Johan Walden

About

Johan Walden is a Professor of Finance at the University of California at Berkeley, Haas School of Business. He holds the Mitsubishi Bank Chair in International Business and Finance. Walden's research focuses on international finance, corporate finance, and empirical asset pricing.

Research topics

• Business
• Economics
• Finance
• Financial system
• Marketing
• Microeconomics
• Monetary economics

Selected publications

• BENCHOP – The BENCHmarking project in option pricing

  International Journal of Computer Mathematics · 2015-08-24 · 65 citations

  articleOpen access

  The aim of the BENCHOP project is to provide the finance community with a common suite of benchmark problems for option pricing. We provide a detailed description of the six benchmark problems together with methods to compute reference solutions. We have implemented fifteen different numerical methods for these problems, and compare their relative performance. All implementations are available on line and can be used for future development and comparisons

  PublisherOA PDFDOI

• Trading, Profits, and Volatility in a Dynamic Information Network Model

  The Review of Economic Studies · 2018-09-22 · 46 citations

  article1st authorCorresponding

  Abstract We introduce a dynamic noisy rational expectations model in which information diffuses through a general network of agents. In equilibrium, agents who are more closely connected have more similar period-by-period trades, and an agent’s profitability is determined by a centrality measure that is related to Katz centrality. Volatility after an information shock is more persistent in less central networks, and volatility and trading volume are also influenced by the network’s asymmetry and…

  PublisherDOI

• Recovery with Unbounded Diffusion Processes

  European Finance Review · 2016-11-03 · 37 citations

  article1st authorCorresponding

  Abstract We analyze the problem of recovering the pricing kernel and real probability distribution from observed option prices, when the state variable is an unbounded diffusion process. We derive necessary and sufficient conditions for recovery. In the general case, these conditions depend on the properties of the diffusion process, but not on the pricing kernel. We also show that the same conditions determine whether recovery works in practice, when the continuous problem is approximated on a…

  PublisherDOI

• Visibility Bias in the Transmission of Consumption Beliefs and Undersaving

  National Bureau of Economic Research · 2019-02-01 · 30 citations

  reportOpen accessSenior author

  We model visibility bias in the social transmission of consumption behavior. When consumption is more salient than non-consumption, people perceive that others are consuming heavily, and infer that future prospects are favorable. This increases aggregate consumption in a positive feedback loop. A distinctive implication is that disclosure policy interventions can ameliorate undersaving. In contrast with wealth-signaling models, information asymmetry about wealth reduces overconsumption. The mode…

  PublisherOA PDFDOI

• Payment System Externalities

  The Journal of Finance · 2022 · 27 citations

  Senior authorCorresponding

  ABSTRACT We examine how the payment processing role of banks affects their lending activity. In our model, banks operate in separate zones, and issue claims to entrepreneurs who purchase some inputs outside their own zone. Settling bank claims across zones incurs a cost. In equilibrium, a liquidity externality arises when zones are sufficiently different in their outsourcing propensities—a bank may restrict its own lending because it needs to hold liquidity against claims issued by another bank.…

  PublisherDOI

Frequent coauthors

• Bing Han

  Sichuan University

  150 shared

• Rustam Ibragimov

  Imperial College London

  26 shared

• Christine A. Parlour

  24 shared

• Dwight M. Jaffee

  20 shared

• David Hirshleifer

  University of Southern California

  18 shared

• Richard Stanton

  University of California, Berkeley

  14 shared

• Christian Heyerdahl-Larsen

  BI Norwegian Business School

  10 shared

• Marat Ibragimov

  New Economic School

  8 shared

Education

• Ph.D., Finance

  University of California at Berkeley

  1990

• M.S., Finance

  University of California at Berkeley

  1986

• B.A., Economics

  University of California at Berkeley

  1983

Awards & honors

• Mitsubishi Bank Chair in International Business and Finance

Similar researchers at University of California, Berkeley

• Ulrike Malmendierh-77
• Martin Lettauh-71
• Adair Morseh-56