Professor | Finance
Bill Nygren Chair in Investments
5267 Grainger Hall
(608) 890-2594

Biography

Bjørn Eraker is the Bill Nygren Chair of Investments and professor of Finance at the Wisconsin School of Business, University of Wisconsin-Madison.

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.

Research

Selected Published Journal Articles

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. (2008). An Equilibrium Guide to Designing Affine Pricing Models Mathematical Finance

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

Teaching

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