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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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