- Credit Derivatives
- Volatility
- Bond Markets
- Derivatives
- Hedging Strategies
- Interest Rates
- Credit Risk
- Asset Pricing
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, and numerous commercial and investment banking institutions, and he has served on several corporate boards.
Geske is the former CEO and founding principal of both LOR/Geske Bock Associates and LORGB Investment Advisors and was a partner at Houlihan Lokey Howard and Zukin (HLHZ). He also has experience in the design, hardening and testing of missile guidance systems.
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 is 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
Selected Published Papers
G Bamberg, M Brennan, V Firchau, R Geske, B Rudolph, E Schwartz, (2012) Capital market equilibria, Springer Science & Business Media
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."