Associate Professor of Finance
Office: 341 Business Building
Member of Faculty Since: 2008
Joel Vanden is an Associate Professor of Finance in the Smeal College of Business at The Pennsylvania State University. Professor Vanden received his Ph.D. from the University of California at Berkeley, his MBA from the University of California at Los Angeles, and a B.S. in Engineering from the University of Illinois, Urbana-Champaign. Before joining the Smeal College of Business in 2008, Professor Vanden was a finance professor for nine years at the Tuck School of Business at Dartmouth College. Prior to getting his Ph.D. and joining the Tuck School, Professor Vanden spent several years working in the private sector for Bank of Boston Corporation, SunAmerica Life Insurance Company, Financial Engineering Associates, Chalke Incorporated (asset liability management), and Westinghouse Electric Corporation.
Professor Vanden's research is focused primarily on the area of asset pricing. Professor Vanden has examined the role that non-redundant options play in explaining equity returns; how option coskewness impacts stock prices; the use of structured debt for solving the asset substitution problem; how information quality affects option values; the role of price manipulation for explaining derivative prices; and how portfolio insurance contributes to volatility regime switching. His research on option coskewness was awarded a research grant from the Institute for Quantitative Research in Finance (The Q Group). Currently, Professor Vanden is interested in how diversification impacts optimal corporate capital structures and how covariances and characteristics impact stock returns.
Asset pricing, derivatives, debt markets, mutual funds
Grishchenko, O., J. Vanden, and J. Zhang, "The Informational Content of the Embedded Deflation Option in TIPS", Journal of Banking and Finance, 2016, forthcoming.
Vanden, J., "Noisy Information and the Size Effect in Stock Returns", Annals of Finance, 2015, 11(1), 77-107.
Vanden, J., "General Properties of Isoelastic Utility Economies", Mathematical Finance, 2015, 25(1), 187-219.
Vanden, J., "Asset Substitution and Structured Financing", Journal of Financial and Quantitative Analysis, 2009, 44(4), 911-951.
Garcia, D. and J. Vanden, "Information Acquisition and Mutual Funds", Journal of Economic Theory, 2009, 144(5), 1965-1995.
Vanden, J., "Information Quality and Options", Review of Financial Studies, 2008, 21(6), 2635-2676.
Vanden, J., "Option Coskewness and Capital Asset Pricing", Review of Financial Studies, 2006, 19(4), 1279-1320.
Vanden, J., "Portfolio Insurance and Volatility Regime Switching", Mathematical Finance, 2006, 16(2), 387-417.
Vanden, J., "Exact Superreplication Strategies for a Class of Derivative Assets", Applied Mathematical Finance, 2006, 13(1), 61-87.
Vanden, J., "Digital Contracts and Price Manipulation", Journal of Business, 2005, 78(5), 1891-1915.
Vanden, J., "Equilibrium Analysis of Volatility Clustering", Journal of Empirical Finance, 2005, 12(3), 374-417.
Vanden, J., "Options Trading and the CAPM", Review of Financial Studies, 2004, 17(1), 207-238.
Associate Editor, The Financial Review
Ph.D., Finance, University of California at Berkeley, 1999
MBA, Finance, University of California at Los Angeles, 1990
B.S., Engineering, University of Illinois, 1986
FIN 410, Derivative Markets (Spring 2016)