DAVID
S. BATES
C. Woody Thompson Professor of Finance
Department of Finance
Henry B. Tippie
College of Business
The University of Iowa
Iowa City, IA 52242-1000
Office: S336 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 Substitutability
M.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
Visiting Scholar, Federal Reserve Bank of Philadelphia, May - August, 1994.
Assistant Professor of Finance, The Wharton School,
Sept. 1988 - June 1996.
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
“Empirical Option Pricing Models,” November 2021; Annual Review of Financial Economics (forthcoming).
"How Crashes Develop: Intradaily Volatility and Crash Evolution," Journal of Finance 74:1, February 2019, 193-238.
"U.S. Stock Market Crash Risk, 1926 - 2010", Journal of Financial Economics 105:2, August 2012, 229-259.
"The Bates and Scott Models." In Rama Cont (ed.), The Encyclopedia of Quantitative Finance, Wiley, 2010.
"The Market for Crash Risk," Journal of Economic Dynamics and Control 32:7, July 2008, 2291-2321. [working paper version]
"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. Also reprinted in Roy Batchelor and Pami Dua, eds., Financial Forecasting, vol 1. International Library of Critical Writings in Financial Economics, no. 13, Edward Elgar Publishing, Ltd., Cheltenham, UK; 2003.
WORKING PAPERS
"Pricing Options Under Jump-Diffusion Processes," October 1988.
PRESENTATIONS
"On Estimating Stock Market Volatility and Crash Risk," ACMS lecture (Iowa), May 2012.
OTHER
Espen Gaardner Haug's interview of David Bates. This interview was conducted in March 2006, and appeared in Espen's book Derivatives: Models on Models (John Wiley & Sons, 2007). The book contains interviews with other quants (Peter Carr, Emanuel Derman, Bruno Dupire, ... , Nassim Taleb, Paul Wilmott) as well as Espen's own work.
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 1983-2020. [Last updated: October 28, 2021]
This page was last modified on November 8, 2021. If there are any problems with it, please let me know.