Michael Johannes
- Ann F. Kaplan Professor of Business; Chair of Finance Division
- Finance Division
- Areas of Expertise
- Asset Management, Financial Engineering
- Contact
- Office: 734 Kravis
- E-mail: mj335@gsb.columbia.edu
- Links
- Curriculum Vitae
Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.
- Education
-
BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000
- Joined CBS
- 2000
All Activities
Journal Article
Johannes, Michael, Arthur Korteweg, and Nicholas Polson. “Sequential learning, predictability, and optimal portfolio returns.”
Journal of Finance
vol. 69,
(April 01, 2014): 611-644.
Journal Article
Johannes, Michael, Carlos Carvalho, Hedibert Lopes, and Nicholas Polson. “Particle Learning and Smoothing.”
Statistical Science
vol. 25,
(January 01, 2010): 88-106.
Journal Article
Broadie, Mark, Mikhail Chernov, and Michael Johannes. “Understanding index option returns.”
Review of Financial Studies
vol. 22,
(January 01, 2009): 4493-4529.
Journal Article
Johannes, Michael, Nicholas Polson, and Jonathan Stroud. “Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.”
The Review of Financial Studies
vol. 22,
(January 01, 2009): 2759-2799.
Journal Article
Jacquier, Eric, Michael Johannes, and Nicholas Polson. “MCMC Maximum Likelihood for Latent State Models.”
Journal of Econometrics
vol. 137,
(April 01, 2007): 615-640.
Journal Article
Johannes, Michael and M. Suresh Sundaresan. “The Impact of Collateralization on Swap Rates.”
The Journal of Finance
vol. 62,
(February 01, 2007): 383-410.
Journal Article
Broadie, Mark, Mikhail Chernov, and Michael Johannes. “Model specification and risk premia: Evidence from futures options.”
Journal of Finance
vol. 62,
(January 01, 2007): 1453-1490.
Journal Article
Johannes, Michael. “The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models.”
The Journal of Finance
vol. 59,
(January 01, 2004): 227-260.
Journal Article
Eraker, Bjorn, Michael Johannes, and Nicholas Polson. “The Impact of Jumps in Equity Index Volatility and Returns.”
Journal of Finance
vol. 58,
(June 01, 2003): 1269-1300.
Working Paper
Johannes, Michael and Jonathan Stroud.
Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis. January 01, 2013.
Working Paper
Johannes, Michael, Nicholas Polson, and Seung Yae.
Robust Filtering and Learning. January 01, 2013.
Working Paper
Johannes, Michael and Yiqun Mou.
Learning about Consumption Dynamics. April 01, 2011.
Working Paper
Johannes, Michael.
The Asset Pricing Implications of Priced Structural Parameter Uncertainty. April 01, 2011.
Working Paper
Jacquier, Eric, Michael Johannes, and Nicholas Polson.
MCMC Methods for Expected Utility Calculations. January 01, 2011.
Working Paper
Broadie, Mark and Michael Johannes.
Understanding Index Option Returns. May 01, 2007.
Working Paper
Johannes, Michael and Nicholas Polson.
Exact Particle Filtering and Parameter Learning. October 01, 2006.
Working Paper
Dubinsky, Andrew and Michael Johannes.
Earnings Announcements and Equity Options. September 01, 2004.
Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud.
Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models. August 01, 2003.
Working Paper
Sundaresan, M. Suresh and Michael Johannes.
Pricing Collateralized Swaps. March 01, 2003.
Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud.
Nonlinear Filtering of Stochastic Differential Equations with Jumps. September 01, 2002.
Working Paper
Johannes, Michael, Nicholas Polson, and Jonathan Stroud.
Sequential Optimal Portfolio Performance: Market and Volatility Timing. March 01, 2002.
Working Paper
Johannes, Michael, Rohit Kumar, and Nicholas Polson.
State Dependent Jump Models: How Do U.S. Equity Markets Jump? September 01, 1999.
Newspaper/Magazine Article
Broadie, Mark and Michael Johannes.
“Model Specification and Risk Premia: Evidence from Futures Options.”
Journal of Finance.
Forthcoming.
Chapter
Johannes, Michael, Carlos Carvalho, Hedibert Lopes, and Nicholas Polson.
“Particle Learning for Sequential Bayesian Computation.”
In Bayesian Statistics 9,
edited by José M. Bernardo, M. J. Bayarri, James O. Berger, A. P. Dawid, David Heckerman, Adrian F. M. Smith, and Mike West,
Oxford:
Oxford University Press,
2011.
Chapter
Hore, Satadru, Michael Johannes, Hedibert Lopes, Robert McColluch, and Nicholas Polson.
“Bayesian computation in finance.”
In Frontiers of Statistical Decision Making and Bayesian Analysis,
edited by Ming-Hui Chen, Peter Müller, Dongchu Sun, and Keying Ye,
383-396.
New York:
Springer,
2010.
Chapter
Johannes, Michael and Nicholas Polson.
“MCMC Methods for Financial Econometrics.”
In Handbook of Financial Econometrics Vol. 2,
edited by Y. Ait-Sahalia and L.P. Hansen,
1-72.
Amsterdam:
North Holland,
2009.
Chapter
Johannes, Michael and Nicholas Polson.
“Particle Filtering.”
In Handbook of Financial Time Series,
edited by Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiss, and Thomas Mikosch,
1015-1030.
Germany:
Springer-Verlag,
2009.
Course
B8306: Capital Markets & Investments
Course
B9336: Introduction to Continuous Time Finance
Course
B9337: Advanced Derivatives
Course
B7306: Capital Markets & Investments
Article
The Next Generation of Finance
Article
Faculty: Eurozone Crisis Brings Risks — and Opportunities
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