Note
Leveraged Loans 2007 (TN)
By: Andre F. Perold and Erik Stafford
Teaching Note for 208-145. View Details
- March 2008
- Course Overview Note
Dynamic Markets
By: Joshua D. Coval and Erik Stafford
The Dynamic Markets course at Harvard Business School is organized around the hands-on application of financial decision making in a wide variety of capital market settings. The course relies heavily on in-class simulations of a range of market settings where students... View Details
- March 2008
- Teaching Note
2006 Hurricane Risk (TN)
By: André Perold and Erik Stafford
Teaching Note for [207075]. View Details
- January 2008
- Background Note
Convertible Arbitrage
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand how convertible bonds can be viewed as a portfolio of simpler securities and to introduce an over-the-counter market. The convertible bonds that are available during the simulation are at-the-money and in-the-money so that... View Details
- January 2008
- Background Note
Equity Derivatives
By: Joshua Coval and Erik Stafford
The goal of these simulations is to understand the dynamic replication technique behind the Black-Scholes/Merton options model. The simulations focus on a single stock and a risk-free discount bond, which are used to replicate a contingent payoff. The underlying stock... View Details
- January 2008
- Background Note
Equity Options
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand the reliance of option values on volatility. When an investor trades an option, they are essentially trading volatility. Therefore, much of the focus in this lesson is on forecasting volatility. Students are able to use two... View Details
- January 2008
- Background Note
Index Options
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand the patterns in index option prices that are not predicted by the Black-Scholes model. In particular, the simulation focuses on two properties of options prices. First, at-the-money implied volatilities from index options... View Details
Keywords: Volatility; Stock Options; Investment; Price; Profit; Risk Management; Mathematical Methods
- January 2008
- Teaching Note
Options (TN)
By: Joshua D. Coval and Erik Stafford
Teaching Note for [208116], [208117], [208118], and [208119]. View Details
Keywords: Stock Options