|
|
|
Publications Published Books: Capital Market Equilibrium and Corporation Finance, (with R.C. Stapleton), JAI Press, 1980 Recent Advances in Corporate Finance, (ed. with Financial Options: From Theory to Practice, (ed. with S. Figlewski
and Financial Risk and Derivatives, (ed. with H. Louberge), Kluwer Academic Press, 1996 Published Papers: "The Optimality of a
Competitive Stock Market," (with R.C.Merton), The "On the Optimality of International Capital Market Integration," Journal of Financial Economics, June 1975 "International Capital
Market Equilibrium and Investor Welfare with Unequal Interest Rates," in
E.J. Elton and M.J. Gruber(eds.), International
Capital Markets, "Intra-Equilibrium and Inter-Equilibrium Analysis in Capital Market Theory: A Clarification," (with M. Brenner), Journal of Finance, September 1977 "Market Imperfections, Capital Market Equilibrium and Corporation Finance," (with R.C. Stapleton), Journal of Finance, May 1977 "Capital Market Equilibrium in a Mixed Economy, Optimal Public Sector Investment Decision Rules, and the Social Rate of Discount," (with R.C. Stapleton), Quarterly Journal of Economics, August 1978 "A Multiperiod Equilibrium Asset Pricing Model," (with R.C. Stapleton), Econometrica, September 1978 "Market Imperfections, Inflation and Capital Market Equilibrium," (with R.C. Stapleton), in M. Sarnat (ed.),Inflation and Capital Markets, Ballinger, 1978 "Utility Theory and Participation in Unfair Lotteries," (with N.R. Patel), Journal of Economic Theory, December 1978 "Multiperiod Equilibrium: Some Implications for Capital Budgeting," (with R.C. Stapleton), in E.J. Elton and M.J. Gruber, (eds.) Portfolio Theory: Twenty Five Years After, Management Science, 1979 "Marketability and the Price of Risk," (with R.C. Stapleton), Journal of Financial and Quantitative Analysis, March 1979 "Systematic Risk and
the Theory of the Firm," (with "Uncertain Inflation, Exchange Rates and Bond Yields," (with R.C. Stapleton), Journal of Banking and Finance, March 1981 Reprinted in M. Sarnat and G. Szego (eds.), Inflation and Capital Markets, Ballinger, 1981 "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," (with N.R. Patel), Management Science, March 1982 "The Market Model, Mean-Variance Analysis and Capital Asset Pricing Theory: A Note," (with R.C. Stapleton), Journal of Finance, December 1983 "Comments on 'A Simple Approach to the Pricing of Risky Assets with Uncertain Exchange Rates'," Internationalization of Financial Markets and National Economic Policy, R. Hawkins, R. Levich and C. Wihlborg (eds.), JAI Press, 1983 "The Ex-Dividend Day Behavior of Call Option Prices," (with A. Kalay), Journal of Business, January1984 "Notes on Multiperiod Valuation and the Pricing of Options: A Comment," (with R.C. Stapleton), Journal of Finance, March 1984 "The Valuation of Multivariate Contingent Claims in Discrete Time Models," (with R.C. Stapleton), Journal of Finance, March 1984 "The Public Investment
Decision Under Uncertainty: A Mean-Variance Synthesis," (with M. Swirski), in P.Pestieau (ed.). The Concept and the Measurement of
Performance of Public Enterprises, "The Valuation of Options when Asset Returns are Generated by a Binomial Process," (with R.C. Stapleton), Journal of Finance, December 1984 "Notes on the APT and its Empirical Implications," Australian Journal of Management, 1985 "Finance Research - The
Next10 Years," (with R.C. Stapleton), in A.H.G. Rinnooy
"Options on the Spot and Options on Futures," (with M. Brenner and G. Courtadon), Journal of Finance, December 1985 "Leasing and Financial
Intermediation: Comparative Tax Advantages," (with "Default Risk,
Resolution of Uncertainty and the Interest Rate on Corporate Loans,"
(with P. Nabar and R.C. Stapleton) in M. Sarnat and G. Szego (eds.), Studies in Banking and Finance: Essays in
