Robert Geske

Associate Professor of Finance

Phone: (310) 825-3670

robert.geske@anderson.ucla.edu

Biography

Appointed to the faculty in 1977, Robert Geske has published numerous articles on the subjects of option pricing, bond valuation, volatility estimation, interest rate risk, default risk, the stock market and inflation in financial economic journals.  He has consulted for a number of public and private clients, including the Applied Physics Laboratory (APL) at Johns Hopkins University, the Chicago Board Options Exchange, the New York and American Stock Exchanges, the Federal Home Loan Bank Board, numerous commercial and investment banking institutions, and has served on several corporate boards. 

Robert Geske was also formerly the CEO and Founding Principal of both LOR/Geske Bock Associates and LORGB Investment Advisors. He was also a partner at Houlihan Lokey Howard and Zukin (HLHZ). Professor Geske also has experience in the design, hardening and testing of missile guidance systems.

Professor Geske has received research grants from the Federal Home Loan Bank Board, the Institute for Quantitative Research in Finance at Columbia University, and the Huebner Foundation for Insurance Research at Wharton.  He has been a recipient of a Woodrow Wilson Fellowship and a Fulbright Fellowship.

Education

Ph.D. Financial Economics, 1977, UC Berkeley
B.S. Semiconductor Physics and Electronics, 1967, University of Missouri

Interests

Derivatives, Asset Pricing, Bond Markets, Credit Risk, Credit Derivatives, Hedging Strategies, Interest Rates, Volatility
  • Gordon Delianedis and Robert Geske. (February 2003). Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults. EFA 2003 Annual Conference Paper No. 962,

Working Papers

Robert Geske and Yi Zhou. (Revised, November 2010). "Capital Structure Effects on Prices of Firm Stock Options: Tests Using Implied Market Values of Corporate Debt." [ Link ]

Robert Geske, Richard Roll, and Yuzhao Zhang. (Revised, May 2008). "Alternative Variance Estimators for Pricing Options." [ Link ]

Robert Geske and Yi Zhou. (Revised, May 2008). "A New Methodology For Measuring and Using the Implied Market Value of Aggregate Corporate Debt in Asset Pricing: Evidence from S&P 500 Index Put Option Prices."

Robert Geske and Yi Zhou. (January 2007). "Predicting the Volatility of the S&P 500 Equity Index."