Publications and Preprints

Finance

Publications/Refereed

• "The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets", with Ehud I. Ronn and Akin Sayrak, forthcoming, Financial Review, 44, (3), August 2009
• "Tax Management Strategies with Multiple Risky Assets", with Michael Gallmeyer and Ron Kaniel, Journal of Financial Economics, 80, (2), pgs. 243-291, (2006)
• "Determinants of Credit Spreads in Commercial Mortgages", with Sheridan Titman and Sergey Tsyplakov, Real Estate Economics, 33, (4), (2005)
• "Market Imperfections, Investment Flexibility and Default Spreads", with Sheridan Titman and Sergey Tsyplakov, Journal of Finance, 59 (1), pgs. 165-205, (February 2004).
  "This is an electronic version of an article published in Journal of Finance. Complete citation information for the final version of the paper, as published in the print edition of Journal of Finance, is available on the Blackwell Synergy online delivery service, accessible via the journal's website at http://www.blackwell-synergy.com."

Working papers

• "Asset Selection and Under-Diversification with Financial Constraints and Income: Implications for Household Portfolio Studies'', with Herve Roche and Chunyu Yang (appendix)
• "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses'', with Paul Ehling, Michael Gallmeyer, Sanjay Srivastava and Chunyu Yang.
• "Putting Your Money Where Your Mouth Is: The Effect of Commitment on Mutual Fund Allocations'', with Ron Kaniel and Ti Zhou.

Financial Mathematics/Operations Research

Publications/Refereed

• "Efficient Computation of Hedging Parameters for Discretely Exercisable Options", with Ron Kaniel and Alexander Zemlianov, Operations Research 56 (4), pgs. 811-826, (2008)..
• "Small Transaction Cost Asymptotics and Dynamic Hedging", with Claudio Albanese, forthcoming, European Journal of Operational Research, 185, pgs. 1404-1414, (2008)
• "Interruptible Electricity Contracts from an Electricity Retailer’s Point of View: Valuation and Optimal Interruption", (appendix) with Ross Baldick and Sergey Kolos, Operations Research, 54 (4), pgs. 627-642 (2006)
• "Valuation of Commodity Based Swing Options", with Patrick Jaillet and Ehud I. Ronn, Management Science, 50 (7), pgs. 909-921, (July 2004).
• "Energy Futures Prices: Term Structure Models with Kalman Filter Estimation", with Mihaela Manoliu, Applied Mathematical Finance 9, pgs. 21-43 (2002).
• "Real Options in Leasing: The Effect of Idle Time", with Christopher Kenyon, Operations Research, 49 (5), pgs. 675-689 (September/October 2001).

Publications/Other

• "Book review: Computational Methods for Option Pricing'', Quantitative Finance, vol. 6 (4), 279-280, (2006)
  "Real Options in Leasing Semi-Submersible Rigs in the North Sea'', with Christopher Kenyon, Computational Intelligence in Financial Engineering conference proceedings, pages 218-239 (March 1999).
• "Swing Options: A ruthless business", with Patrick Jaillet and Ehud I. Ronn, Energy & Power Risk Management, pgs. 28-29, (July 1998).
• "Swing Options: The quest for valuation", with Patrick Jaillet and Ehud I. Ronn, Energy & Power Risk Management, pgs. 14-16, (June 1998).

Working papers

• "Pricing American-Style Options by Monte Carlo Simulation: Alternatives to Ordinary Least Squares'', with Chunyu Yang (code available).
• "A Numerical Method for Pricing Electricity Derivatives Based on Continuous Time Lattices'', with Claudio Albanese and Harry Lo.

Dynamical Systems

Publications/Refereed

• "Approximation of Invariant Surfaces by Periodic Orbits in High-dimensional Maps", in Hamiltonian Systems with Three or More Degrees of Freedom (S'Agaro 1995), ed. Carles Simo ed., pgs. 605-609, NATO Adv. Sci. Inst. Ser. C Math. Phys. Sci., 533, Kluwer Acad. Publ., Dordrecht, (1999)
• "Approximation of Invariant Surfaces by Periodic Orbits in High-dimensional Maps. Some Rigorous Results", Experimental Mathematics, vol. 5, pgs. 197-209 (1996)
• "Numerical Study of Invariant Sets of a Quasi-periodic Perturbation of a Symplectic Map", Experimental Mathematics, vol. 5, pgs. 211-230 (1996)
• "On the Singularity Stucture of Invariant Curves of Symplectic Mappings", with Rafael de la Llave, Chaos, vol. 5, pgs. 227-237 (1995)
  Figures: 1a, 1b, 2a, 2b, 2c, 3a, 3b, 3c, 4
• "Comments on a paper by S. Kasperczuk (Integrability of the Yang-Mills Hamiltonian System: Celestial Mechanics and Dynamical Astronomy, 58, 387-391)", with Antonio Elipe and Jarmo Hietarinta, Celestial Mechanics and Dynamical Astronomy, vol. 62, pgs. 191--192 (1995)
• "Nature of Singularities for Analyticity Domains of Invariant Curves", with Raphael de la Llave, Physical Review Letters, vol. 73, pgs. 1459-1463 (1994)
  Figures: 1a, 1b, 2a, 2b, 2c, 3a, 3b, 4a, 4b
• "Computation of Domains of Analyticity for Some Perturbative Expansions from Mechanics", with Rafael de la Llave, Physica D, vol. 71, pgs. 55-81 (1994)
  Figures: 1, 2, 3, 4, 5, 6, 7, 8, 9
• "Strong and Weak Instabilities in 4D Mapping Models of Accelerator Dynamics'', with Tassos Bountis, in Nonlinear Problems in Future Particle Accelerators, ed. by G. Turchetti and W. Scandale, World Scientific (1991)