Joost Driessen

Best Publications

• Is Default Event Risk Priced in Corporate Bonds

  Joost Driessen

  779
  Citations

• The price of correlation risk: evidence from equity options

  Joost Driessen;Pascal J. Maenhout;Grigory Vilkov

  634
  Citations

• Individual stock-option prices and credit spreads

  Martijn Cremers;Joost Driessen;Pascal Maenhout;David Weinbaum

  459
  Citations

• International portfolio diversification benefits: Cross-country evidence from a local perspective

  Joost Driessen;Luc Laeven

  413
  Citations

• A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

  Joost Driessen;Tse-Chun Lin;Ludovic Phalippou

  331
  Citations

• Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

  K.J. Martijn Cremers;Joost Driessen;Pascal Maenhout

  305
  Citations

• Liquidity Risk Premia in Corporate Bond Markets

  Frank De Jong;Joost Driessen

  203
  Citations

• An Empirical Portfolio Perspective on Option Pricing Anomalies

  Joost Driessen;Pascal Maenhout

  171
  Citations

• The performance of multi-factor term structure models for pricing and hedging caps and swaptions

  Joost Driessen;Pieter Klaassen;Bertrand Melenberg

  171
  Citations

• Common Factors in International Bond Returns

  Joost Driessen;Bertrand Melenberg;Theo Nijman

  161
  Citations

• An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

  Dion Bongaerts;Frank de Jong;Joost Driessen

  156
  Citations

• Option-Implied Correlations and the Price of Correlation Risk

  Grigory Vilkov;Joost Driessen;Pascal Maenhout

  155
  Citations

• Is Default Event Risk Priced in Corporate Bonds

  Joost Driessen

  146
  Citations

• Liquidity Risk Premia in Corporate Bond Markets

  J.J.A.G. Driessen;F.C.J.M. de Jong

  120
  Citations

• The Price of Correlation Risk: Evidence from Equity Options

  Joost Driessen;Pascal J. Maenhout;Grigory Vilkov

  111
  Citations

• Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

  Dion Bongaerts;Frank De Jong;Joost Driessen

  102
  Citations

• Individual Stock-Option Prices and Credit Spreads

  Martijn Cremers;Joost Driessen;Pascal J. Maenhout;David Weinbaum

  89
  Citations

• How the 52-week high and low affect option-implied volatilities and stock return moments

  J.J.A.G. Driessen;T.C. Lin;O. van Hemert

  84
  Citations

• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

  Frank De Jong;Joost Driessen;Antoon Pelsser

  73
  Citations

• Cumulative Prospect Theory, Option Returns, and the Variance Premium

  Lieven Baele;Joost Driessen;Sebastian Ebert;Juan M Londono

  51
  Citations