Memory of Irwin Friend, "A Simple Formula to Estimate the Implied Standard Deviation," (with M. Brenner), Financial Analysts Journal, May-June 1988 "The Behavior of Prices in the Nikkei Spot and Futures Market" (with M. Brenner and J. Uno), Journal of Financial Economics, August l989 "Stock Index - Futures Arbitrage in the Japanese Markets," (with M. Brenner and J. Uno), Japan and the World Economy, June l989 "Options on Stock Indices and Options on Futures," Journal of Banking and Finance, September l989 "The Stock Index
Options Market in "The Japanese Stock Index Futures Market: The Early Experience," E. Elton and M. Gruber (eds.), Japanese Capital Markets, Harper and Row, 1990 "The Options Features
of Corporate Securities," (with S. Park) in "Interest Rate Caps and
Floors,"(with R.C. Stapleton) in "The Early Exercise Feature of American Options," in S. Figlewski, W. Silber and M. Subrahmanyam (eds.), Financial Options: From Theory to Practice, Business One-Irwin, l990 "Arbitrage Opportunities in the Japanese Stock and Futures Markets,"(with M. Brenner and J. Uno), Financial Analysts Journal, July - August l990 "The Design of Stock
Index Options," in "Risk Aversion and the Intertemporal Behavior of Asset Prices," (with R.C. Stapleton), Review of Financial Studies, December l990 "The Effects of
Derivative Securities on the Markets for the Underlying Assets in the "The Analysis and Valuation of Interest Rate Options," (with R.C. Stapleton), Journal of Banking and Finance, December 1993 "Risk, Incentives and
Managerial Behavior," in M.Henssler, T.M.Kolbeck, H-W. Moritz and H.
Rehm(eds.),Euroaeische Integration under globaler Wettbeweberb, Verlag Recht
und Wirtschaft,1993 "The Volatility of the Japanese Stock Indices: Evidence from the Cash and Futures Markets," (with M. Brenner and J. Uno), in R. Levich and R. Sato (eds.), International Financial Markets, Cambridge University Press, 1994 "A Simple Approach to Valuation and Hedging in the Black-Scholes Model," (with M. Brenner), Financial Analysts Journal, March-April 1994 "A Simple Technique for the Valuation and Hedging of American Options," (with T.S. Ho and R.C. Stapleton), Journal of Derivatives, Fall 1994
Review of Finance Theory and
Asset Pricing by Frank Milne,
"A Simple Formula to
Compute the Insurance Premium in the Black-Scholes
Model," Bank of
Working Papers "The Valuation of Stock Index Options," (with M. Brenner and G. Courtadon)
V.
Gaur and S. Seshadri)
Research in Progress "Credit Risk of Derivatives and Credit Derivatives" "Valuation of Corporate Debt" "Operational
Flexibility, Real and Financial Options" "Arbitrage-Free Pricing
in Incomplete Markets" "Group Affiliation and the Under-Pricing of IPOs" "Liquidity Effects in the Corporate Bond Market" “Earnings Surprises and Price Discovery in the Corporate Bond Market" "Preferential Equity Issues in the Indian Stock
Market"
Papers Presented at Conferences "A Dynamic Model of the Regulated Firm Under Uncertainty, "AT&T Conference on Regulated Utilities, UCLA, August 1975 "Capital Market
Equilibrium in a Mixed Economy, Optimal Public Sector Investment and the
Social Rate of Discount," European Finance Association, "Market Imperfections,
Capital Market Equilibrium and Corporation Finance," American Finance
Association, "Capital Market
Equilibrium in a Mixed Economy and the Social Rate of Discount,"
Econometric Society, "Multiperiod
Equilibrium: Some Implications for Capital Budgeting," European Finance
Association, "Multiperiod
Models of Asset Prices," European Finance Association, "Systematic Risk and
the Theory of the Firm," European Econometric Society, "Uncertain Inflation,
Exchange Rates and Bond Yields," Conference on Inflation and Asset
Prices, "Uncertain Inflation,
Exchange Rates and Bond Yields," European Finance Association, "The Ex-Dividend Day
Behavior of Call Option Prices," Econometric Society, "The Market Model and
