Michael Johannes
- Ann F. Kaplan Professor of Business; Chair of Finance Division
- Finance Division
- 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
Journal Article
.
“Sequential learning, predictability, and optimal portfolio returns.”
Journal of Finance
vol.
69
,
(April 01, 2014):
611
-644
.
Journal Article
.
“Particle Learning and Smoothing.”
Statistical Science
vol.
25
,
(January 01, 2010):
88
-106
.
Journal Article
.
“Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.”
The Review of Financial Studies
vol.
22
,
(January 01, 2009):
2759
-2799
.
Journal Article
.
“Understanding index option returns.”
Review of Financial Studies
vol.
22
,
(January 01, 2009):
4493
-4529
.
Journal Article
.
“MCMC Maximum Likelihood for Latent State Models.”
Journal of Econometrics
vol.
137
,
(April 01, 2007):
615
-640
.
Journal Article
.
“The Impact of Collateralization on Swap Rates.”
The Journal of Finance
vol.
62
,
(February 01, 2007):
383
-410
.
Journal Article
.
“Model specification and risk premia: Evidence from futures options.”
Journal of Finance
vol.
62
,
(January 01, 2007):
1453
-1490
.
Journal Article
.
“The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models.”
The Journal of Finance
vol.
59
,
(January 01, 2004):
227
-260
.
Journal Article
.
“The Impact of Jumps in Equity Index Volatility and Returns.”
Journal of Finance
vol.
58
,
(June 01, 2003):
1269
-1300
.
Working Paper
.
Robust Filtering and Learning. January 01, 2013.
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.
Working Paper
Johannes, Michael and Yiqun Mou
.
Learning about Consumption Dynamics. April 01, 2011.
Working Paper
.
The Asset Pricing Implications of Priced Structural Parameter Uncertainty. April 01, 2011.
Working Paper
.
MCMC Methods for Expected Utility Calculations. January 01, 2011.
Working Paper
.
Understanding Index Option Returns. May 01, 2007.
Working Paper
Johannes, Michael and Nicholas Polson
.
Exact Particle Filtering and Parameter Learning. October 01, 2006.
Working Paper
Dubinsky, Andrew and
Michael Johannes
.
Earnings Announcements and Equity Options. September 01, 2004.
Working Paper
.
Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models. August 01, 2003.
Working Paper
Sundaresan, M. Suresh and
Michael Johannes
.
Pricing Collateralized Swaps. March 01, 2003.
Working Paper
.
Nonlinear Filtering of Stochastic Differential Equations with Jumps. September 01, 2002.
Working Paper
.
Sequential Optimal Portfolio Performance: Market and Volatility Timing. March 01, 2002.
Working Paper
.
State Dependent Jump Models: How Do U.S. Equity Markets Jump? September 01, 1999.
Newspaper/Magazine Article
.
“Model Specification and Risk Premia: Evidence from Futures Options.”
Journal of Finance
.
Forthcoming.
Chapter
.
“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.
Chapter
.
“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.
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.
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.
Course
B8306: Capital Markets & Investments
Course
B9336: Introduction to Continuous Time Finance
Course
B9337: Advanced Derivatives
Course
B7306: Capital Markets & Investments
Article
The Next Generation of Finance
Article
Faculty: Eurozone Crisis Brings Risks — and Opportunities
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