Prof. Jayanth R. Varma: Recent Research

Papers and Book Chapters from 2015

"Role of derivatives market in attenuating underreaction to left-tail risk", Journal of Futures Markets (2024), 44, 484-517 (with Sumit S., Agarwalla, S. K.)

"Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach", Journal of Futures Markets (2023), 43, 1615–1644 (with Kumar, S., Agarwalla, S.K., Virmani, V.)

"Belief distortion near 52W high and low: Evidence from Indian equity options market", Journal of Futures Markets (2023), 43, 1531–1558 (with Sumit S., Agarwalla, S. K.)

"Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation", Journal of Financial Market Infrastructures (2021), 10(2) (with Virmani, V.)

"Lottery and bubble stocks and the cross-section of option-implied tail risks", Journal of Futures Markets (2021), (with Agarwalla S.K., Saurav, S.)

"Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market", Journal of Futures Markets (2021), (with Agarwalla S.K., Virmani, V.)

"The impact of COVID-19 on tail risk: Evidence from Nifty index options", Economics Letters (2021), (with Agarwalla S.K., Virmani, V.)

"Betting Against Beta in the Indian Market", in Mishra A.K., Arunachalam V., Mohapatra S., Olson D. (eds) The Financial Landscape of Emerging Economies (2020), (with Agarwalla S.K., Jacob J., Vasudevan E.)

"Blockchain in Finance", Vikalpa, 44.1 (2019) 1-11

"Informed trading around earnings announcements - Spot, futures, or options?", Journal of Futures Markets, 39.5 (2019) 579-589 (with Sonali Jain, Sobhesh Kumar Agarwalla and Ajay Pandey)

"Indian equity options: Smile, risk premiums, and efficiency", Journal of Futures Markets, 39.2 (2019), 150-163 (with Sonali Jain and Sobhesh Kumar Agarwalla)

"Bitcoin and Blockchain", Global Business Press Expert Insights, 2018

"Structured Products for Corporate Risk Management", Global Business Press Expert Insights, 2018 (with Vineet Virmani)

"Size, Value, and Momentum in Indian Equities", Vikalpa, 42(4), October-December 2017, 211–219 (with Sobhesh Kumar Agarwalla and Joshy Jacob)

"Finance in a World of Negative Rates", Global Business Press Expert Insights, 2016 (with Vineet Virmani)

"Computational Finance Using QuantLib-Python", Computing in Science & Engineering, 18.2 (2016): 78-88 (with Vineet Virmani)

"Financial Literacy among Working Young in Urban India", World Development, Volume 67, March 2015, Pages 101–109 (with S. K. Agarwalla, S. K. Barua and J. Jacob)

Cases from 2015

Nayan Parikh & Consultants: Loan against Shares  Case written in 2021

Governance at ICICI Bank: Chairman's Dilemma  Case written in 2021

Startup Financing Issues  Case written in 2021

Northern Textiles Limited (A)  Case written in 2021

Northern Textiles Limited (B)  Case written in 2021

Reliance Communications: On the Brink of Bankruptcy  Case written in 2021

Prime Broking Default at the National Stock Exchange (with Sobhesh Agarwalla)  Case written in 2020

Tezos: Governance in the Cryptocurrency World (with Samir Barua)  Case written in 2020

Swap Curve Steepener (with Vineet Virmani)  Case written in 2017

Hundred Million Dollar Beta (with Vineet Virmani)  Case written in 2016

Swiss Roll - A (with Vineet Virmani)  Case written in 2016

Swiss Roll - B (with Vineet Virmani)  Case written in 2016

Angels and Crowds (with Joshy Jacob)  Case written in 2015

Committee Reports from 2015

Committee on Financial Sector Statistics, 2018
National Statistical Commission, Government of India
Report of the Committee on Financial Sector Statistics