Selected Published and Working Papers

working papers

discussions and slides

  1. "Pay Now or Later: Liquidity and Security Design" (with Antonio Mello, University of Wisconsin at Madison). [pdf]
  2. "Hedging and Cash Management" (with Antonio Mello, University of Wisconsin at Madison and John Parsons,  MIT). [pdf]
  3. "Should Production and Trading Activities Be Separated?" (with Antonio Mello, University of Wisconsin at Madison). [pdf] 
  4. "News Spillovers from the Greek Debt Crisis: Impact on the Financial Sector" (with Burns, Hunter and Williams). Journal of Banking and Finance, forthcoming [pdf]
  5. "Types of liquidity and Limits to Arbitrage-The Case of Credit Default Swaps" Journal of Futures Markets,  forthcoming (with Liang Guo) [pdf]
  6. "Takeover Risk and the Correlation between Stocks and Bonds", Journal of Empirical Finance, Volume 17, 2010, 381-393 (with S. Mansi and J. Wald). [pdf]
  7. "Negative Credit Spreads: Liquidity and Limits to Arbitrage", Journal of Fixed Income, forthcoming (with Laing Guo) [pdf]
  8. "Should Corporate Debt include a Rating Trigger?", Journal of Financial Economics, Vol 79 No.1, January 2006, pp 69-98. (with Antonio Mello, University of Wisconsin at Madison).  [pdf ]   Errata
  9. "Anatomy Of A Stock Market Intervention in Index Stocks - Signal Or Price Pressure?", Journal of Business, Volume 79 No. 2, March 2006. (with Palani-Rajan Kadapakkam, UTSA) [pdf]
  10.  "What Causes Mean Reversion in Credit Spreads?- The Impact of Survival", Journal of Banking and Finance, Volume 29 No. 6, June 2005, pp 1385-1404. [pdf]
  11. "Asset Allocation During Retirement - The Case of Portfolio Insurance", Risk Letters,  2005, 1 (4), 1-6  (with Don Lien).[pdf]
  12. “On the Pricing of Corporate Bonds-The Case of Rating Based Covenants”, Journal of Fixed Income, 2003. [pdf]
  13. “Risk and Return in the Treasury Inflation Protected Securities Market ”, Financial Services Review, 2002. (with Wynn Betty) [pdf]
  14. “Value of an Option to Purchase Electric Power- The Case of Uncertain Consumption”, Energy Economics, Volume 24, 2002, pp 121-137. [pdf]
  15. “Dynamics of Corporate Spreads – A Non Parametric Analysis”, Journal of Fixed Income, Volume 11, No. 2, September 2001, pp 28-35. [pdf]
  16. “Stability of Transition Densities: Evidence from Competing Interest Rate Models”, Journal of Fixed Income, Vol. 9, No. 4, March 2000, pp 27-34. [pdf]
  17. “Behavior of Power Prices-Implications for the Valuation and Hedging of Financial Contracts”, Journal of Risk, Spring 2000, pp 43-62. [pdf]
  18. “Stochastic Volatility Functions implicit in Eurodollar Futures Options”, Journal of Futures Markets, Volume 18, No. 6, September 1998, pp 605-628. [pdf]
  19. “Recovery and Implied Default in Brady Bonds”, Journal of Fixed Income, Volume 8, No. 1, June, 1998, pp 47-51. [pdf]
  20. “Implied Parameters, Prediction Errors and Model Choice”, in Risk Management, Analytical Models and Computational Finance, University of Chicago Proceedings, edited by Stanley Pliska et. al., May 1998, pp 571-592. [pdf]

Dsicussion and Slides

Back to Main Page                                                                                                                                                                                       

Hit Counter