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  1. Directory
  2. Faculty
  3. Michael Johannes

Michael Johannes

Ann F. Kaplan Professor of Business; Chair of Finance Division
Finance Division
Michael Johannes
Areas of Expertise
Asset Management, Financial Engineering
Contact
Office: 734 Kravis
E-mail: [email protected]
Links
Curriculum Vitae

Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.

Education
BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000
Joined CBS
2000

All Activities

  • Research
  • Teaching
  • Awards and Honors
  • Press
  • CaseWorks
  • Journal articles
  • Working papers
  • Articles
  • Books
  • Chapters
Journal Article
Johannes, Michael, Arthur Korteweg, and Nicholas Polson
. “Sequential learning, predictability, and optimal portfolio returns.”
Journal of Finance
vol.
69
, (April 01, 2014):
611
-
644
.
Explore Further about Sequential learning, predictability, and optimal portfolio returns
Download PDF on Sequential learning, predictability, and optimal portfolio returns
Journal Article
Johannes, Michael, Carlos Carvalho, Hedibert Lopes, and Nicholas Polson
. “Particle Learning and Smoothing.”
Statistical Science
vol.
25
, (January 01, 2010):
88
-
106
.
Explore Further about Particle Learning and Smoothing
Download PDF on Particle Learning and Smoothing
Journal Article
Johannes, Michael, Nicholas Polson, and Jonathan Stroud
. “Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.”
The Review of Financial Studies
vol.
22
, (January 01, 2009):
2759
-
2799
.
Explore Further about Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
Journal Article
Broadie, Mark, Mikhail Chernov, and Michael Johannes
. “Understanding index option returns.”
Review of Financial Studies
vol.
22
, (January 01, 2009):
4493
-
4529
.
Explore Further about Understanding index option returns
Download PDF on Understanding index option returns
Journal Article
Jacquier, Eric, Michael Johannes , and Nicholas Polson
. “MCMC Maximum Likelihood for Latent State Models.”
Journal of Econometrics
vol.
137
, (April 01, 2007):
615
-
640
.
Explore Further about MCMC Maximum Likelihood for Latent State Models
Download PDF on MCMC Maximum Likelihood for Latent State Models
Journal Article
Johannes, Michael and M. Suresh Sundaresan
. “The Impact of Collateralization on Swap Rates.”
The Journal of Finance
vol.
62
, (February 01, 2007):
383
-
410
.
Explore Further about The Impact of Collateralization on Swap Rates
Download PDF on The Impact of Collateralization on Swap Rates
Journal Article
Broadie, Mark, Mikhail Chernov, and Michael Johannes
. “Model specification and risk premia: Evidence from futures options.”
Journal of Finance
vol.
62
, (January 01, 2007):
1453
-
1490
.
Explore Further about Model specification and risk premia: Evidence from futures options
Download PDF on Model specification and risk premia: Evidence from futures options
Journal Article
Johannes, Michael
. “The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models.”
The Journal of Finance
vol.
59
, (January 01, 2004):
227
-
260
.
Explore Further about The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
Journal Article
Eraker, Bjorn, Michael Johannes , and Nicholas Polson
. “The Impact of Jumps in Equity Index Volatility and Returns.”
Journal of Finance
vol.
58
, (June 01, 2003):
1269
-
1300
.
Explore Further about The Impact of Jumps in Equity Index Volatility and Returns
Working Paper
Johannes, Michael, Nicholas Polson, and Seung Yae
. Robust Filtering and Learning. January 01, 2013.
Explore Further about Robust Filtering and Learning
Working Paper
Johannes, Michael and Jonathan Stroud
. Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis. January 01, 2013.
Explore Further about Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis
Working Paper
Johannes, Michael and Yiqun Mou
. Learning about Consumption Dynamics. April 01, 2011.
Explore Further about Learning about Consumption Dynamics
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Working Paper
Johannes, Michael
. The Asset Pricing Implications of Priced Structural Parameter Uncertainty. April 01, 2011.
Explore Further about The Asset Pricing Implications of Priced Structural Parameter Uncertainty
Working Paper
Jacquier, Eric, Michael Johannes , and Nicholas Polson
. MCMC Methods for Expected Utility Calculations. January 01, 2011.
