Contact Information
419 Wohlers Hall
1206 South Sixth Street
Champaign IL 61820

(217) 244-0490
pearson2@illinois.edu

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Neil Pearson

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

Education

Ph.D. Finance, Massachusetts Institute of Technology, 1990.
A.B. Princeton University, 1981.

Research Interests

Research interests include models for pricing and hedging financial derivatives, and risk management.

Research

Journal Articles

"Is There Price Discovery in Equity Options?" N. Pearson, D. Muravyev, J. Broussard, Journal of Financial Economics, (107) February, 2 259–283 2013.


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


"What Role do Retail Structured Products have in Investors’ Portfolios? Panel Session Highlights from the 2010 FMA Annual Meeting" N. Pearson, Journal of Applied Finance, 1 Journal of Applied Finance 2011.


"A Study of Real Options with Exogenous Competitive Entry to Analyze Dispute Resolution Ladder Investments in Architecture,Engineering and Construction Projects" N. Pearson, C. Menassa, F. Pena-Mora, Journal of Construction Engineering and Management, (136) March, 3 377-390 2010.


"Option Pricing Model to Analyze Cost–Benefit Trade-Offs of ADR Investments in AEC Projects" N. Pearson, F. Pena-Mora, C. Menassa, Journal of Construction Engineering and Management, (135) March, 3 156-168 2009.


"Valuing Tranches of CDOs II: CDOs of ABS" N. Pearson, C. Smithson, Risk, (21) March, 3 84-87 2008.


"Option Market Activity" J. Lakonishok, I. Lee, N. Pearson, A. Poteshman, Review of Financial Studies, (20) May, 3 813-857 2007.


"Valuing Tranches of CDOs I" N. Pearson, C. Smithson, Risk, (20) December, 12 92-95 2007.


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


"Conditional Estimation of Diffusion Processes" M. Li, N. Pearson, A. Poteshman, Journal of Financial Economics, (74) October, 1 31-66 2004.


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


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


"What Can Be Learned From Recent Advances in Estimating Models of the Term Structure?" N. Pearson, D. Chapman, Financial Analysts Journal, (57) July, 4 2001.


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


"Value at Risk" N. Pearson, T. Linsmeier, Financial Analysts Journal, (56) March, 2 2000.


"VAR- A Work in Progress" N. Pearson, Risk, (13) 10 49-51 2000.


"Beyond VAR" N. Pearson, C. Smithson, Risk, (13) 12 85-87 2000.


"Is the Short Rate Drift Actually Nonlinear?" N. Pearson, D. Chapman, Journal of Finance, (55) 1 355-388 2000.


"Using Proxies for the Short-Rate: When are Three Months Like an Instant?" N. Pearson, D. Chapman, J. Long, Jr., Review of Financial Studies, (12) 4 1999.


"Using Value-at Risk to Control Risk Taking: How Wrong Can You Be?" N. Pearson, X. Ju, Journal of Risk, (1) 2 5-36 1999.


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


"Quantitative Disclosures of Market Risk in the SEC Release" N. Pearson, T. Linsmeier, Accounting Horizons, (11) 1 107-135 1997.


"Differential Interpretation of Public Information and Trade in Speculative Markets" N. Pearson, E. Kandel, Journal of Political Economy, (103) 4 831-871 1995.


"An Efficient Approach for Pricing Spread Options" N. Pearson, Journal of Derivatives, (3) 1 76-91 1995.


"Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model" N. Pearson, T. Sun, Journal of Finance, (49) 4 1279-1304 1994.


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


"Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Finite Dimensional Case" N. Pearson, H. He, Mathematical Finance, (1) 3 1-10 1991.

Working Papers

"Negative Externality of Algorithmic Trading: Evidence from the Option Market" N. Pearson, D. Muravyev, 2014.


"Constrained Maximum Likelihood Estimation of Covariance Matrices" N. Pearson, H. Yilmaz, 2013.


"New Evidence on the Financialization of Commodity Markets" N. Pearson, B. Henderson, L. Wang, 2012.


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


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


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


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


"Patterns in the Payoffs of Structured Equity Derivatives" N. Pearson, B. Henderson, 2008.


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


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


"Deviations from the Black-Scholes Formula Follow a Simple Pattern" N. Pearson, M. Li, 2007.


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

Books

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


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

Chapters in Books

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


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


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


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


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


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

Honors and Awards


Campus Award for Excellence in Graduate and Professional Teaching , University of Illinois at Urbana-Champaign , 2014


Campus Award for Excellence in Off-Campus Teaching , University of Illinois at Urbana-Champaign , 2004


Honorable Mention, Campus Award for Excellence in Graduate and Professional Teaching , University of Illinois , 2002


Listed Among the outstanding faculty at the University of Illinois , Business Week Guide to the Best Business Schools , 2001


Competitive Paper Award - Is the Short Rate Drift Acutally Nonlinear , FMA , 1998


Graduate Excellence in Teaching Award , College of Commerce and Business Administration , 1998


Listed among Most Popular Professors at the University of Illinois , Business Week Guide to the Best Business Schools , 1998


, MBA Faculty Excellence Award , 1998


Best Paper Award for ""Consumption and Portfolio Policies with Incomplete Markets and Short-Sale constraints: The Finite Dimensional Case" , Mathematical Finance/Merrill Lynch , 1992


 


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