About Bjorn
His research interests include asset pricing, derivatives, econometrics of financial markets, and equilibrium modeling.
Professor Eraker's work has been published in several journals, including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Econometrics and Mathematical Finance. He is known for his work in estimating econometric models of stock and derivatives markets, as well as developing models for pricing derivative securities.
Prior to joining Wisconsin, he was on the faculty of Duke University, where he was an assistant professor in the Department of Economics. He received his Ph.D. from the University of Chicago, Graduate School of Business in 2001.
Selected Published Journal Articles
Eraker, B. (2021). The Volatility Premium Quarterly Journal of Finance
Eraker, B. & Wu, Y. (2017). Explaining the Negative Returns to Volatility Claims: An Equilibrium Approach Journal of Financial Economics
Eraker, B. & Shaliastovich, I. & Wang, W. (2016). Durable Goods, Inflation Risk, and Equilibrium Asset Prices Review of Financial Studies
Eraker, B. & Wang, J. (2015). A Non-Linear Dynamic Model of the Variance Risk Premium Journal of Econometrics
Eraker, B. & Chiu, . & Foerster, A. & Kim, T. & Seoane, H. (2015). Bayesian Mixed Frequency VAR’s Journal of Financial Econometrics
Eraker, B. (2013). The Performance of Model Based Option Trading Strategies Review of Derivatives Research
Eraker, B. (2008). A Bayesian View of Temporary Components in Asset Prices Journal of Empirical Finance
Eraker, B. (2008). Affine General Equilibrium Models Management Science
Eraker, B. & Shaliastovich, I. (2008). An Equilibrium Guide to Designing Affine Pricing Models Mathematical Finance
Eraker, B. (2004). Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices Journal of Finance
Eraker, B. (2003). The Impact of Jumps in Returns and Volatility Journal of Finance
Eraker, B. (2001). MCMC Analysis of Diffusion Models with Application to Finance Journal of Business and Economic Statistics
Presentations
Seminar (2011) Dynamic Present Values and the Intertemporal CAPM
Seminar (2010) Equilibrium Yield Curves : The Role of Durable Goods
Multinational Finance Conference (2010) Over the counter stock markets
Undergraduate Courses
Contemporary Topics (FIN 365), Fall 2008.
Derivative Securities (FIN 330), Fall 2016.
Pricing and uses of options,futures,and forward contracts.
Contemporary Topics (FIN 233), Spring 2010.
Graduate Courses
Seminar- Workshop in Finance (FIN 973), Fall 2011.
Topics Seminar-Finance PhD (FIN 972), Spring 2010.
Special topics of current or emerging interest in financial economics.
Anal-Fixed Income Securities (FIN 740), Fall 2008.
Investment theories and management policies related to the institutional investment portfolio.
Anal-Fixed Income Securities (FIN 740), Spring 2009.
Investment theories and management policies related to the institutional investment portfolio.
Anal-Fixed Income Securities (FIN 740), Spring 2010.
Investment theories and management policies related to the institutional investment portfolio.
Learning/Teaching Oriented Publications
Eraker, B. & Ready, M. (2015). Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks Journal of Financial Economics
Eraker, B. & Shaliastovich , I. & Wang, W. Equilibrium Yield Curves: The Role of Durable Goods
Meet More Finance Faculty
Mark J Laplante
Hengjie Ai
Anthony DeFusco
