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For a current PDF version, click here.
Academic Appointments
- Spring 2006, Visiting Associate Professor of
Finance, Graduate School of Business, Stanford University.
- Fall 2005, Visiting Associate Professor of
Finance, Kellogg Graduate School of Management, Northwestern
University.
- 2005 to present, Roger F. Murray Associate
Professor of Finance, Graduate School of Business, Columbia University.
- 2004 to 2005, Associate Professor, Graduate
School of Business, Columbia University.
- 2000 to 2004, Assistant Professor, Graduate
School of Business, Columbia University.
University education
- Ph.D., M.A., Department of Economics,
University of Chicago, 2000.
- B.S. Marquette University , summa cum laude, Phi
Beta Kappa, 1995.
Publications
Journal articles
- The Impact of Jumps in Equity Index Volatility
and Returns (with Bjorn Eraker and Nicholas Polson), 2003, Journal
of Finance, 58, 1269-1300.
- The Economic and Statistical Role of Jumps to
Interest Rates, 2004, Journal of Finance 59, 227-260.
Nominated for the Smith-Breeden prize.
- Pricing Collateralized Swaps (with Suresh
Sundaresan), forthcoming, Journal of Finance.
- Model Specification and Risk Premia: Evidence
from S&P 500 futures options market” (with Mark Broadie and Mike
Chernov), forthcoming, Journal of Finance.
- MCMC MLE (with Eric Jacquier and Nick Polson),
forthcoming Journal of Econometrics.
Book chapter
- MCMC methods for Financial Econometrics (with
Nick Polson), forthcoming in the Handbook of Financial Econometrics,
edited by Yacine Aït-Sahalia and Lars Hansen.
- Markov Chain Monte Carlo, (with Nick Polson),
forthcoming, in the Handbook of Financial Time series, edited
by Torben Andersen, Richard David, Jens-Peter Kreiss, adn Thomas
Mikosch.
- Particle Filtering, (with Nick Polson),
forthcoming, in the Handbook of Financial Time series, edited
by Torben Andersen, Richard David, Jens-Peter Kreiss, adn Thomas
Mikosch.
Invited Comment
- Comment on Pastorello, Patilea and Renault,
‘Iterative and Recursive Estimation in Structural Nonadaptive Models,’
with Nick Polson, Journal of Business & Economic Statistics 21,
449-509.
Working papers
- Earnings announcements and option prices, with
Andrew Dubinsky.
- Sequential Optimal Portfolio Performance:
Market and Volatility Timing, with Nick Polson and Jon Stroud.
- Identifying Jumps and Stochastic Volatility:
Filtering Stochastic Differential Equations with Jumps, with Nicholas
Polson and Jon Stroud.
- Sequential parameter estimation in stochastic
volatility models with jumps, with Nick Polson and Jon Stroud.
- Sequential filtering and parameter learning:
an interacting particle system approach, with Nick Polson and Jon
Stroud.
- Understanding expected option returns, 2006,
with Mark Broadie and Mike Chernov.
- Optimal Bayesian particle filtering, 2006, with
Nick Polson.
- Particle approximations for posterior
distributions, 2006, with Nick Polson.
Work in progress
- Individual equity volatility: decomposing the
sources of risk, with Sam Cheung.
- Term structure models and bond volatility,
2006, with Mike Chernov.
- The informational content of earnings
volatility estimates extracted from equity options, with Andrew
Dubinsky and Wei Jiang.
Conference presentations
- 1999: Econometric Society Meetings, NBER Asset
Pricing Group (Fall, Discussant)
- 2000: 7 th Annual Conference on Derivatives
Securities and Risk, Center for Applied Probability of Columbia
University, Econometric Society (summer meetings).
- 2001: AFA (discussant), WFA, Princeton
Conference on Financial Econometrics, 14 th Australiasia Finance
Conference (Keynote speaker).
- 2002: WFA, Summer NBER Asset Pricing group,
“Event Risk” conference Mathematical Science Research Institute.
- 2003: Econometric Society Meetings
(Discussant), Cirano Conference on Monte Carlo Methods; Cirano
Conference on Financial Econometrics, WFA.
- 2004: AFA (discussant), WFA (discussant).
- 2005: WFA
- 2006 AFA (discussant), Winter Econometric
Society Meetings (discussant), Summer NBER Asset Pricing group.
Invited seminars
- 1999: Duke University (Fuqua), Chicago (GSB).
- 2000: Northwestern University (Kellogg),
Columbia University (GSB), Cirano/University of Montreal, Federal
Reserve Board of Governors.
- 2001: NYU (Stern).
- 2002: Lehman Brothers Fixed Income Research,
London Business School, London School of Economics (Financial Markets
Group).
- 2003: Carnegie Mellon (GSIA), Morgan Stanley
Fixed Income Research, University of Texas at Austin (McCombs),
Stanford University (GSB), University of California-Berkeley (GSB),
Northwestern University (Kellogg).
- 2004: University of Southern California,
University of Illinois Champagne/ Urbana, Citigroup Fixed Income
Research, Caspian Capital Management.
- 2005: Northwestern University (Kellogg),
Washington University in St. Louis, MIT (Sloan), University of
Pennsylvania (Economics).
- 2006: Columbia GSB, Stanford GSB.
University service
- Recruiting: 2001-2002, 2002-2003, 2003-2004.
- MBA Conduct committee: 2003-2004.
- Student-Faculty Academic Affairs Committee,
2002-2004.
- Finance Seminar organizer: 2001-2002,
2004-2005.
- University Senate: 2004 -2006.
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