College of Business: University of Illinois at Urbana-Champaign

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Neil Pearson

Professor of Finance and Harry A. Brandt Distinguished Professor of Financial Markets and Options

All Publications


Articles in Journals

Pearson, N., Muravyev, D., Broussard, J. 2013. Is There Price Discovery in Equity Options? Journal of Financial Economics, 107: 259–283

Pearson, N. 2011. What Role do Retail Structured Products have in Investors’ Portfolios? Panel Session Highlights from the 2010 FMA Annual Meeting. Journal of Applied Finance, Journal of Applied Finance

Pearson, N., Henderson, B. 2011. The Dark Side of Financial Innovation: A Case Study of the Pricing of a Retail Financial Product. Journal of Financial Economics, 100: 227-247

Pearson, N., Menassa, C., Pena-Mora, F. 2010. A Study of Real Options with Exogenous Competitive Entry to Analyze Dispute Resolution Ladder Investments in Architecture,Engineering and Construction Projects. Journal of Construction Engineering and Management, 136: 377-390

Pearson, N., Pena-Mora, F., Menassa, C. 2009. Option Pricing Model to Analyze Cost–Benefit Trade-Offs of ADR Investments in AEC Projects. Journal of Construction Engineering and Management, 135: 156-168

Pearson, N., Smithson, C. 2008. Valuing Tranches of CDOs II: CDOs of ABS. Risk, 21: 84-87

Lakonishok, J. , Lee, I., Pearson, N., Poteshman, A. 2007. Option Market Activity. Review of Financial Studies, 20: 813-857

Pearson, N., Smithson, C. 2007. Valuing Tranches of CDOs I. Risk, 20: 92-95

Ni, X., Pearson, N., Poteshman, A. 2005. Stock Price Clustering on Option Expiration Dates. Journal of Financial Economics, 78: 49-87

Li, M., Pearson, N., Poteshman, A. 2004. Conditional Estimation of Diffusion Processes. Journal of Financial Economics, 74: 31-66

Pearson, N., Kandel, E. 2002. Option Value, Uncertainty, and Investment Decisions. Journal of Financial and Quantitative Analysis

Pearson, N., Smithson, C. 2002. VAR - The State of Play. Review of Financial Economics, 11: 175-189

Pearson, N., Chapman, D. 2001. What Can Be Learned From Recent Advances in Estimating Models of the Term Structure? Financial Analysts Journal

Pearson, N., Kandel, E. 2001. Flexibility versus Commitment in Personnel Management. Journal of the Japanese and the International Economies, 15: 515-556

Pearson, N. 2000. VAR- A Work in Progress. Risk, 13: 49-51

Pearson, N., Chapman, D. 2000. Is the Short Rate Drift Actually Nonlinear? Journal of Finance, 55: 355-388

Pearson, N., Linsmeier, T. 2000. Value at Risk. Financial Analysts Journal

Pearson, N., Smithson, C. 2000. Beyond VAR. Risk, 13: 85-87

Pearson, N., Chapman, D., Long, Jr., J. 1999. Using Proxies for the Short-Rate: When are Three Months Like an Instant? Review of Financial Studies

Pearson, N., Ju, X. 1999. Using Value-at Risk to Control Risk Taking: How Wrong Can You Be? Journal of Risk, 1: 5-36

Weisbach, M., Barclay, M., Pearson, N. 1998. Open-End Mutual Funds and Capital Gains Taxes. Journal of Financial Economics, 49: 3-43

Pearson, N., Linsmeier, T. 1997. Quantitative Disclosures of Market Risk in the SEC Release. Accounting Horizons, 11: 107-135

Pearson, N. 1995. An Efficient Approach for Pricing Spread Options. Journal of Derivatives, 3: 76-91

Pearson, N., Kandel, E. 1995. Differential Interpretation of Public Information and Trade in Speculative Markets. Journal of Political Economy, 103: 831-871

Pearson, N., Sun, T. 1994. Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model. Journal of Finance, 49: 1279-1304

Pearson, N., He, H. 1991. Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Infinite Dimensional Case. Journal of Economic Theory, 54: 259-304

Pearson, N., He, H. 1991. Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Finite Dimensional Case. Mathematical Finance, 1: 1-10

Books

Pearson, N. 2002. Risk Budgeting: Portfolio Problem Solving Using Value at Risk. England: John Wiley & Sons.

Pearson, N. 2002. Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, 1-319. John Wiley & Sons, Inc..

Chapters in Books

Pearson, N. 2003. Markowitz Mean-Variance Portfolio Theory. In History of Risk Management. London: Risk Publications.

Pearson, N. 2002. "What's New in Value-at-Risk? A Selective Survey,". In J. Jay Choi and Michael R. Powers (Ed.), Global Risk Management: Financial, Operational and Insurance Strategies. Kidlington, UK: Elsevier Science Publishers.

Pearson, N. 2000. "Fixed Income Subtleties and the Pricing of Long Bonds,". In N. Jegadeesh and B. Tuckman (Ed.), Advanced Fixed Income Valuation Tools. New York: John Wiley & Sons.

Pearson, N., Zhou, A. 2000. A Non-Parametric Analysis of the Forward Rate Volatilities. In L. Hughston (Ed.), The New Interest Rate Models. London: Risk Publications.

