Recent Publications and Accepted Papers

  1. "A Review of Merton's Model of the Firm's Capital Structure with its Wide Applications," (2013), in the Annual Review of Financial Economics, 5

  2. "Liability Investment with Downside Risk," with Andrew Ang and Bingxu Chen, (2013), forthcoming in the Journal of Portfolio Management

  3. "On the Design of Contingent Capital with a Market Trigger," with Zhenyu Wang, (2013), forthcoming in the Journal of Finance

  4. "Managing Corporate Liquidity: Strategies and Pricing Implications," with A. Asvanunt and M. Broadie, (2011), in the International Journal of Theoretical and Applied Finance, 14(3)

  5. Development of financial markets in Asia and the Pacific: the international financial crisis and policy challenges,” BIS Papers, No 52, The international financial crisis and policy challenges in Asia and the Pacific , Proceedings of the wrap-up conference of the Asian Research Programme, Shanghai, 6–8 August 2009. Monetary and Economic Department, July 2010.

  6. Collateral Values By Asset Class: Evidence from Primary Securities Dealers”, with Leonardo Bartolini, Spence Hilton, and Christopher Tonetti, (2011), in the Review of Financial Studies, 24(1), 248-278

  7. Y2K Options and the Liquidity Premium in Treasury Markets,” with Zhenyu Wang,(2009) in the Review of Financial Studies, 22(3), 1021-1056

  8. The Impact of Collateralization on Swap Rates,” with Michael Johannes, in the Journal of Finance, VOL. LXII, NO. 1 February 2007.

  9. Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11,” with Mark Broadie and Mikhail Chernov, in the Journal of Finance, VOL. LXII, NO. 3 June 2007.

  10. Investment under Uncertainty with Strategic Debt Service,” with Neng Wang, in the American Economic Review, Volume 97, No 2, (May 2007), pages 256-261.

Recent Working Papers

  1. “Risk Management Framework for Hedge Funds: role of Funding and Redemption Options on Leverage,” with John Dai. Under review. (2013).

  2. “Growth Options and Optimal Default Under Liquidity Constraints: The Role of Cash Balances,” with Mark Broadie and Asvanunt Attakrit, (2013). Under review.

  3. “Financing Real Options,” with Neng Wang, under Revision. (2013).

  4. “The Dollar Squeeze of the Financial Crisis,” (2011) with Jean-Marc Bottazzi, Jaime Luque, and Mario Pascoa.

  5. “Bankruptcy Code, Optimal Liability Structure and Secured Short-Term Debt,” with Jun Kyung Auh,
    (2013).

Sample of Past Publications (with links)

  1. “Asset Prices and Default-free Term Structure in an Equilibrium Model of Default,” with Ganlin Chang, in the Journal of Business

  2. Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions,” with Kjell Nyborg, and Kristian Rydqvist, in the Journal of Political Economy, Volume 78, No 3, (2005), pages 997-1021.

  3. Debt Valuation, Renegotiation, and Optimal Dividend Policy,” with Hua Fan, in the Review of Financial Studies, Volume 110, No 2, (April 2002), pages 394-424.

  4. Continuous-Time Methods in Finance: A Review and an Assessment,” in the Journal of Finance, Volume 13, No. 4, (Winter 2000), pages 1057-1099.

  5. Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach,” with Jerome Detemple, in the Review of Financial Studies, VOL LV, NO 4, (August 2000), pages 1569-1622.

  6. Valuation, optimal asset allocation and retirement incentives of pension plans,” with Fernando Zapatero, in the Review of Financial Studies, Volume 12, No. 4, (1999), pages 835-872.

  7. Design and Valuation of Debt Contracts,” with Ronald Anderson, in the Review of Financial Studies, Volume 9, No. 1, (Spring 1996), pages 37-68.

  8. "Discriminatory versus Uniform Treasury Auctions: Evidence from when-issued transactions,” with Kjell Nyborg, in the Journal of Financial Economics, Volume 9, Volume 42, (1996), pages 63-104.

  9. Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth,” in the Review of Financial Studies, Volume 2, No. 1, (1989), pages 37-68.

Sample of past publications (no links)

  1. "A continuous time equilibrium model of forward prices and futures prices in a multigood economy,” with Scott Richard, in the Journal of Financial Economics, Volume 9, (1981), pages 347-371.

  2. “Constant Absolute Risk Aversion Preferences and Constant Equilibrium Interest Rates,” in the Journal of Finance, Volume 38, No 1, (1983), pages 205-212.

  3. “The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence,” with David Modest, in the Journal of Futures Markets, (Summer 1983), pages 15-41.

  4. “Consumption and Equilibrium Interest Rates in Stochastic Production Economies,” in the Journal of Finance, Volume 39, No 1, (1984), pages 77-92.

  5. “Equilibrium Valuation of Natural Resources,” in the Journal of Business, Volume 57, No 4, (October 1948), pages 493-518.

  6. “The Valuation of Options on Futures Contracts,” with Krishna Ramaswamy, in the Journal of Finance, Volume 40, No 5, (December 1985), pages 1319-1340.

  7. “The Valuation of Floating Rate Instruments: Theory and Evidence,” with Krishna Ramaswamy, in the Journal of Financial Economics, Volume 17, No 2, (1986), pages 251-272.

  8. “Futures Prices on Yields, Forward Prices, and Implied Forward Prices from Term Structure,” in the Journal of Financial and Quantitative Analysis, Volume 26, No 3 (September 1991), pages 409-424.

  9. "Interest Rate Swaps: An empirical investigation", with Tong-sheng Sun and Ching Wang, in the Journal of Financial Economics, Vol. 34, No. 1, (August 1993), pp. 77-99.

  10. “Strategic Analysis of Contingent Claims,” with Ronald Anderson, in European Economic Review, Volume 40, No 3-5, (April 1996), pages 871-881.