Capital Asset Pricing Theory," American Finance Association, "The Ex-Dividend Day Behavior of Call Options Prices," AMEX Options Colloquium, April 1981 "The Ex-Dividend Day
Behavior of Call Option Prices," European Finance Association, Scheveningen, "The Valuation of
Multivariate Contingent Claims in Discrete Time Models," European
Finance Association, "The Valuation of
Options When Asset Returns are Generated by a Binomial Process," Western
Finance Association, "The Options When Asset
Returnsare Generated by a Binomial Process,"
European Finance Association, "Options on the Spot
and Options on Futures," AMEX Options Colloquium, "The Pricing of Forward
and Futures Contracts on Portfolio Assets: Some Empirical Results,"
European Finance Association, "Arbitrage Pricing
Theory and its Empirical Implications," Conference on Arbitrage Pricing
Theory, "Default Risk,
Resolution of Uncertainty and the Interest Rate on Corporate Loans,"
European Finance Association, "The Intertemporal Stability of Risk Prices in Rational
Expectations Models," Western Finance Association, "The Intertemporal Stability of Risk Prices in Rational
Expectations Models," European Finance Association, "The Valuation of Stock
Index Options," American Finance Association, "The Valuation of Stock
Index Options," AMEX Options Colloquium, "The Valuation of Stock Index Options," French Finance Association, June 1987 "The Valuation of
Options on Portfolios," European Finance Association, "The Valuation of Stock
Index Options," European Finance Association, "Arbitrage
Opportunities in the Nikkei Spot and Futures Markets," "The Valuation of
Options on Portfolios," AMEX Options Colloquium, "Arbitrage Opportunities in the Nikkei Spot and Futures Markets," Conference on Financial Markets Developments and Reforms, Centre HEC-ISA, Jouy-en-Josas, June 1988 "The Valuation of Options on Portfolios," Conference on Financial Markets Developments and Reforms, Centre HEC-ISA, Jouy-en-Josas, June 1988 "The Intertemporal Behavior of Asset Prices and Equivalent
Martingale Measure for the Valuation of Contingent Claims," European
Finance Association, "Stock Index-Futures
Arbitrage in the Japanese Markets," European Finance Association, "Stock Index-Futures
Arbitrage in the Japanese Markets," American Finance Association, "Risk Aversion and the Intertemporal Behavior of Asset Prices," Western Finance Association, Seattle, June l989 "Futures, Forwards,
Options and the Equivalent Martingale Measure," European Finance
Association, "The Volatility of the
Japanese Stock Indices: Evidence from the Cash and Futures Markets," NYU-Sanwa
Bank Conferences on International Financial Markets, "Interest Rate Caps and
Floors," AMEX Options Colloquium, "Arbitrage
Opportunities in the Japanese Stock and Futures Markets," Inaugural
International Conference on Asian - Pacific Financial Markets, "Arbitrage
Opportunities in the Japanese Stock and Futures Markets," NYU-Yamaichi
Conference on Japanese Securities Markets, "Leasing Preferences," Rutgers Conference on Capital Budgeting, May l990 "The Optimality of
Non-Linear Sharing Rules," European Finance Association, "The Valuation of
Options on Interest Rates," "The Valuation of
American Options in Stochastic Interest Rate Economies," European
Finance Association, "The Microstructure of
Options Markets: Informed Trading, Liquidity, Volatility and Efficiency,"AMEX Options Colloquium, "Notes on the
Construction of a Binomial Process with Arbitrary Volatility
Characteristics," European Finance Association, "Idiosyncratic Risk, Sharing Rules and the Theory of Risk Bearing," Econometric Society, January1993 "Optimal Hedging
Behavior : The Choice between Options and Forward Contracts," European
Finance Association, "Pricing and Hedging
American Options: A Unified Method and its Efficient Implementation,"
Fourth Annual Conference on Financial Economics and Accounting, "A Two-Factor for the
Risk Management of Interest Rate Derivatives," (with T.S. Ho, R.C.
