Wisconsin School of Business

Bjorn Eraker

Professor - Finance
Bill Nygren Chair in Investments

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.
 

Selected Published Journal Articles


Eraker, B. & Wu, Y. (2017). Explaining the Negative Returns to Volatility Claims: An Equilibrium Approach. Journal of Financial Economics (125), 72-98.
Eraker, B. & Shaliastovich, I. & Wang, W. (2016). Durable Goods, Inflation Risk, and Equilibrium Asset Prices. Review of Financial Studies (29), 193-231.
Eraker, B. & Wang, J. (2015). A Non-Linear Dynamic Model of the Variance Risk Premium. Journal of Econometrics (187), 547-556.
Eraker, B. & Chiu, . & Foerster, A. & Kim, T. & Seoane, H. (2015). Bayesian Mixed Frequency VAR's. Journal of Financial Econometrics (13), 698-721.
Eraker, B. (2013). The Performance of Model Based Option Trading Strategies. Review of Derivatives Research (16), 1-23.
Eraker, B. (2008). A Bayesian View of Temporary Components in Asset Prices. Journal of Empirical Finance (15), 503-517. doi: 10.1016/j.jempfin.2007.07.004.
Eraker, B. (2008). Affine General Equilibrium Models. Management Science (54), 2068-2080. doi: 10.1287/mnsc.1070.0796.
Eraker, B. (2008). An Equilibrium Guide to Designing Affine Pricing Models. Mathematical Finance (18), 519-543. doi: 10.1111/j.1467-9965.2008.00346.x.
Eraker, B. & Shaliastovich, I. (2008). An Equilibrium Guide to Designing Affine Pricing Models. Mathematical Finance (18), 519-43.
Eraker, B. (2004). Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices. Journal of Finance (59), 1367-1403. doi: 10.1111/j.1540-6261.2004.00666.x.
Eraker, B. (2003). The Impact of Jumps in Returns and Volatility. Journal of Finance (53), 1269-1300. doi: 10.1111/1540-6261.00566.
Eraker, B. (2001). MCMC Analysis of Diffusion Models with Application to Finance. Journal of Business and Economic Statistics (19), 177-191. doi: 10.1198/073500101316970403.

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 Section 2), Fall 2008.

Derivative Securities
Course DescriptionPricing and uses of options,futures,and forward contracts.
(FIN 330 Section 003), Fall 2016.

Contemporary Topics (FIN 233), Spring 2010.



Graduate Courses


Seminar- Workshop in Finance (FIN 973), Fall 2011.

Topics Seminar-Finance PhD
Course DescriptionSpecial topics of current or emerging interest in financial economics.
(FIN 972 Section 1), Spring 2010.

Anal-Fixed Income Securities
Course DescriptionInvestment theories and management policies related to the institutional investment portfolio.
(FIN 740 Section 1), Fall 2008.

Anal-Fixed Income Securities
Course DescriptionInvestment theories and management policies related to the institutional investment portfolio.
(FIN 740 Section 1), Spring 2009.

Anal-Fixed Income Securities
Course DescriptionInvestment theories and management policies related to the institutional investment portfolio.
(FIN 740 Section 1), Spring 2010.



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 (115), 486-504.
Eraker, B. & Shaliastovich , I. & Wang, W. Equilibrium Yield Curves: The Role of Durable Goods.

Photograph of Bjorn Eraker

Bjorn Eraker

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