WORKING PAPERS:
“Are Bitcoin Futures Options a Cheaper Way to Play the Bitcoin
Lottery?”, with Yumeng Gao, Afak Nazim, and Florent Rouxelin.
“Global Portfolio Optimization via FX Option Implied
Volatilities”, with Antonio Figueiredo and Ali Parhizgari.
"Oil Trade Imbalances: Unveiling Their Influence on Global
Currency Returns", with Florent Rouxelin and Li Yang.
PUBLICATIONS:
“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]
“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]
“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]