Photo of Krishna Ramaswamy

Krishna Ramaswamy

Edward Hopkinson, Jr. Professor of Investment Banking

Professor of Finance

Research Interests: investment management in equity and bond markets, options and futures

Contact Information

Address: 3259 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Email: krishna@wharton.upenn.edu
Office: (215) 898-6206

Overview

Education

PhD, Stanford University, 1978; MBA, Duke University, 1973; BTech, Indian Institute of Technology, Kharagpur, India, 1971

Recent Consulting

Investment Management, Bankers Trust, International Monetary Fund

Academic Positions Held

Wharton: 1985-present (named Edward Hopkinson, Jr. Professor of investment Banking, 1998; Bankers Trust Term Associate Professor of Finance, 1985-90). Previous appointment: Columbia University. Visiting appointment: University of Chicago

Other Positions

Research Coordinator, Institute for Quantitative Research in Finance, 1979-89; Technical Staff Member, Economics Department, Bell Telephone Laboratories, 1977-79

Research


  • Chua, C.T., Krishna Ramaswamy, Robert A. Stine (2009), Predicting Short-Term Eurodollar futures, Journal of Fixed Income, 18, 47 - 61.  
  • Choong Tze Chua, Dean P. Foster, Krishna Ramaswamy, Robert A. Stine (2007), A Dynamic Model for the Forward Curve, Review of Financial Studies, 21, 265 - 310.    Abstract

In The News

Courses

Current

  • FNCE392 - Financial Engineering

    Many financial products are introduced each year; some are designed to meet the needs of a particular clientele, and others are really strategies and related implementations. A common feature of the successful products is the careful attention to their design, and more importantly, the technical preparation that entered into its valuation,its hedging, and its benefits to users. Innovations in financial markets are rapidly imitated because even complex contracts and strategies that use existing securities or they are seen as equivalent to dynamically-adjusted positions in other securities. A strong foundation in the technical tools and statistical methods is invaluable in this process of financial engineering. The objectives in this course are two fold. First to provide the student with the necessary skills to design or reverse-engineer, to value, and to hedge these products. Second, to enable the student to absorb the analytical arguments in the (increasingly) technical publications that deal with innovations in these contracts - now in the in-house research notes of financial institutions and in practitioner-oriented journals - and to apply them.

    FNCE392001  ( Syllabus

  • FNCE892 - Financial Engineering

    This class covers advanced pricing models for equity, fixed income and credit derivatives. It aims at: 1) Introducing the main models used in practical applications to price and hedge derivatives; 2) Understanding their comparative advantages and limitations, as well as how they are calibrated and applied. As part of team assignments, students will be asked to calibrate and implement the models introduced in the class using software of their choice.

    FNCE892001  ( Syllabus

Previous

  • FNCE206 - Financial Derivatives

    The purpose of this course is to provide the student with the necessary skills to value and to employ options, futures, and related financial contracts. In order to provide a useful treatment of these topics in an environment that is changing rather rapidly, it is necessary to stress the fundamentals and to explore the topics at a technical level. The topics that will be covered include the valuation of futures contracts on stock indices, on commodities and Treasury instruments; the valuation of options; empirical evidence; strategies with respect to these assets; dynamic asset allocation strategies, of which portfolio insurance is an example; swaps; and the use (and misuse) of derivatives in the context of corporate applications. One-third of the course will be devoted to futures, a third to options, and a third to their applications. Many of the applications will be sprinkled along with the coverage of futures and options.

  • FNCE392 - Financial Engineering

    Many financial products are introduced each year; some are designed to meet the needs of a particular clientele, and others are really strategies and related implementations. A common feature of the successful products is the careful attention to their design, and more importantly, the technical preparation that entered into its valuation,its hedging, and its benefits to users. Innovations in financial markets are rapidly imitated because even complex contracts and strategies that use existing securities or they are seen as equivalent to dynamically-adjusted positions in other securities. A strong foundation in the technical tools and statistical methods is invaluable in this process of financial engineering. The objectives in this course are two fold. First to provide the student with the necessary skills to design or reverse-engineer, to value, and to hedge these products. Second, to enable the student to absorb the analytical arguments in the (increasingly) technical publications that deal with innovations in these contracts - now in the in-house research notes of financial institutions and in practitioner-oriented journals - and to apply them.

  • FNCE717 - Financial Derivatives

    The purpose of this course is to provide the student with the necessary skills to value and to employ options, futures, and related financial contracts. In order to provide a useful treatment of these topics in an environment that is changing rather rapidly, it is necessary to stress the fundamentals and to explore the topics at a technical level. The topics that will be covered include the valuation of futures contracts on stock indices, on commodities and Treasury instruments; the valuation of options, empirical evidence, strategies with respect to these assets, dynamic asset allocation strategies, or which portfolio insurance is an example, swaps, and the use (and misuse) of derivatives in the context of corporate applications. One-third of the course will be devoted to futures, a third to options, and a third to their applications. Many of the applications will be sprinkled along with the coverage of futures and options.