CentER

Publications

All publications ordered by type and year, most recent first

Dion Bongaerts, Frank de Jong and Joost Driessen (2010). Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market. Journal of Finance, forthcoming
SSRN link

Joost Driessen and Enrico Perotti (2010). Confidence Building on Euro Convergence: Theory and Evidence from Cross-Rate Options. Journal of International Money and Finance, forthcoming.
SSRN link

Joost Driessen, Pascal Maenhout and Greg Vilkov (2009). The Price of Correlation Risk: Evidence from Equity Options. Journal of Finance, 64(3). p. 1377-1406 SSRN link

Martijn Cremers, Joost Driessen, Pascal Maenhout, and David Weinbaum (2009). Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry. Journal of Financial and Quantitative Analysis, 44, 1345-1373. SSRN link

Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum (2008). Individual Stock-Option Prices and Credit Spreads. Journal of Banking and Finance, 32 (12), p. 2706-2715.
SSRN link

Martijn Cremers, Joost Driessen and Pascal Maenhout (2008). Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model. Review of Financial Studies , 21, (5), 2209-2242.
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Joost Driessen and Pascal Maenhout (2007). An Empirical Portfolio Perspective on Option Pricing Anomalies. Review of Finance, 11 , (4), 561-603.
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Joosten Driessen and Luc Laeven (2007). International Portfolio Diversification Benefits: Cross-Country Evidence. Journal of Banking and Finance, 31 , (6), 1693-1712.
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Joost Driessen (2005). Is Default Event Risk Priced in Corporate Bonds?. Review of Financial Studies, 18 , 165-195.
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Joost Driessen, Bertrand Melenberg and Theo Nijman (2005). Testing Affine Term Structure Models in case of Transaction Costs. Journal of Econometrics, 126 , (1), 201-232.
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Frank de Jong, Joost Driessen and Antoon Pelsser (2004). On the Information in the Interest Rate Term Structure and Option Prices. Review of Derivatives Research, 7 , 99-127.
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Joost Driessen, Bertrand Melenberg and Theo Nijman (2003). Common Factors in International Bond Returns. Journal of international Money and Finance, 22 , (5), 629-656
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Joost Driessen, Pieter Klaassen and Bertrand Melenberg (2003). The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. Journal of Financial and Quantitative Analysis, 38 , (3), 635-672.
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Frank de Jong, Joost Driessen and Antoon Pelsser (2001). Libor Market Models versus Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. European Finance Review, 5 , (3), 201-237.
full text (link)

Refereed publications in/of books

Joost Driessen and Luc Laeven (2003). International Portfolio Diversification Benefits: Cross-Country Evidence. In Hanson, J., Honohan, P. & Majnoni, G., Globalization and National Financial Systems. (pp. 175-190). Washington, D.C.: World Bank.