Andrea Gamba

University of Warwick - Finance Group

Professor

Scarman Road

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 2,338

SSRN RANKINGS

Top 2,338

in Total Papers Downloads

18,880

SSRN CITATIONS
Rank 5,100

SSRN RANKINGS

Top 5,100

in Total Papers Citations

79

CROSSREF CITATIONS

186

Scholarly Papers (29)

1.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71 Posted: 06 Mar 2002
Andrea Gamba
University of Warwick - Finance Group
Downloads 5,507 (1,787)
Citation 21

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2.

The Value of Financial Flexibility

Journal of Finance, Forthcoming, AFA 2006 Boston Meetings Paper, WBS Finance Group Research Paper No. 42
Number of pages: 57 Posted: 06 Mar 2005
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 2,149 (8,918)
Citation 23

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Financial flexibility, dynamic capital structure, real options, corporate liquidity

3.

Some Important Issues Involving Real Options

Multinational Finance Journal, Forthcoming, WBS Finance Group Research Paper No. 37
Number of pages: 45 Posted: 02 Feb 2005
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 1,143 (23,909)

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Real Options, Capital Budgeting, Numerical Methods

4.

Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

Management Science, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-106, WBS Finance Group Research Paper No. 129
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 23 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 1,064 (26,512)
Citation 5

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Risk Management, Hedging, Liquidity, Flexibility

5.

Product Development and Market Expansion: A Real Options Model

Financial Management, Forthcoming, WBS Finance Group Research Paper No. 27
Number of pages: 51 Posted: 26 Mar 2003
University of Warwick - Finance Group and SDA BocconiBocconi University - Department of Finance
Downloads 1,042 (27,314)
Citation 2

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Real options, Option interactions, Sequential development projects, Binomial lattices

6.
Downloads 788 ( 40,388)
Citation 12

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), Forthcoming, Georgia Tech Scheller College of Business Research Paper No. 2015-09
Number of pages: 72 Posted: 17 Dec 2014 Last Revised: 13 Nov 2017
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 522 (68,244)
Citation 2

Abstract:

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Credit default swaps, CDS, Empty creditor, Restructuring, Bankruptcy

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), 2017, WBS Finance Group Research Paper No. 231
Number of pages: 72 Posted: 20 Feb 2015 Last Revised: 26 Dec 2019
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 266 (146,940)
Citation 9

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Credit default swaps, CDS, Empty creditor, Restructuring, Bankruptcy

7.

How Effectively Can Debt Covenants Alleviate Financial Agency Problems?

WBS Finance Group Research Paper No. 186
Number of pages: 58 Posted: 07 Jul 2012 Last Revised: 26 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 648 (52,463)
Citation 7

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Dynamic corporate finance, Debt covenants

8.

An Improved Binomial Lattice Method for Multi-Dimensional Options

Applied Mathematical Finance, Forthcoming, WBS Finance Group Research Paper No. 49
Number of pages: 30 Posted: 12 Sep 2005
Andrea Gamba and Lenos Trigeorgis
University of Warwick - Finance Group and University of Cyprus - Department of Public and Business Administration
Downloads 576 (60,905)
Citation 1

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Option pricing, binomial lattice, multi-dimensional diffusion

9.

Valuing Corporate Financing Strategies

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 94
Number of pages: 45 Posted: 17 Mar 2008 Last Revised: 23 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 482 (76,067)
Citation 4

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Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

WBS Finance Group Research Paper No. 151
Number of pages: 51 Posted: 18 Feb 2011 Last Revised: 23 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 245 (159,608)
Citation 3

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Capital requirements, liquidity requirements, Taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

European Banking Center Discussion Paper No. 2011-025, CentER Working Paper Series No. 2011-090, WBS Finance Group Research Paper No. 168
Number of pages: 51 Posted: 02 Sep 2011 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 99 (338,958)
Citation 2

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Capital requirements, liquidity requirements, taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Number of pages: 68 Posted: 21 Jun 2016
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 73 (408,899)

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Bank Regulation, Taxation, Dynamic Banking Model

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

WBS Finance Group Research Paper No. 173
Number of pages: 51 Posted: 11 Mar 2012 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 54 (477,679)
Citation 1

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Bank Regulation, Taxation, Dynamic Banking Model

11.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20, WBS Finance Group Research Paper No. 86
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 451 (82,376)
Citation 1

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Real options, Modularity, Least Squares Monte Carlo

12.

Structural Estimation of Real Options Models

Journal of Economic Dynamics and Control, Forthcoming, WBS Finance Group Research Paper No. 65
Number of pages: 42 Posted: 08 Jun 2006 Last Revised: 23 Dec 2019
Andrea Gamba and Matteo Tesser
University of Warwick - Finance Group and Polytechnic University of Catalonia (UPC)
Downloads 431 (86,891)

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Real options, Markov Decision Processes, Discrete Decision Processes, Monte Carlo methods

13.

Dynamic Capacity Choice, Dynamic Capital Structure, and Credit Risk

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 102
Number of pages: 69 Posted: 08 Jul 2008 Last Revised: 23 Dec 2019
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 414 (91,038)

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dynamic capital structure, investment, credit risk, agency costs

14.

Investment and Credit Risk: A Structural Approach

WBS Finance Group Research Paper No. 71
Number of pages: 44 Posted: 20 Nov 2006
Andrea Gamba, Mamen Aranda and Daniele Poiega
University of Warwick - Finance Group, University of Navarra - Business and PricewaterhouseCoopers LLP
Downloads 414 (91,038)

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dynamic capital structure, investment, credit risk, underinvestment

15.

