WORKING PAPERS:
“Are Bitcoin Futures Options a Cheaper Way to Play the Bitcoin
Lottery?”, with Diogo Duarte, Afak Nazim, and Florent Rouxelin.
PUBLICATIONS:
“The Information Content of Currency Option-Implied Volatilities: Implications for ex-ante Forecasts of Global Equity Correlations”, with Antonio Figueiredo and Ali Parhizgari, The European Journal of Finance, Vol. 29 (18), pp 2128-2153, 2023. [pdf]
“A New Take on the Relationship between Interest rates and Credit Spreads”, with Xiaoquan Jiang and Qianying Zhang, Applied Economics, Vol. 56 (5), pp 520-536, 2024. [pdf]
“Tax Policies and Agency Costs”, with Diogo Duarte, Sandrine Docgne and Florent Rouxelin, The Journal of Financial Research, Vol. 46 (2), pp 383-409, 2023. [pdf]
“The Relationship between Psychopathy and Financial Risk and Time Preferences”, with Fernando Patterson, Robert Durand, and Corey Shank, Studies in Economics and Finance, Vol. 38 (1), pp 32-49, 2021. [pdf]
“A Dimension-invariant Cascade Model for VIX Futures”, with Zhiguang Wang, The Journal of Futures Markets, Vol. 39 (10), pp 1214-1227, 2019. [pdf]
“Oil Prices Implied Volatility or Direction: Which Matters More to Financial Markets?”, with Corey Shank, Financial Markets and Portfolio Management, Vol. 32 (3), pp 275-295, 2018. [pdf]
"Spicing up a Portfolio with Commodity Futures: Still a Good Recipe?", with Robert Daigler and Leyuan You, Journal of Alternative Investments, Vol. 19 (4), pp 8-23, 2017. [pdf]
"The Implied Convexity of VIX Futures", with Robert Daigler and Fernando Patterson, Journal of Derivatives, Vol. 23 (3), pp 73-90, 2016. [pdf]
“Interest Rates and Credit Spreads Dynamics”, with Douglas Rolph, Robert Neal and Xiaoquan Jiang, Journal of Derivatives, Vol. 23 (1), pp 25-39, 2015. [pdf]
"Arbitrage-Free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model", with Rudolf Fiebig and David Musgrove, Physica A, 391, pp 4350-4363, 2012. [pdf]
“Replicating Financial Market Dynamics with a Simple Self-Organized Critical Lattice Model”, with Rudolf Fiebig and David Musgrove, Physica A, 390, pp 3120-3135, 2011. [pdf]
"Asset Pricing with Incomplete Information in a Discrete-Time Pure Exchange Economy", with Prasad Bidarkota, Journal of Applied Research in Finance, Volume III, Issue 1(5), pp 9-26, Summer 2011. [pdf]
“A Simplified Pricing Model for Volatility Futures” (with Robert Daigler and Zhiyao Chen), The Journal of Futures Markets,Vol. 31 (4), pp 307-339, 2011. [pdf]
“Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets” (with Rudolf Fiebig and David Musgrove), Physica A 389, pp 107-116, 2010. [pdf]
“Asset Pricing with Incomplete Information and Fat Tails” (with Prasad Bidarkota and J. Huston McCulloch), Journal of Economic Dynamics and Control, Vol. 33 (6), pp 1314-1331, 2009. [pdf]
“A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation” (with Robert Daigler and Ann Marie Hibbert), Journal of Banking and Finance,Vol. 32 (10), pp 2254-2266, 2008. [pdf]
“Effect of intervalling and skewness on portfolio selection in developed and developing markets” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (21), pp 1697-1707, 2008. [pdf]
“Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (20), pp 1635-1646, 2008. [pdf]
“Fundamental Capital Valuation for IT Companies: a Real Options Approach” (with Arun Prakash and Chung Baek), Frontiers in Finance and Economics,Vol. 5 (1), 2008. [pdf]
"Intrinsic Bubbles and Fat Tails in Stock Prices: A Note" (with Prasad Bidarkota), Macroeconomic Dynamics, Vol. 11 (3), pp 405-422, 2007. [pdf]
“The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia” (with Prasad Bidarkota), Journal of Economic Dynamics and Control,Vol. 31 (3), pp 887-905, 2007. [pdf]
“Information Content of Cross-Sectional Option Prices: a Comparison of Alternative Currency Option Pricing Models on the Japanese Yen", The Journal of Futures Markets,Vol. 26 (1), pp 33-59, 2006. [pdf]
PERMANENT WORKING PAPER:
"Asymmetric Jump Processes: Option Pricing Implications" [pdf]