Assoc. Prof. Haim Reisman (Retired)

Economics

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Overview

Dr. Reisman received his B.Sc. (in mathematics) at Tel Aviv University and his M.Sc. and Ph.D. (in mathematics) at The Hebrew University in Jerusalem. He was a faculty member at the Department of Mathematics at Northwestern University, at the Department of Economics at Virginia Polytechnic Institute, the Department of Finance at the School of Business at the University of Minnesota, and at the Finance Department of the Business School of New York University.

Selected Publications

  1. Mixed problems for the wave equation in domains with edges, 1981, Communications in Partial Differential Equations , 6(9) , 1043-1056.
  2. Second order elliptic boundary value problems in domains with edges, 1981, Communications in Partial Differential Equations , 6(9) , 1023-1042.
  3. Price taking behavior and trading in options, (with Leonard Mirman), 1984, Journal of Economic Theory , 377-383.
  4. A general approach to the Arbitrage Pricing Theory , 1988, Econometrica , Vol. 56(2) , 473-476.
  5. Price fluctuations when only prices reveal information, 1988, (with Leonard Mirman), Economics Letters , Vol. 27 , 305-310.
  6. Fundamentals, factor structure, and multibeta models in large asset markets, 1991, (with Kose John) Journal of Financial and Quantitative Analysis , Vol. 26 , 1-10.
  7. Intertemporal arbitrage pricing theory , 1992, Review of Financial Studies , vol. 5 , 103-122.
  8. Reference variables, factor structure, and the approximate multibeta representation , 1992, Journal of Finance , Vol. 47 , 1303 - 1314.
  9. A note on the generalized multi-beta CAPM, (with Cheng-Few Lee and Yusif Simaan) 1994, Mathematical Finance , 67-68.
  10. Accounting data and asset valuation: Theory, (with Kose John and Teresa John) 1994, Review of Quantitative Accounting and Finance , 311-320.
  11. A binomial tree implementation for the Hull & White model with probabilities independent of the initial term structure, 1996, Journal of Fixed Income , December 92 - 96.
  12. Intuitive volatility estimator, 2000, Journal of Financial Education , Vol. 26 , Fall, 69-70.
  13. Optimal option portfolios in markets with position limits and margin requirements, (with M. Avriel), 2000, Journal of Risk , Summer, 57-67.
  14. Black&Scholes pricing and markets with transaction costs: An example, 2001, Finance and Stochastics , Vol. 5 , 549-555.
  15. Preferences on relative return: a potential explanation for some pricing anomalies, (with B.Lauterbach), 2002, Advances in Financial Economics , Vol. 7 , 95-103.
  16. Some comments on the APT, 2002, Quantitative Finance , Vol. 2 , 378-388.
  17. Simple construction of the efficient frontier ( With D. Feldman ), 2003, Europian Financial Management , Vol. 9 , 251-259.
  18. Keeping up with the Joneses and the home bias , (with B. Lauterbach), 2004, Europian Financial Management , Vol. 10 , 225-234.
  19. Instantaneous mean variance analysis of bond markets, (with Gady Zohar), 2004, Journal of Fixed Income , Vol. 14 , June issue, 32-39.
  20. Short term predictibility of the term structure, (with G. Zohar), 2004, Journal of Fixed Income , Vol. 11 , December issue, 7-14.

Working Papers

  1. Movements of the term structure of commodity futures and the pricing of commodity claims, 1992.
  2. Generalized implied volatility (with A. Bick.), 1993.
  3. Currency options in the presence of a target zone, (with M. Avriel and P. Bar-Shavit).
  4. Valuation of life insurance claims with surrender option,
  5. Mutual fund holders unanimity and market timing performance measure
  6. Quadratic volatility smile .
  7. Accounting APT
  8. Mean variance analysis of instantaneous options returns (with G. Zohar).
  9. The Law of one Accounting variable

Research

Asset pricing theories and financial engineering: Continuous time models in finance, APT, valuation of derivative assets, term structure movements, dynamic markets with transaction costs, consumption based asset pricing theories, and differential information.

Contact Info

Room 325 Cooper Building
+972-4-829-4460