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    • Faculty Publications  (86)

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    • All HBS Web  (120,053)
      • Faculty Publications  (86)

      Stafford, ErikRemove Stafford, Erik →

      ← Page 3 of 86 Results →
      • 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
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      Coval, Joshua, and Erik Stafford. "Index Options." Harvard Business School Background Note 208-119, January 2008.
      • 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
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      Coval, Joshua D., and Erik Stafford. "Options (TN)." Harvard Business School Teaching Note 208-120, January 2008.
      • January 2008
      • Background Note

      Collateralized Debt Obligations (CDOs)

      By: Joshua Coval and Erik Stafford
      This lesson integrated Merton's (1974) contingent claims model of debt and equity claims with the CAPM, which allows us to examine the risks and pricing of credit portfolios and the derivative claims issued against them. In particular, this model is used to make... View Details
      Keywords: Decision Choices and Conditions; Borrowing and Debt; Credit Derivatives and Swaps; Investment Portfolio; Risk Management
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      Coval, Joshua, and Erik Stafford. "Collateralized Debt Obligations (CDOs)." Harvard Business School Background Note 208-113, January 2008.
      • January 2008
      • Teaching Note

      Credit Risk: Valuing Risky Debt & CDOs (TN)

      By: Joshua D. Coval and Erik Stafford
      Teaching Note for [208111] and [208113]. View Details
      Keywords: Price; Credit; Risk Management; Investment; Bonds; Borrowing and Debt; Decisions
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      Coval, Joshua D., and Erik Stafford. "Credit Risk: Valuing Risky Debt & CDOs (TN)." Harvard Business School Teaching Note 208-112, January 2008.
      • January 2008
      • Background Note

      Valuing Risky Debt

      By: Joshua Coval and Erik Stafford
      This lesson develops the classical structural approach to pricing and hedging credit risk: Merton's (1974) contingent claims model of debt and equity claims. This model is used to make investment and risk management decisions in an over-the-counter (OTC) market for... View Details
      Keywords: Borrowing and Debt; Credit; Investment; Price; Risk Management; Mathematical Methods; Valuation
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      Coval, Joshua, and Erik Stafford. "Valuing Risky Debt." Harvard Business School Background Note 208-111, January 2008.
      • November 2007
      • Background Note

      Asset Allocation I

      By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni
      The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of risk if all investors use this rule with common information sets. Simulation A focuses on five to 10 years of monthly sector returns that are... View Details
      Keywords: Asset Pricing; Capital; Investment Return; Risk Management; Mathematical Methods
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      Coval, Joshua D., Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page, and Paulo Passoni. "Asset Allocation I." Harvard Business School Background Note 208-086, November 2007.
      • November 2007
      • Teaching Note

      Asset Allocation I, II & III (TN)

      By: Joshua D. Coval and Erik Stafford
      Keywords: Resource Allocation; Assets
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      Coval, Joshua D., and Erik Stafford. "Asset Allocation I, II & III (TN)." Harvard Business School Teaching Note 208-089, November 2007.
      • November 2007
      • Supplement

      Asset Allocation II

      By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni
      Keywords: Resource Allocation; Assets
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      Coval, Joshua D., Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page, and Paulo Passoni. "Asset Allocation II." Harvard Business School Supplement 208-087, November 2007.
      • November 2007
      • Supplement

      Asset Allocation III

      By: Joshua D. Coval and Erik Stafford
      Keywords: Resource Allocation; Assets
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      Coval, Joshua D., and Erik Stafford. "Asset Allocation III." Harvard Business School Supplement 208-088, November 2007.
      • November 2007
      • Background Note

      Event Arbitrage

      By: Joshua D. Coval and Erik Stafford
      The event arbitrage module includes two simulation sessions. The first simulation focuses on analyzing and evaluating individual merger transactions, while the second simulation emphasizes managing a portfolio of individual positions and the limitations of arbitrage... View Details
      Keywords: Mergers and Acquisitions; Capital Markets; Financial Management; Investment Portfolio; Risk Management
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      Coval, Joshua D., and Erik Stafford. "Event Arbitrage." Harvard Business School Background Note 208-090, November 2007.
      • November 2007 (Revised March 2008)
      • Teaching Note

