• ”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 ).



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