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Selected Working Papers and Publications since 1994

 

Deep Hedging of Derivatives Using Reinforcement Learning

Working Paper (December 2019) with Jay Cao, Jacky Chen, and Zissis Poulos

 

A Neural Network Approach to Understanding Implied Volatility Movements

Forthcoming, Quantitative Finance (with Jay Cao and Jacky Chen)

 

Funding Long Shots

Journal Of Investment Management, 17, 4 (2019): 1-33 (with Andrew Lo and Roger Stein)

 

Interest Rate Trees: Extensions and Applications

Quantitative Finance, 18, 7 (2018): 1199-1209, with Alan White

 

Optimal Delta Hedging for Options

Journal of Banking and Finance, 82 (September 2017): 180-190 (with Alan White)

 

XVAs: A Gap Between Theory and Practice

Risk, 29, 5 (May 2016): 50-52

 

How Are the New Rules for OTC Derivatives Working?

Editorial, Journal of Risk Management and Financial Institutions, Autumn/Fall 2015

 

Multi-Curve Modeling Using Trees

In Innovations in Derivatives Markets, Editors: Kathrin Glau, Zorana Grbac, Matthias Scherer, and Rudi Zagst, Springer Proceedings in Mathematics and Statistics, 2016: 171-189. (with Alan White)

 

The Changing Landscape for Derivatives

Journal of Financial Engineering, Vol 1, No. 3 (2014): 1-8

 

Modeling the Short Rate: The Real and Risk Neutral Worlds

Published in Risk, October 2014, 59-63 with title “Short Rate Joint Measure Models” (with Alexander Sokol and Alan White)

 

A Generalized Procedure for Building Trees for the Short Rate and its Application to Determining Market Implied Volatility Functions

Quantitative Finance, Vol. 15, No. 3 (2015): 443-454 (with Alan White)

 

OIS Discounting, Interest Rate Derivatives,  and the Modeling of Stochastic Interest Rate Spreads

Journal Of Investment Management, Vol. 13, No. 1, (2015):  64-83 (with Alan White)

 

The Valuation of Market-Leveraged Stock Units

Journal of Derivatives, Vol. 21, No. 3 (Spring 2014) 85-90  (with Alan White)

 

Valuing Derivatives: Funding Value Adjustments and Fair Value

Financial Analysts Journal, Vol 70, No. 3 (May/June 2014): 46-56 (with Alan White).

 

Collateral and Credit Issues in Derivatives Pricing

Journal of Credit Risk, Vol. 10, No. 3 (2014): 3-28 (with Alan White).

 

The FVA Debate

Risk, 25th anniversary edition, July 2012, 83-85 (with Alan White)

 

The FVA Debate Continued

Risk, Vol 10, October 2012, 52 (with Alan White)

 

CCPs, Their Risks, and How They Can Be Reduced

Journal of Derivatives, 20, 1 (Fall 2012), 26-29

 

LIBOR vs. OIS: The Derivatives Discounting Dilemma

Journal Of Investment Management, Vol. 11, No. 3, (2013), 14-27 (with Alan White)

 

CVA and Wrong Way Risk

Financial Analysts Journal, Vol. 68, No. 5 (Sept/Oct 2012) 58-69 (with Alan White)

 

Ratings Arbitrage and Structured Products

Journal of Derivatives, 20, 1 (Fall 2012), 80-86   (with Alan White)

 

OTC Derivatives and Central Clearing: Can All Transactions Be Cleared

Financial Stability Review, 14 (July 2010), pp 71-80

 

The Risk of Tranches Created from Mortgages

Financial Analysts Journal, 66, 5 (Sept/Oct 2010), 54-67  (with Alan White)

 

An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

Journal of Investment Management, 8, 3 (2010), 11-31 (with Alan White)

 

The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model

Journal of Credit Risk, 6, 3 (Fall 2010), 99-132 (with Mirela Predescu and Alan White)

 

The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can Be Learned

Journal of Credit Risk, 5, 2 (2009), 3-18.

 

Dynamic Models of Portfolio Credit Risk: A Simplified Approach

Journal of Derivatives, 15, 4 (Summer 2008) pp 9-28 (with Alan White)

 

Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence

Quantitative Finance, 7, 5 (October 2007), pp 507-524 (with Toby Daglish and Wulin Suo)

 

Forward and European Options on CDO Tranches

Journal of Credit Risk, Vol 3, No 2 (Summer 2007), 63-73 (with Alan White)

 

Valuing Credit Derivatives Using an Implied Copula Approach

Journal of Derivatives, 14, 2 (Winter 2006) pp 8-28 (with Alan White)

 

Bond Prices, Default Probabilities, and Risk Premiums

Journal of Credit Risk, Vol 1, No. 2 (Spring 2005), 53-60 (with Mirela Predescu and Alan White)

Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation

Journal of Derivatives,12, 2 (Winter 2004) pp 8-23 (with Alan White)

 

Merton's Model, Credit Risk, and Volatility Skews

Journal of Credit Risk Vol 1, No 1 (2004) pp 1-27 (with Izzy Nelken and Alan White)

 

The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Journal of Banking and Finance, 28 (Nov. 2004) pp 2789-2811 (with Mirela Predescu and Alan White)

 

Accounting for Employee Stock Options: A Practical Approach to Handling the Valuation Issues:

Journal of Derivatives Accounting, Vol. 1, No. 1 (2004), pp 3-9. (with Alan White)

 

How to Value Employee Stock Options

Financial Analysts Journal, Vol. 60, No. 1, January/February 2004, 114-119 (with Alan White)

 

The Valuation of Credit Default Swap Options

Journal of Derivatives, 10, 3 (Spring 2003) pp. 40-50 (with Alan White)

 

A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model,

Journal of Financial and Quantitative Analysis, Vol. 37, No. 2, (June 2002), pp 297-318 (with Wulin Suo)

 

The General Hull-White Model and SuperCalibration

Financial Analysts Journal, 57, 6, (Nov-Dec) 2001 (with Alan White)

 

Valuing Credit Default Swaps II: Modeling Default Correlations,

Journal of Derivatives, Vol. 8, No. 3, (Spring 2001), pp. 12-22 (with Alan White)

 

Valuing Credit Default Swaps I: No Counterparty Default Risk,.

Journal of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40 (with Alan White)

 

Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model,

Journal of Fixed Income, Vol. 10, No. 3 (Sept 2000), pp 46-62 (with Alan White)

 

Incorporating Volatility Updating into Value at Risk Calculations,

Journal of Risk, Vol. 1, No. 1, (Fall 1998), pp. 5-19 (with Alan White)

 

Value at Risk When Daily Changes are Not Normally Distributed,

Journal of Derivatives, Vol. 5, No. 3, (Spring 1998), pp. 9-19 (with Alan White)

 

Using Hull-White Interest Rate Trees,

Journal of Derivatives, Vol. 3, No. 3, (Spring 1996), pp. 26-36 (with Alan White)

 

Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models

Journal of Derivatives, Fall 1994, pp. 7-16 (with Alan White)

 

Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models

Journal of Derivatives, Winter 1994, pp. 37-48 (with Alan White)