Dr. Schwartz is the Ryan Beedie Chair in Finance at Simon Fraser University and a Distinguish Research Professor at the University of California, Los Angeles. He has an Engineering degree from the University of Chile and a Masters and Ph.D. in Finance from the University of British Columbia. He has been in the faculty at the University of British Columbia and UCLA, and visiting at the London Business School, the University of California at Berkeley and the Universidad Carlos III in Madrid. His wide-ranging research has focused on different dimensions in asset and securities pricing. Topics in recent years include interest rate models, asset allocation issues, evaluating natural resource investments, pricing Internet companies, the stochastic behavior of commodity prices, valuing patent-protected R&D projects and optimal carbon abatement strategies. His collected works include over one hundred articles in finance and economic journals, two monographs, an edited book, and a large number of monograph chapters, conference proceedings, and special reports. He is the winner of a number of awards for both teaching excellence and for the quality of his published work. He has been associate editor for around twenty journals, including the Journal of Finance, the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis. He is past president of the Western Finance Association and the American Finance Association. He is a Fellow of the American Finance Association and the Financial Management Association International. He is a Research Associate of the National Bureau of Economic Research. He was awarded a Doctor Honoris Causa by the University of Alicante in Spain and by the Copenhagen Business School in Denmark, and a Catedra de Excelencia by the Universidad Carlos III in Madrid. He has also been a consultant to governmental agencies, banks, investment banks and industrial corporations.
interest rate models; asset allocation; natural resource investments; pricing internet companies; commodity price stochastic behavior; valuing patent-protected R&D projects; carbon abatement strategies
articles and reports
Cortazar, G., Millard, C., Ortega, H., & Schwartz, E. (2019). Commodity Price Forecasts, Futures Prices, and Pricing Models. Management Science, 65(9), 4141-4155. http://doi.org/10.1287/mnsc.2018.3035
Kraft, H., Schwartz, E., & Weiss, F. (2018). Growth Options and Firm Valuation. European Financial Management, 24(2), 209-238.
Chowdhry, B., & Schwartz, E. (2016). How should firms hedge market risk? Critical Finance Review, 5(2), 399-415. http://doi.org/10.1561/104.00000023
Kraft, H., & Schwartz, E. (2015). Cash flow multipliers and optimal investment decisions. European Financial Management, 21(3), 399-429. http://doi.org/10.1111/eufm.12047
Cortazar, G., Kovacevic, I., & Schwartz, E. (2015). Expected commodity returns and pricing models. Energy Economics, 49, 60-71. http://doi.org/10.1016/j.eneco.2015.01.015
Mayordomo, S., Pena, J. I., & Schwartz, E. (2015). Towards a common European monetary union risk free rate. European Journal of Finance, 12, 1005-1022. http://doi.org/10.1080/1351847X.2014.912670
Cortazar, G., Schwartz, E., & Tapia, C. (2014). Credit spreads in illiquid markets: Model and implementation. Emerging Markets Finance and Trade, 48(6), 53-72.
Mayordomo, S., Pena, J. I., & Schwartz, E. (2014). Are all credit default swap databases equal? European Financial Management, 20(4), 677-713. http://doi.org/10.1111/j.1468-036X.2013.12023.x
Roll, R., Schwartz, E., & Subrahmanyam, A. (2014). Trading activity in the equity market and its contingent claims: An empirical investigation. Journal of Empirical Finance, 28, 13-35. http://doi.org/10.1016/j.jempfin.2014.05.007
Trolle, A. B., & Schwartz, E. (2014). The swaption cube. Review of Financial Studies, 27(8), 2307-2353. http://doi.org/10.1093/rfs/hhu015
Schwartz, E. (2013). The real options approach to valuation: Challenges and opportunities. Latin American Journal of Economics, 50(2), 163-177.
Roll, R., & Schwartz, E. (2010). O/S: The relative trading activity in options and stock. Journal of Financial Economics, 96(1), 1-17. http://doi.org/10.1016/j.jfineco.2009.11.004
Trolle, A. B., & Schwartz, E. (2010). Variance risk premia in energy commodities. Journal of Derivatives, 17, 15-32.
Roll, R., & Schwartz, E. (2009). Options trading activity and firm valuation. Journal of Financial Economics, 94(3), 345-360. http://doi.org/10.1016/j.jfineco.2009.02.002
Trolle, A. B., & Schwartz, E. (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. Review of Financial Studies, 22(11), 4423-4461. http://doi.org/10.1093/rfs/hhp036
Trolle, A. B., & Schwartz, E. (2009). A general stochastic volatility model for the pricing of interest rate derivatives. Review of Financial Studies, 22(5), 2007-2057. http://doi.org/10.1093/rfs/hhn040
Schwartz, E. (2009). Patents and R&D as real options. Economic Notes, 33(1), 23-54. http://doi.org/10.1111/j.0391-5026.2004.00124.x
Hsu, J. C., & Schwartz, E. (2008). A model of R&D valuation and the design of research incentives. Insurance: Mathematics and Economics, 43(3), 350-367. http://doi.org/10.1016/j.insmatheco.2008.05.003
Cortazar, G., Schwartz, E., & Naranjo, L. F. (2007). Term-structure estimation in markets with infrequent trading. International Journal of Finance and Economics, 12(4), 353-369. http://doi.org/10.1002/ijfe.317
Roll, R., Schwartz, E., & Subrahmanyam, A. (2007). Liquidity and the law of one price: The case of the futures-cash basis. Journal of Finance, 62(5), 2201-2234. http://doi.org/10.1111/j.1540-6261.2007.01273.x
Cauley, S. D., Pavlov, A. D., & Schwartz, E. (2007). Homeownership as a constraint on asset allocation. Journal of Real Estate Finance & Economics, 34(3), 283-311. http://doi.org/10.1007/s11146-007-9019-9
Schwartz, E., & Torous, W. N. (2007). Commercial office space: Testing the implications of real options models with competitive interactions. Real Estate Economics, 35(1), 1-20. http://doi.org/10.1111/j.1540-6229.2007.00180.x
Schwartz, E., & Nielsen, M. J. (2004). Theory of storage and the pricing of commodity claims. Review of Derivatives Research, 7(1), 5-24.
books chapters and monographs
Schwartz, E., & Trolle, A. B. (2010). Pricing expropriation risk in natural resource contracts - A real options approach. In Hogan, W., & Sturzenegger, F. (Eds.), The natural resources trap: Private investment without public commitment. Cambridge, Massachusetts, United States: MIT Press.