Working Papers

  • “The Valuation of Stock Index Options,”(with M. Brenner and G. Courtadon).
  • “The Term Structure of Interest Rate Futures Prices,” (with R. C. Stapleton).
  • “Credit Risk and the Yen Interest Rate Swap Market,” (with Y. H. Eom and J. Uno).
  • “Incremental Risk Vulnerability,” (with G. Franke and R. C. Stapleton).
  • “Background Risk and Trading in a Full-Information Rational Expectations Economy,” (with R.C. Stapleton and Q. Zeng).
  • “Private Placements to Owner-Managers: Theory and Evidence,” (with V.R Anshuman and V.Panchapagesan).
  • “Liquidity and Portfolio Management: an Intra-day Analysis,” (with J. Cherian, M.R. Hu and S. Mahanti).
  • “The Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis,” (with L. Pelizzon, D. Tomio and J. Uno).
  • “Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan,”(with L. Pelizzon, R. Tobe and J. Uno).