Andrea Gamba

University of Warwick - Finance Group

Professor

Scarman Road

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 2,115

SSRN RANKINGS

Top 2,115

in Total Papers Downloads

18,392

SSRN CITATIONS
Rank 5,212

SSRN RANKINGS

Top 5,212

in Total Papers Citations

67

CROSSREF CITATIONS

184

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 5,421 (1,664)
Citation 20

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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
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 2,108 (8,337)
Citation 22

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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 1,138 (21,921)

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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
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 1,057 (24,389)
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
Andrea Gamba and Alberto Micalizzi
University of Warwick - Finance Group and SDA Bocconi
Downloads 1,039 (25,013)
Citation 2

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

6.
Downloads 776 ( 37,695)
Citation 11

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 517 (63,458)
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 259 (139,983)
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
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 598 (53,446)
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 572 (56,500)
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
Andrea Gamba and Alexander J. Triantis
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 476 (71,124)
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 244 (148,562)
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 98 (317,963)
Citation 1

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Capital requirements, liquidity requirements, taxation of liabilities

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

Bundesbank Discussion Paper No. 10/2012
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 69 (393,727)

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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 (446,227)
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 446 (76,930)
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 429 (80,568)

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

13.

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 (83,983)

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dynamic capital structure, investment, credit risk, underinvestment

14.

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 University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 410 (84,947)

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dynamic capital structure, investment, credit risk, agency costs

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 379 (93,116)
Citation 9

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Bank Regulation, Dynamic Banking Model

16.
Downloads 349 (102,192)
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 (102,079)
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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 (776,395)
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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
Enzo Fanone, Andrea Gamba and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 339 (105,598)
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 University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 319 (112,917)
Citation 4

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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 University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 278 (130,625)

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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 246 (147,919)

Abstract:

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Corporate Risk Management, Inventory, Hedging, Cash Holdings

21.

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 (157,773)

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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 University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 219 (165,413)

Abstract:

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growth options, capital structure, credit risk

23.

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 192 (186,831)

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Bank Regulation, Capital Requirements, General Equilibrium, Aggregate Risk

24.

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 158 (221,175)
Citation 1

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

25.

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

IMF Working Paper No. 12/72
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 143 (240,016)

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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 90 (333,458)

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 58 (424,872)
Citation 1

Abstract:

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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 43 (483,176)

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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 University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics

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option pricing, leverage, growth options