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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, 2009.
"Group
Affiliation and the Performance of Initial Public Offerings in the Indian
Stock Market," (with V. Marisetty), Journal
of Financial Markets, forthcoming.
"Securitization and Real Investment in Incomplete Markets," (with V.
Gaur and S. Seshadri), Management Science, forthcoming
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