Pearson, N., Linsmeier, T. 1997. Risk Measurement. In FX: Managing Global Currency Risk: The Definitive Handbook for Corporations and Financial Institutions. Glenlak Publishing Company.

Pearson, N., Linsmeier, T. 1997. Risk Measurement Disclosures. In Treasury Risk Management. London: Risk Publications.

Working Papers

Pearson, N., Kitwiwattanachai, C. 2012. Inferring Asset Correlations and Probability of Default from CDS Spreads

Pearson, N., Kitwiwattanachai, C. 2012. The Illiquidity of CDS Market: Evidence from Index Inclusions

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades

Pearson, N. 2008. A Simple Approach to Valuing CDOs of ABS

Pearson, N., Henderson, B. 2008. Patterns in the Payoffs of Structured Equity Derivatives. Journal of Financial Economics

Pearson, N., Li, M. 2008. A Horse Race Among Competing Option Pricing Models using S&P 500 Index Options. Review of Financial Studies

Pearson, N., Poteshman, A., White, J. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? Journal of Finance

Pearson, N., Yang, J. 2005. Maximum Likelihood Estimation of Stochastic Volatility Models Using Option Prices

Presentations

Pearson, N., Henderson, B., Wang, L. 2014. New Evidence on the Financialization of Commodity Markets, American Finance Association Annual Meetings, Philadephia.

Pearson, N., Yang, Z. 2013. Investor Trading During the Chinese Warrants Bubble, Xi'an Jiaotong University, Xi'an.

Pearson, N., Yang, Z. 2013. Investor Trading During the Chinese Warrants Bubble, Dongbei University of Finance and Economics, Dalian.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets, SKBI Annual Conference on Financial Economics, Singapore.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets, International Symposium on Financial Engineering and Risk Management, Changsha.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets, China International Conference in Finance, Chongqing.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets, Beifang University of Nationalities, Yinchuan.

Pearson, N., Henderson, B. 2011. The Price Impact of Large Hedging Trades, Financial Intermediation Research Society, Sydney.

Pearson, N., Henderson, B. 2010. The Dark Side of Financial Innovation, Adam Smith Asset Pricing Conference, Oxford.

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades, Nanyang Technological University, Singapore.

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades, CRSP Forum 2010, Chicago.

Pearson, N., Poteshman, A., Henderson, B. 2010. Does Option Trading Have a Pervasive Influence on Underlying Stock Prices?, George Washington University, Washington.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation, 2009 Financial Intermediation Research Society, Prague.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation, Hong Kong University of Science and Technology, Hong Kong.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation, 2009 China International Conference in Finance, Guangzho.

Pearson, N. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices, University of North Carolina, Chapel Hill.

Pearson, N. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices, University of Illinois at Chicago, Chicago.

Pearson, N., Li, M. 2008. Deviations from the Black-Scholes Formula Follow a Simple Pattern, 2008 China International Conference in Finance, Dalian.

Pearson, N. 2007. Valuing CDO's of Corporates, 2007 Meetings of the International Association of Credit Portfolio Managers, New York.

Pearson, N., White, J., Poteshman, A. 2007. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?, Utah Winter Finance Conference, Salt Lake City.

Pearson, N., Li, M. 2006. Deviations from the Black-Scholes Formula Follow a Simple Pattern, American Finance Association Annual Meetings, Boston.

Pearson, N., White, J., Poteshman, A. 2006. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?, University of Rochester, Rochester.

Pearson, N., Ni, X., Poteshman, A. 2005. Stock Price Clustering on Option Expiration Dates, Boston College

Ivkovich, Z., Pearson, N. 2004. Everything is Relative: The Disposition Effect and Households' Stock Trades, Boston College

Pearson, N., Ivkovich, Z. 2004. Everything is Relative: The Disposition Effect and Households' Stock Trades, University of Colorado, Boulder.

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates, University of Iowa

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates, Louisiana State University

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates, Rutgers University

Pearson, N. 2003. Conditional Estimation of Diffusion Processes, European Financial Managment Association Conference

Pearson, N. 2003. Conditional Estimation of Diffusion Processes, Pennsylvania State University

Pearson, N., Ni, X., Poteshman, A. 2003. Stock Price Clustering on Option Expiration Dates, Tulane University

Pearson, N., Ni, X., Poteshman, A. 2003. Stock Price Clustering on Option Expiration Dates, University of Florida

Pearson, N. 2002. Conditional Estimation of Diffusion Processes, University of Illinois

Pearson, N. 2001. Conditional Estimation of Diffusion Processes, Western Finance Association Annual Meetings, 2011

Pearson, N. 2001. Conditional Estimation of Diffusion Processes, University of Texas - Austin

Pearson, N. 2001. Conditional Estimation of Diffusion Processes, University of Illinois

Pearson, N. 2001. Conditional Estimation of Diffusion Processes, Risk Theory Society

Pearson, N. 2001. What's New in VaR?, Temple University

Pearson, N. 2001. What's New in VaR?, The Economist

Pearson, N. 2001. Risk Decomposition (talk based on VaR book), GARP Conference

Pearson, N. 1998. Is the Short Rate Drift Actually Nonlinear, UIUC Finance Seminar, Champaign.

 

Contact Information:

419 Wohlers Hall
1206 South Sixth Street
Champaign, IL, 61820
(217) 244-0490
pearson2@illinois.edu


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