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Information about:
Joost Driessen

Personal Details | Affiliation | Works
This is information that was supplied by Joost Driessen in registering through RePEc. If you are Joost Driessen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Joost
Middle Name:
Last Name: Driessen
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RePEc Short-ID: pdr83

Email:
Homepage: http://center.uvt.nl/staff/driessen/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Joost Driessen & Tse-Chun Lin & Ludovic Phalippou, 2008. "A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds," NBER Working Papers 14144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Otto van Hemert & Joost Driessen & Frank de Jong, 2005. "(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners," FMG Discussion Papers dp538, Financial Markets Group. [Downloadable!] (restricted)

  3. Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005. "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers 191, Bank for International Settlements. [Downloadable!]
    Published as:

  4. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  5. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  6. Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000. "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

  7. Driessen, J. & Melenberg, B. & Nijman, T., 2000. "Common factors in international bond returns," Discussion Paper 91, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  8. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]

Articles

  1. Joost Driessen & Pascal J. Maenhout & Grigory Vilkov, 2009. "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, American Finance Association, vol. 64(3), pages 1377-1406, 06. [Downloadable!] (restricted)

  2. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December. [Downloadable!] (restricted)

  3. K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008. "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2209-2242, September. [Downloadable!] (restricted)
    Other versions:

  4. Driessen, Joost & Laeven, Luc, 2007. "International portfolio diversification benefits: Cross-country evidence from a local perspective," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1693-1712, June. [Downloadable!] (restricted)

  5. Joost Driessen & Pascal Maenhout, 2007. "An Empirical Portfolio Perspective on Option Pricing Anomalies," Review of Finance, Oxford University Press for European Finance Association, vol. 11(4), pages 561-603. [Downloadable!] (restricted)

  6. Joost Driessen, 2005. "Is Default Event Risk Priced in Corporate Bonds?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(1), pages 165-195. [Downloadable!] (restricted)

  7. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May. [Downloadable!] (restricted)
    Other versions:

  8. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, 08. [Downloadable!]

  9. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 635-672, September. [Downloadable!]
    Other versions:

  10. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003. "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 629-656, October. [Downloadable!] (restricted)
    Other versions:

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-02-29 Author is listed
  2. NEP-FIN: Finance (1) 2005-05-23 Author is listed
  3. NEP-IND: Industrial Organization (1) 1999-11-08 Author is listed
  4. NEP-RMG: Risk Management (1) 2004-02-29 Author is listed
  5. NEP-URE: Urban & Real Estate Economics (1) 2005-05-23 Author is listed
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This page was last updated on 2009-11-14.

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