| CURRENT WORKING PAPERS and VIDEOS | |||
"Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008"
(with Birru) Working Paper, April 2009 |
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Video: "The Hour by Hour Behavior of the RND in the Full 'Anatomy of a Meltdown' Sample" (.avi file, 3.50 MB) |
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"Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio" |
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Video: "The Behavior of the Implied Risk Neutral Density for the U.S. stock market on September 29, 2008" (.avi file, 4.85 MB) |
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"Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions" (with Frydman and Wei)
Working Paper, March 2008 |
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"Estimation
Error in the Assessment of Financial Risk Exposure" Working Paper, June 2003 |
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PUBLISHED
ARTICLES AVAILABLE FOR DOWNLOAD |
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"Assessing
the Incremental Value of Option Pricing Theory Relative to an 'Informationally
Passive' Benchmark" Journal of Derivatives 10, Fall 2002 |
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"Market
Risk and Model Risk for a Financial Institution Writing Options,"
(with Clifton Green) Journal of Finance 53 (4), August 1999. |
Final
WP complete tables |
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"Pricing
Discrete Barrier Options with an Adaptive Mesh Model," (with Dong-Hyun Ahn and Bin Gao) Journal of Derivatives 6, Summer 1999. |
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"Forecasting
Volatility" (monograph) |
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