Microprudential Regulation in a Dynamic Model of Banking

Review of Financial Studies, Forthcoming, AEA 2014 Philadelphia Meeeting Paper, WBS Finance Group Research Paper No. 204
Number of pages: 57 Posted: 13 May 2013 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 404 (94,192)
Citation 14

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Bank Regulation, Dynamic Banking Model

16.
Downloads 349 (110,555)
Citation 4

Investment Under Uncertainty, Debt and Taxes

Economic Notes, Forthcoming, WBS Finance Group Research Paper No. 41
Number of pages: 29 Posted: 06 Mar 2005 Last Revised: 23 Dec 2019
Andrea Gamba, Gordon Sick and Mamen Aranda
University of Warwick - Finance Group, University of Calgary - Haskayne School of Business and University of Navarra - Business
Downloads 347 (110,534)
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Investment under uncertainty, real options, capital structure, corporate and personal taxation, cost of capital, tax-adjusted discount rates

Investment Under Uncertainty, Debt and Taxes

Economic Notes, Vol. 37, Issue 1, pp. 31-58, February 2008
Number of pages: 28 Posted: 24 Apr 2008
Andrea Gamba, Gordon Sick and Mamen Aranda
University of Warwick - Finance Group, University of Calgary - Haskayne School of Business and University of Navarra - Business
Downloads 2 (825,882)
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17.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013, WBS Finance Group Research Paper No. 158
Number of pages: 46 Posted: 13 May 2011 Last Revised: 26 Dec 2019
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 348 (110,902)
Citation 5

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Electricity, Lèvy processes, Price spikes, Negative prices

18.

The Agency Component of Credit Spread

WBS Finance Group Research Paper No. 213
Number of pages: 63 Posted: 01 Jan 2014 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 340 (113,871)
Citation 3

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corporate credit risk, credit spread, structural models, debt-equity agency conflicts

19.

Firm Policies and the Cross-Section of CDS Spreads

WBS Finance Group Research Paper No. 191
Number of pages: 62 Posted: 31 Jul 2012 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 293 (133,569)

Abstract:

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CDS, leverage, credit risk, default

20.

Inventory and Corporate Risk Management

WBS Finance Group Research Paper No. 233, Review of Corporate Finance Studies, forthcoming
Number of pages: 75 Posted: 18 Sep 2015 Last Revised: 26 Dec 2019
Marco Bianco and Andrea Gamba
University of Bologna - Department of Management and University of Warwick - Finance Group
Downloads 254 (154,571)

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Corporate Risk Management, Inventory, Hedging, Cash Holdings

21.

Dark Knights: The Rise in Firm Intervention by CDS Investors

WBS Finance Group Research Paper No. 265, Georgia Tech Scheller College of Business Research Paper No. 3479635
Number of pages: 67 Posted: 04 Nov 2019 Last Revised: 07 May 2020
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 239 (164,056)
Citation 1

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credit default swaps, CDS, empty creditor, bankruptcy, hedge fund activism

22.

Growth Options and Credit Risk

Management Science (Forthcoming), WBS Finance Group Research Paper No. 236
Number of pages: 54 Posted: 11 Jul 2016 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 238 (164,740)

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growth options, capital structure, credit risk

23.

The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note

Finance Research Letters, pp. 213-220, December 2008, WBS Finance Group Research Paper No. 85
Number of pages: 17 Posted: 04 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Riccardo Rigon
University of Warwick - Finance Group and affiliation not provided to SSRN
Downloads 230 (170,229)

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24.

Dynamic Bank Capital Regulation in Equilibrium

WBS Finance Group Research Paper No. 240
Number of pages: 63 Posted: 18 Oct 2017 Last Revised: 26 Dec 2019
New York University (NYU) - Department of Economics, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 197 (196,714)

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Bank Regulation, Capital Requirements, General Equilibrium, Aggregate Risk

25.

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Number of pages: 55 Posted: 25 Mar 2012
affiliation not provided to SSRN, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 144 (256,792)

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Bank Regulation, Taxation, Dynamic Banking Model, Capital, Credit Risk, Economic Models, Liquidity

26.

Some Important Issues Involving Real Options: An Overview

Multinational Finance Journal, Vol. 14, No. 1/2, p. 73-123, 2010
Number of pages: 51 Posted: 26 Jun 2015
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 120 (294,947)

Abstract:

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Real Options; Capital Budgeting; Numerical Methods

27.

Debt Covenants and the Value of Commitment

WBS Finance Group Research Paper Forthcoming
Number of pages: 60 Posted: 16 Oct 2020
Andrea Gamba and Lei Mao
University of Warwick - Finance Group and The Chinese University of Hong Kong, Shenzhen
Downloads 92 (352,595)
Citation 3

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Dynamic contracting, debt covenants, capital structure

28.

The Role of Model Uncertainty in Corporate Risk Management

WBS Finance Group Research Paper
Number of pages: 44 Posted: 29 Jun 2020
Andrea Gamba and Zhun Liu
University of Warwick - Finance Group and University of Central Florida
Downloads 52 (478,055)

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Corporate Risk Management, Hedge, Cash Holding, Liquidity Risk, Learning

29.

Endogenous Option Pricing

Posted: 16 Mar 2021
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas

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option pricing, leverage, growth options