Stapleton and C. Thanassoulas), European Finance
Association, "Correlation Risk,
Cross-Market Derivative Products, and Portfolio Performance," Risk
Conference on Correlation, "New Methodologies for
Pricing and Hedging American-Style Options," The First Risk Annual
Congress, "Pricing and Hedging
American Options: A Recursive Integration Method and its
Implementation," European Finance Association, "The Term Structure of
Interest Rates: Alternative Approaches and their Implications for the
Valuation of Contingent Claims," "New Methodologies for
Pricing and Hedging American-Style Options," Risk Conference on Advanced
Mathematics for Derivatives, "Pricing and Hedging
American Options: A Recursive Integration Method and its
Implementation," Second NTU International Conference on Finance, "Risk Management of
Interest Rate Derivative Products," AMEX Options Colloquium, "Pricing and Hedging
American Options: A Recursive Integration Method and its
Implementation," American Finance Association, "Pricing and Hedging
American Options: A Recursive Integration Method and its
Implementation," "An Analytical Approach to the Valuation of American Path-Dependent Options," First Annual Computational Finance Conference, Stanford, August 1996 "Why are
Options Expensive?" European Finance Association, "Value-at-Risk Reports:
A Two-factor Model Approach for Interest Rate Derivatives," AMEX Options
Colloquium, "Value-at-Risk Reports:
A Two-factor Model Approach for Interest Rate Derivatives," AMEX Options
Colloquium, "The Microstructure of
Options Markets: Informed Trading, Liquidity, Volatility and Efficiency,"Financial Management Association, "An Analytical Approach
to the Valuation of American Path-Dependent Options," 7th Annual
Derivatives Conference, "Arbitrage Restrictions
and Multi-Factor Models of the Term Structure of Interest Rates,"
European Finance Association, "Arbitrage Restrictions
and Multi-Factor Models of the Term Structure of Interest Rates,"
International Conference on Recent Advances in Statistics and Probability, "Credit Risk and the
Pricing of Japanese Yen Interest Rate Swaps," Conference on Global
Integration and Competition, "An Empirical
Examination of the Convexity Bias in the Pricing of Interest Rate
Swaps," 8th Annual Derivatives Conference, "An Empirical
Examination of the Convexity Bias in the Pricing of Interest Rate
Swaps," European Financial Management Association-Financial Management
Association, "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," European Finance Association, Fontainbleau, August 1998 "When are Options Overpriced: The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," European Finance Association, Fontainbleau, August 1998 "An Arbitrage-free Two-factor
Model of the Term Structure of Interest Rates: A Multivariate Binomial
Approach to Building a Lattice," RISK Computation and
Quantitative Finance Conference, "A Two-factor Lognormal
Model of the Term Structure and the Valuation of American-Style Options on
Bonds,"9th Annual Derivatives Conference, "Costly Financing,
Optimal Payout Policy and the Valuation of Corporate Debt," SIRIF
Conference on Credit Risk and Credit Derivatives, "An Empirical
Examination of the Convexity Bias in the Pricing of Interest Rate
Swaps," Western Finance Association, "The Term Structure of
Interest Rate Futures Prices," "The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model," SIRIF Conference on Interest Rate Models And The Pricing And Hedging Of Derivatives, Edinburgh, Scotland, April 2000. "Costly Financing,
Optimal Payout Policies and the Valuation of Corporate Debt," 10th
Annual Derivatives Conference, "Costly Financing,
Optimal Payout Policies and the Valuation of Corporate Debt," Western
Finance Association, Sun Valley "Margin Rules, Informed
Trading in Derivatives and Price Dynamics," Western Finance Association,
Sun Valley "The Term Structure of
Interest Rate Futures Prices," First International Research Conference
in Financial Risk Management, "The Valuation of
American-Style Swaptions in a Two-factor
Spot-Futures Model," First International Research Conference in
Financial Risk Management, "The Term Structure of
Interest Rate Futures Prices," European Financial Management
Association, "The Term Structure Of
Interest Rates: Alternative Approaches And Their Implications For The Pricing
Of Interest Rate Derivatives," Association Française
de Finance, "Costly Financing,
Optimal Payout Policies and the Valuation of Corporate Debt," European
Finance Association, "The
Term Structure of Interest Rates: Alternative Approaches and their Business
