Cara M. Marshall, Ph.D.

 

Tenured Lecturer, Queens College of the City University of New York
Cara.Marshall@qc.cuny.edu

Ph.D.,  Financial Economics, Fordham University, September 2008. 
MBA, Quantitative Analysis, St. John's University, 2002
BS, Marketing and Computer Information Science, Oswego State University, 1999

Curriculum Vitae: pdf
Blog: http://isofreelunch.blogspot.com/
Dissertation: Volatility Trading: Hedge Funds and the Search for Alpha (New Challenges to the Efficient Markets Hypothesis)

Research Interests: Financial Engineering, Risk Management, Derivatives, Behavioral Finance, Experimental Methods in Finance


Teaching


Fall 2015:
RM704, Risk Measurement (for Risk Management graduate program)
RM711, Applied Financial Analysis (Financial Modeling with VBA).
BUS241, Corporate Finance (online course)

Spring 2015:
RM709, Portfolio Management (for Risk Management graduate program)

BUS241, Corporate Finance (online course)


View Results of my Teaching Evaluations

I am featured in a recent letter to Alumni


Published Work

Books:

Editor (with Tanya Beder) of Financial Engineering: The Evolution of a Profession.  Published by Wiley-Blackwell, 2011.

Journal Articles:

Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation,” Applied Economics, Fall 2014.

“Volatility-Based Pairs Trading: Empirical evidence from U.S. options markets” Journal of Financial and Economic Practice, Fall 2013.

“Dispersion trading: Empirical evidence from U.S. options markets,” Global Finance Journal 2009, 20(3), 289-301.

"Replication of Vinod & Morey’s (2002) JOI Article and Porting to Excel" Indian Journal of Economics & Business Volume 4 no: 2 (December 2005).  The original work was titled, "Estimation Risk in Morningstar Fund Ratings," H.D. Vinod and Mathew R. Morey, Journal of Investing Vol. 11 (4), 2002, 67-75.

Chapters in Books:

“Commodity Market”, a contribution (with Helen Lu) to Financial Engineering: The Evolution of a ProfessionPublished by Wiley-Blackwell, 2011.  Editors: Cara M. Marshall and Tanya Beder.

“Financial Engineering and Macroeconomic Innovation”, a contribution (with John O’Connell) to Financial Engineering: The Evolution of a ProfessionPublished by Wiley-Blackwell, 2011.  Editors: Cara M. Marshall and Tanya Beder.

“Monte Carlo Simulation in the Pricing of Derivatives”, a contribution to Financial Derivatives: Pricing and Risk Management.  Published by Wiley-Blackwell, 2009.  Editors: Robert W. Kolb and James A. Overdahl.

“The Use of Derivatives in Financial Engineering: Hedge Fund Applications”, a contribution (with John F. Marshall) to Financial Derivatives: Pricing and Risk Management.  Published by Wiley-Blackwell, 2009.  Editors: Robert W. Kolb and James A. Overdahl


Working Papers

“Portfolio Theory and Investment Management: A Practitioner’s Guide” working paper.

“Volatility Trading: Hedge Funds and the Search for Alpha” presented at 34th Annual Conference of the Eastern Economic Association, Boston (March, 2008).
 


Note: Publications are available for download via RePEc.  My RePEc page is here: http://authors.repec.org/pro/pma974/.

 

Copyright: Cara M. Marshall, Ph.D.