Professor of Finance
W. A. Krause Faculty Fellow
Department of Finance
Henry B. Tippie College of Business
The University of Iowa
Iowa City, IA 52242-1000Office: S234 PBAB
Phone: (319) 353-2288
Fax: (319) 335-3690
e-mail: david-bates@uiowa.edu
OTHER POSITIONS
Research Associate, National Bureau of Economic Research
EDUCATION
M.A. and Ph.D., Economics Department, Princeton University; October 1988.
Thesis: Crashes, Options, and International Asset SubstitutabilityM.P.A. (Economics and Public Policy), Woodrow Wilson School, Princeton University; June 1981.
S.B., Mathematics, Massachusetts Institute of Technology; June 1978.
Honors: Phi Beta Kappa, Sigma Xi
ACADEMIC AND PROFESSIONAL EXPERIENCE
Professor of Finance, The University of Iowa, May 2006 - Present.
Associate Professor of Finance, The University of Iowa, August 1996 - April 2006
Assistant Professor of Finance, The Wharton School, Sept. 1988 - June 1996.
Visiting Scholar, Federal Reserve Bank of Philadelphia, May - August, 1994.
Lecturer, Princeton University, September 1987 - June 1988.
Teaching Assistant, Princeton University, Sept. 1985 - May 1987.
Economist, International Monetary Fund, June - August 1984.
International Economist, First National Bank of Chicago, June 1981 - August 1983.
Summer Intern, U.S. Mission to the European Communities, June - August 1980.
Research Assistant, Brookings Institution, August 1978 - August 1979.
ARTICLES
"Maximum Likelihood Estimation of Latent Affine Processes," Review of Financial Studies, Fall 2006, 909-965. [working paper version]
"Hedging the Smirk," Finance Research Letters 2:4, December 2005, 195-200.
"Empirical Option Pricing: A Retrospection," Journal of Econometrics 116:1/2, September/October 2003, 387-404. [working paper version]
"Post-'87 Crash Fears in the S&P 500 Futures Option Market," Journal of Econometrics 94:1/2, January/February 2000, 181-238.
"Financial Markets' Assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, 51:1, December 1999, 229-269.
(with Roger Craine) "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," Journal of Money, Credit, and Banking 31:2, May 1999, 248-272.
"The Skewness Premium: Option Pricing Under Asymmetric Processes," Advances in Futures and Options Research 9, 1997, 51-82. [working paper version]
"Testing Option Pricing Models," in G.S. Maddala and C. R. Rao, eds., Statistical Methods in Finance (Handbook of Statistics, v. 14). Amsterdam: Elsevier, 1996, pp. 567-611. [working paper version]
"Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit in Foreign Currency Futures Options," Journal of International Money and Finance 15:1, February 1996, 65-93. Reprinted in D. F. DeRosa, ed., Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications; New York: Wiley, 1998.
"Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies 9:1, Winter 1996, 69-107.
"The Crash of '87 -- Was It Expected? The Evidence from Options Markets," Journal of Finance 46:3, July 1991, 1009-1044. Reprinted in Eugene White, ed., Stock Market Crashes and Speculative Manias, International Library of Macroeconomic and Financial History. , Cheltenham, UK : Edward Elgar Publishing, Ltd., 1996.
WORKING PAPERS
"The Market for Crash Risk," March 2006 (revised version). (Slides from AFA presentation on January 4, 2003)
"Pricing Options Under Jump-Diffusion Processes," October 1988.
OTHER
Right-click below to download an Excel movie of ISD smiles and smirks and the associated probability density functions inferred daily from options on S&P 500 futures over 1983-2006. [Updated July 7, 2007]
zipped (WinRAR) version (2.2 Mb) unzipped version (9.4 Mb)
This page was last modified on July 7, 2007. If there are any problems with it, please let me know.
Finance Department