”Semivolatility of Returns as a Measure of Downside Risk”, The Journal of Alternative Investments, Vol. 19, No. 3, Winter 2017: pp. 68-74. (Joint with Prof. Donald Chambers)
“The Effects of Housing Price Volatility on Mortgage Rates”, Journal of Housing research, volume 25, issue 1, pp17-37, 2016.(Joint work with Prof. Donald Chambers, Prof. Ge Xia, Prof. Yun Lu, and honors thesis student Ying Quan*)
“Estimating Heston’s and Bates’ models parameters using Markov Chain Monte carlo simulation”, Journal of Statistical Computation and Simulation,Volume 85, Issue 11 pp. 2295-2314 ,2015. (Joint work Prof. Jeffrey Liebner and REU students Joshua Cape*, Wiliaml Dearden*, Wiliaml Gamber*,and Linh Nguyen*)
“Index Option Returns: Still Puzzling”, The Review of Financial Studies, Vol 27(6), pp 1915-1928, 2014.(Joint work with Prof. Donald Chambers, Prof. Jeffrey Liebner and a previous Lafayette EXCEL student Matthew Foy)
“Understanding the Estimation Risks of Value at Risk”, Journal of Alternative Investments, Vol 16. No 3, pp. 64-85, Winter 2014.(Joint work with Prof. Donald Chambers, Prof. Michael Kelly) .
“Copula Correlation, Default Correlation and the Financial Crisis”, International Review of Applied Financial Issues and Economics, Vol. 3, Issue 3 , pp. 594-605, September 2011. (Joint work with Prof. Donald Chambers, Prof. Jeffrey Liebner).
“CDO Squared: The Case of Subprime Mortgages”, The Journal of Structured Finance, Vol. 17, No. 2: pp. 96–113, Summer 2011. (Joint work with Prof. Donald Chambers, Prof. Michael Kelly and REU students Adam Biesenbach, Angela King, Kuni Natsuki and Qi Sun).
“The Role of the Constant Recovery Assumption in the Subprime Bubble”, The Journal of Alternative Investments, Vol.13, No. 1, pp. 30-40, Summer 2010. (Joint work with Prof. Donald Chambers, Prof. Michael Kelly).
A pedagogical book: September 2007 CAIA® Level I Study Guide for Chartered Alternative Investment Analyst Association ® Quantitative Methods: 12 topics (joint work with Prof. Donald Chambers).
“A tree model for pricing convertible bonds with equity, interest-rate and default risk”, Journal of Derivatives, volume 14, pp. 25-46, summer 2007. (joint work with Prof. Donald Chambers).
“Algebraic K-theory of Mapping Class Groups”, K-theory, 32, pp. 83-100,2004. (joint work with Prof. Ethan Berkove and Prof. Daniel Juan-Pineda).
“Farrell cohomology of low genus pure mapping class group with punctures”, Algebraic & Geometric Topology, no. 2, pp. 537-562, 2002.
“Periodicity of the punctured mapping class group”, Journal of pure and applied algebra, volume 155/2-3, pp. 211-235, Dec. 2000.
“Value at Risk Estimation: A Review and Extension” Proceedings of Hawaii University International Conferences in July 2011. ( joint work with Prof. Donald Chambers).
“Were ABS-CDOs Rated Reasonably?’’ presented at THE conference of Northeastern ASSOCIATION of Business, Economics and Technology in Oct. 2010. ( joint with Prof. Donald Chambers and Prof. Michael Kelly and REU/EXCEL students ).