Explore Further about MCMC Methods for Expected Utility Calculations
Working Paper
Broadie, Mark and Michael Johannes
. Understanding Index Option Returns. May 01, 2007.
Explore Further about Understanding Index Option Returns
Download PDF on Understanding Index Option Returns
Working Paper
Johannes, Michael and Nicholas Polson
. Exact Particle Filtering and Parameter Learning. October 01, 2006.
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Working Paper
Dubinsky, Andrew and Michael Johannes
. Earnings Announcements and Equity Options. September 01, 2004.
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Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud
. Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models. August 01, 2003.
Explore Further about Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models
Download PDF on Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models
Working Paper
Sundaresan, M. Suresh and Michael Johannes
. Pricing Collateralized Swaps. March 01, 2003.
Explore Further about Pricing Collateralized Swaps
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Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud
. Nonlinear Filtering of Stochastic Differential Equations with Jumps. September 01, 2002.
Explore Further about Nonlinear Filtering of Stochastic Differential Equations with Jumps
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Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud
. Sequential Optimal Portfolio Performance: Market and Volatility Timing. March 01, 2002.
Explore Further about Sequential Optimal Portfolio Performance: Market and Volatility Timing
Download PDF on Sequential Optimal Portfolio Performance: Market and Volatility Timing
Working Paper
Johannes, Michael, Rohit Kumar, and Nicholas Polson
. State Dependent Jump Models: How Do U.S. Equity Markets Jump? September 01, 1999.
Explore Further about State Dependent Jump Models: How Do U.S. Equity Markets Jump?
Download PDF on State Dependent Jump Models: How Do U.S. Equity Markets Jump?
Newspaper/Magazine Article
Broadie, Mark and Michael Johannes
. “Model Specification and Risk Premia: Evidence from Futures Options.”
Journal of Finance
. Forthcoming.
Explore Further about Model Specification and Risk Premia: Evidence from Futures Options
Chapter
Johannes, Michael, Carlos Carvalho, Hedibert Lopes, and Nicholas Polson
. “Particle Learning for Sequential Bayesian Computation.” In
Bayesian Statistics 9
, edited by
José M. Bernardo, M. J. Bayarri, James O. Berger, A. P. Dawid, David Heckerman, Adrian F. M. Smith, and Mike West
,
Oxford
:
Oxford University Press
, 2011.
Explore Further about Particle Learning for Sequential Bayesian Computation
Download PDF on Particle Learning for Sequential Bayesian Computation
Chapter
Hore, Satadru, Michael Johannes , Hedibert Lopes, Robert McColluch, and Nicholas Polson
. “Bayesian computation in finance.” In
Frontiers of Statistical Decision Making and Bayesian Analysis
, edited by
Ming-Hui Chen, Peter Müller, Dongchu Sun, and Keying Ye
,
383
-
396
.
New York
:
Springer
, 2010.
Explore Further about Bayesian computation in finance
Download PDF on Bayesian computation in finance
Chapter
Johannes, Michael and Nicholas Polson
. “MCMC Methods for Financial Econometrics.” In
Handbook of Financial Econometrics Vol. 2
, edited by
Y. Ait-Sahalia and L.P. Hansen
,
1
-
72
.
Amsterdam
:
North Holland
, 2009.
Explore Further about MCMC Methods for Financial Econometrics
Download PDF on MCMC Methods for Financial Econometrics
Chapter
Johannes, Michael and Nicholas Polson
. “Particle Filtering.” In
Handbook of Financial Time Series
, edited by
Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiss, and Thomas Mikosch
,
1015
-
1030
.
Germany
:
Springer-Verlag
, 2009.
Explore Further about Particle Filtering
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Course
B8306: Capital Markets & Investments
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Course
B9336: Introduction to Continuous Time Finance
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Course
B9337: Advanced Derivatives
View Course on Advanced Derivatives
Course
B7306: Capital Markets & Investments
View Course on Capital Markets & Investments
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