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.