Research Forum, Global Risk Management: Financial, Operational and Insurance
Strategies, "An Examination of the Static and Dynamic
Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor
Markets," Financial
Management Association, "The Term Structure of
Interest Rate Futures Prices," European Finance Association, "The Valuation of
American-Style Swaptions in a Two-factor
Spot-Futures Model," European Finance Association, "An Examination of the Static and Dynamic
Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor
Markets," European
Finance Association, "Pricing and Hedging
Interest Rate Options: Evidence from Cap-Floor Markets," European
Financial Management Association, "Risk Management in
Supply Chains," Value Chain Academic-Industry Consortium, "A Multi-Factor
Spot-Rate Model for the Pricing of Interest Rate Derivatives,"
CEMAF/ISCTE 8TH Anniversary Finance Meeting, "Margin Rules, Informed
Trading in Derivatives and Price Dynamics," European Finance
Association, "Liquidity and Volatility
Smiles in Options: Evidence from the Euro (€) Interest Rate
Markets," American Finance Association, "Liquidity Effects and
Volatility Smiles in Interest Rate Option Markets," Derivative
Securities Conference, "When Does Strategic
Debt Service Matter?" Conference on Corporate Bond Emissione,
Valuazione e Mercato,
SAFE Center, Dipartimento di
Scienze Economiche,
University di Verona, July 2004. "Incomplete Markets and
Super Value Additivity: Implications for Securitizaton," European Finance Association, "Liquidity Effects and
Volatility Smiles in Interest Rate Option Markets," Financial Management
Association, "Intermediation and
Value Creation in an Incomplete Market: Implications for Securitization,
Conference on Financial Innovation and Optimal Security Design, "Liquidity Effects and Volatility Smiles in Interest Rate
Option Markets," Financial Management Association Europe, "Incomplete Markets and Super Value Additivity:
Implications for Securitizaton," Financial
Management Association Europe, "The
Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity," American Finance
Association, "The
Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity," Moody’s NYU Salomon
Credit Conference, “A Tale of Two Prices: Liquidity and Asset Prices in
Multiple Markets,” “Intermediation and Value
Creation in Incomplete Markets: Implications for
Securitization,” “A Tale of Two Prices:
Liquidity and Asset Prices in Multiple Markets,” European Finance
Association, "Liquidity Effects in Asset Markets: Premium or Discount?," German Finance Association, "Latent Liquidity and
Corporate Bond Yield Spreads," Conference on Advances in the Analysis of
Hedge Fund Strategies, Tanaka Business School, Imperial College, London,
December 2006. "Financial Markets
and the Macro Economy," American Finance Association, "Liquidity Effects in
Interest Rate Options Markets: Premium or Discount?" European Finance
Association, Ljublana, August 2007. "Latent Liquidity and
Corporate Bond Yield Spreads," European Finance Association, "Latent Liquidity and
Corporate Bond Yield Spreads," Journal of Investment Management
Conference, "Valuation and Performance of
Firms in Complex Ownership Structures: An Application to Korean Chaebols," Western Finance Association, "Price
Dispersion in OTC Markets: A New Measure of Liquidity," Conference on Liquidity: Pricing and Risk Management,
Bank of "Valuation and Performance of
Firms in Complex Ownership Structures: An Application to Korean Chaebols," NBER Corporate Finance Conference, July 2008. "Liquidity Effects in Interest Rate Options Markets:
Premium or Discount?" "Latent Liquidity and Corporate Bond Yield Spreads," "Valuation and Performance of
Firms in Complex Ownership Structures: An Application to Korean Chaebols," European Finance Association, August 2008. "Price Dispersion in OTC
Markets: A New Measure of Liquidity," European Finance Association, August
2008. "Price Dispersion in OTC
Markets: A New Measure of Liquidity," Bank of "Price Dispersion in OTC
Markets: A New Measure of Liquidity," German Finance Association, October
2008. "Price Dispersion in OTC
Markets: A New Measure of Liquidity," International
Conference on Price, Liquidity, and Credit, "Liquidity Effects in
Interest Rate Options Markets: Premium or Discount?"
International Conference on Price, Liquidity, and Credit, "Price Dispersion in OTC
Markets: A New Measure of Liquidity," Conference
on Liquidity, The
|
|
If you are interested in downloading any of my papers and publications, please proceed to the download area. |
|
|