      Event Arbitrage (TN)

      By: Joshua D. Coval and Erik Stafford
      Keywords: Finance; Markets
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      Coval, Joshua D., and Erik Stafford. "Event Arbitrage (TN)." Harvard Business School Teaching Note 208-091, November 2007. (Revised March 2008.)
      • November 2007
      • Background Note

      Bayesian Estimation & Black-Litterman

      By: Joshua D. Coval and Erik Stafford
      Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing... View Details
      Keywords: Asset Management; Investment Portfolio; Mathematical Methods
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      Coval, Joshua D., and Erik Stafford. "Bayesian Estimation & Black-Litterman." Harvard Business School Background Note 208-085, November 2007.
      • November 2007
      • Article

      Asset Fire Sales (and Purchases) in Equity Markets

      By: Joshua Coval and Erik Stafford
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      Coval, Joshua, and Erik Stafford. "Asset Fire Sales (and Purchases) in Equity Markets." Journal of Financial Economics 86, no. 2 (November 2007).
      • October 2007
      • Background Note

      Price Formation

      By: Joshua D. Coval and Erik Stafford
      Investigates how prices are formed in competitive capital markets. Focuses on a single security called AOE. Students compete with computer traders and each other for market making and informed trading profits. Participants receive a variety of public news in the form... View Details
      Keywords: Capital Markets; Price; Profit; Corporate Disclosure; Newsletters; Industry Structures; Business Processes; Competitive Strategy
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      Coval, Joshua D., and Erik Stafford. "Price Formation." Harvard Business School Background Note 208-040, October 2007.
      • 2007
      • Case

      Deriving by Doing: A New Approach to Teaching Finance

      By: Joshua Coval, Jonathan Gadzik and Erik Stafford
      Keywords: Finance; Teaching; Business Education
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      Coval, Joshua, Jonathan Gadzik, and Erik Stafford. "Deriving by Doing: A New Approach to Teaching Finance." 2007.
      • 2007
      • Working Paper

      Economic Catastrophe Bonds

      By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
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      Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." Harvard Business School Working Paper, No. 07-102, June 2007.
      • October 2006 (Revised March 2008)
      • Case

      2006 Hurricane Risk

      By: Andre F. Perold and Erik Stafford
      In May 2006, a resident of Key West, Florida had to decide whether to renew his policy to insure against hurricane damage. The policy would cost $13,000 for one year, $5,000 more than what he paid in 2005. At the same time, a wealthy California resident was... View Details
      Keywords: Capital Markets; Cost; Insurance; Price; Risk Management; California; Key West
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      Perold, Andre F., and Erik Stafford. "2006 Hurricane Risk." Harvard Business School Case 207-075, October 2006. (Revised March 2008.)
      • 2006
      • Working Paper

      Pricing Liquidity: The Quantity Structure of Immediacy Prices

      By: George Chacko, Jakub W. Jurek and Erik Stafford
      Citation
      SSRN
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      Chacko, George, Jakub W. Jurek, and Erik Stafford. "Pricing Liquidity: The Quantity Structure of Immediacy Prices." Harvard Business School Working Paper, No. 07-017, September 2006.
      • June 2005 (Revised October 2007)
      • Background Note

      Market Efficiency

      By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zachary Page and Paul Passoni
      Covers how prices react to information, the incentives for bringing information into prices, and the paradox of market efficiency in equilibrium--for investors to work hard keeping markets efficient, they must always be somewhat inefficient at the margin. Uses separate... View Details
      Keywords: Market Design; Price
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      Coval, Joshua D., Erik Stafford, Rodrigo Osmo, John Jernigan, Zachary Page, and Paul Passoni. "Market Efficiency." Harvard Business School Background Note 205-081, June 2005. (Revised October 2007.)
      • June 2005 (Revised October 2007)
      • Teaching Note

      Market Efficiency (TN)

      By: Joshua D. Coval and Erik Stafford
      Teaching Note to (2-205-081). View Details
      Citation
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      Coval, Joshua D., and Erik Stafford. "Market Efficiency (TN)." Harvard Business School Teaching Note 205-082, June 2005. (Revised October 2007.)
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