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Download Area
From here you can download course materials and my recent
papers. All the papers are in .pdf format, for
which you need the Acrobat Reader, available free from the Adobe website.
Recent Published Papers:
 "Correlation
Risk, Cross-Market Derivative Products, and Portfolio Performance,"
(with T.S. Ho and R.C. Stapleton), European Financial Management, July
1995 
"Multivariate
Binomial Approximations for Asset Prices with Non-Stationary Variance and
Covariance Characteristics," (with T.S. Ho and R.C. Stapleton), Review
of Financial Studies, Winter 1995
"Pricing and
Hedging American Options: A Recursive Integration Method and its
Implementation,"(with J. Huang and G.G. Yu), Review of Financial
Studies, Spring 1996
"The Term
Structure of Interest Rates: Alternative Approaches and their Implications
for the Valuation of Contingent Claims," Geneva Papers on Risk and
Insurance: Theory, Spring 1996
"Interest Rate
and Foreign Exchange Risk: An Overview of Hedging Instruments and
Strategies," (with R.C. Stapleton), in F.D.S. Choi, (ed.), Handbook
of International Finance and Accounting, Wiley, New York, 1996
"The Valuation of
American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique," (with T.S. Ho and R.C.
Stapleton), Journal of Finance, June 1997
"The Pricing of
Marked-to-Market Contingent Claims in a No-Arbitrage Economy," (with
S.E. Satchell and R.C. Stapleton), Australian
Journal of Management, June 1997
"The Valuation of
American Options on Bonds," (with T.S. Ho and R.C. Stapleton), Journal
of Banking and Finance, December 1997
"The Risk of a
Currency Swap: A Multivariate-Binomial Methodology," (with T.S.Ho and R.C. Stapleton), European Financial
Management, March 1998
"Who Buys and Who
Sells Options: The Role of Options in an Economy with Background Risk,"
(with G. Franke and R.C. Stapleton),
Journal of Economic Theory, September 1998
"Coupon Effects
and the Pricing of Japanese Government Bonds: An Empirical
Analysis,"(with Y.H.Eom and J. Uno), Journal
of Fixed Income, September 1998
"When are Options
Overpriced: The Black-Scholes Model and Alternative Characterizations of the
Pricing Kernel," with G. Franke and R.C.
Stapleton), European Finance Review, (renamed Review of Finance), Spring 1999
"An Empirical
Examination of the Convexity Bias in the Pricing of Interest Rate
Swaps," (with Anurag Gupta), Journal of
Financial Economics, February 2000
"The Valuation of
American Barrier Options Using the Decomposition Technique,"(with B.Gao and J.Huang), Journal
of Economic Dynamics and Control, October 2000.
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"The
International Linkage of Interest Rate Swap Spreads: The Yen-DollarMarkets,"(withY.H. Eom and J. Uno) Economic
Theory, Dynamics and Markets:Essays in Honor of Ryuzo Sato, K. Mino, T.Negishi
and R.Ramachandran,(eds.),KluwerAcademic
Press, 2001.
"Asset Prices and
the Level of Background Risk," (with G. Franke
and R.C. Stapleton) in Beitraege zur Mikro- und zur Makro-Oekonomik:
Festschrift fuer Hans Juergen
Ramser, S.K. Berninghaus,
2001.
"The Transmission
of Swap Spreads and Volatilities in the International Swap Markets,” (with
Y.H. Eom and J. Uno), Journal of Fixed Income,
June 2002.
"Stale Prices and
Strategies for Trading Mutual Funds," (with J. Boudoukh,
M.P. Richardson and R.F. Whitelaw), Financial Analysts Journal,
July-August 2002.
"Asset Prices
"A Multi-Factor Spot-Rate Model for the Pricing of Interest-Rate
Derivatives," (previously "The Valuation of Bermudan-Style Swaptions in a Multi-Factor Spot-Rate Model") (with
S. Peterson and R.C. Stapleton), Journal of Financial and Quantitative
Analysis, December 2003.
"Background Risk
and the Demand for State-Contingent Claims," (previously "Standard
Risk Aversion and the Demand for Risky Assets in the Presence of Background
Risk") (with G. Franke and R. C. Stapleton), Economic
Theory, December 2003.
"Pricing and
Hedging Interest Rate Options: Evidence from Cap-Floor Markets," (with
A. Gupta), Journal of Banking and
Finance, March 2005.
"When Does
Strategic Debt Service Matter?," with V. Acharya, J. Huang and R. Sundaram),
Economic Theory, October 2006.
"
Latent Liquidity: A New
Measure of Liquidity, with an Application to Corporate Bonds," (with S. Mahanti, A. Nashikkar, G. Chacko,and G. Mallik), Journal of
Financial Economics, 2008.
"The Economic
Determinants of Interest Rate Option Smiles," (with P. Deuskar and A. Gupta), Journal of Banking and Finance, May 2008.
"A Tale of Two
Prices: Liquidity and Asset Prices in Multiple Markets," (with J. Chan
and D. Hong), Journal of Banking and
Finance, June 2008.
"On the
Volatility and Comovement of U.S. Financial Markets Around
Macroeconomic News Announcements," (with M. Brenner and P. Pasquariello), Journal
of Financial and Quantitative Analysis, December 2009.
"Group
Affiliation and the Performance of Initial Public Offerings in the Indian
Stock Market," (with V. Marisetty), Journal of Financial Markets, February
2010.
"Securitization and Real Investment in
Incomplete Markets," (with V. Gaur and S. Seshadri), Management Science, forthcoming
"Liquidity
Effects in OTC Options Markets: Premium or Discount?,"
(with P. Deuskar and A. Gupta), Journal of Financial Markets, February
2011.
"The Structure and Formation of
Business Groups: Evidence from Korean Chaebols," (with H.
Almeida, S.Y. Park and D. Wolfenzon), Journal
of Financial Economics, February 2011.
"Price Dispersion
in OTC Markets: A New Measure of Liquidity," (with R. Jankowitsch and A. Nashikkar), Journal of Banking and Finance,
February 2011.
“Liquidity and Arbitrage in the Market for Credit
Risk (with S. Mahanti and A. Nashikkar), Journal
of Financial and Quantitative Analysis, June 2011.
"Illiquidity or Credit Deterioration:
A Study of Liquidity in the US Corporate Bond Market during Financial Crises," (with Nils Friewald and Rainer Jankowitsch), Journal of Financial Economics, forthcoming.
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