Bjørn Eraker Home Page

William C. Nygren Chair in Investments  

Professor of Finance

Wisconsin School of Business 


Contact information:

5274A Grainger Hall 

53706 Madison, WI 


e-mail: bjorn dot eraker at  wisc dot edu 


Curriculum Vitae




Market Maker Inventory, Bid-Ask Spreads, and the Computation of Option Implied Risk Measures” 2022. With Daniela Osterrieder. Journal of Financial Econometrics, forthcoming

" The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," 2021. With Aoxiang Yang. Journal of Finance, forthcoming.

"The Volatility Premium," 2021, The Quarterly Journal of Finance, 11(3), p. 1-35.

"Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach." With Yue Wu. 2017. Journal of Financial Economics, 125, p. 72-98

"Durable Goods, Inflation Risk and Equilibrium Asset Prices." With Ivan Shaliastovich and Wenyu Wang.  2016. Review of Financial Studies,  29(1), 193-231.

"A Non-Linear Dynamic Model of the Variance Risk Premium." With Jiakou Wang. 2015. Journal of Econometrics, 187(2), p. 547-556

"Bayesian Mixed Frequency VAR's" With Ching Wai Chiu, Andrew Foerster, Tae Bong Kim and Hernan Seoane. 2015, Journal of Financial Econometrics, 13 (3). p. 698-721

"Do investors overpay for stocks with lottery-like payoffs? An examination of the returns on OTC stocks." With Mark Ready. Journal of Financial Economics, 2015, 115(3), p. 486-504

"The Performance of Model Based Option Trading Strategies," Review of Derivatives Studies, 2013, Vol 16(1), p. 1-24

"An Equilibrium Guide to Designing Affine Pricing Models." With Ivan Shaliastovich. Mathematical Finance, 2008,18-4, p. 519-543

"Affine General Equilibrium Models," Management Science,2008, 54-12, p. 2068-2080.

"A Bayesian View of Temporary Components in Asset Prices," Journal of Empirical Finance, 2008,Vol 15, Issue 3, p. 503-517

"Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, 2004, 59, p. 1367-1403

The Impact of Jumps in Returns and Volatility,” with Michael Johannes and Nicholas G. Polson, Journal of Finance, 2003, 53, p. 1269-1300

"MCMC Analysis of Diffusion Models with Application to Finance, " Journal of Business and Economic Statistics, vol 19-2, April 2001, p. 177-191

"Comment on ''Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes'' by G. B. Durham and A. R. Gallant ", Sept. 2001, JBES 


Working Papers:

"Predictability Puzzles," 2021

"Dynamic Present Values and the Intertemporal CAPM." With Wenyu Wang. These slides contain additional empirical results.





340 Fixed Income

740 Fixed Income