Selected Working Papers and Publications since
1994
Forecasting
Using Text-Based Uncertainty Measures. 2023, Working Paper with Kevin
Benson, Yoshio Nozawa, Zissis Poulos, Vasely Strela,
and Yuntao Wu.
A
Variational
Autoencoder Approach to Conditional Generation of Possible Future
Volatility Surfaces. 2023, Working Paper with
Jacky Chen, Zissis Poulos, Haris Rasul, Andreas Veneris,,and Yuntao Wu.
Narrative Monetary Policy Uncertainty. 2023,
Working Paper with Charles Martineau, Zissis Poulos, Yuntao Wu, Cameron
Thompson, Maryam Haghighi, and Jun Yuan.
Hedging Barrier Options Using
Reinforcement Learning. Working Paper 2023 (with Jacky Chen, Yu Fu, Zissis
Poulos, Zeyu Wang, and Jun Yuan)
Gamma and Vega Hedging Using Deep
Distributional Reinforcement Learning, Frontiers in Artificial
Intelligence. Section: Artificial Intelligence in Finance, Vol 6, doi: 10.3389/frai.2023.1129370 (with Jay Cao, Jacky Chen,
Soroush Farghadani, Zissis Poulos, Zeyu Wang, and Jun Yuan).
Why has
Black-Scholes-Merton Been So Successful? Wilmott, May 2023
Deep Learning for Exotic Option
Valuation, Journal of Financial Data
Science, Winter 2022, 4 (1): 41-53 (with Jay Cao, Jacky Chen, and Zissis
Poulos).
Autoencoders: A Hands Off Approach
to Volatility, Journal of Financial
Data Science, Spring 2022, 4 (2): 125-138 (with
Maxime Bergeron, Nicholas Fung, Zissis Poulos, and Andreas Veneris)
Deep Hedging of Derivatives Using
Reinforcement Learning, Journal of
Financial Data Science, Winter 2021, 3 (1): 10-27 with Jay Cao, Jacky Chen,
and Zissis Poulos
A Neural Network Approach to
Understanding Implied Volatility Movements, Quantitative Finance, 20,9 (2020): 1405-1413 (with Jay Cao and
Jacky Chen)
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)
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).
Risk, 25th anniversary edition, July 2012, 83-85 (with Alan White)
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)
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
Valuing Credit
Derivatives Using an Implied Copula Approach
Journal of Derivatives, 14, 2 (Winter 2006) pp
8-28 (with
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
Merton's
Model, Credit Risk, and Volatility Skews
Journal of Credit Risk Vol 1, No 1 (2004) pp
1-27 (with Izzy Nelken and
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
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
The
Valuation of Credit Default Swap Options
Journal of Derivatives, 10, 3 (Spring 2003) pp.
40-50 (with
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
Valuing Credit Default
Swaps I: No Counterparty Default Risk,.
Journal of Derivatives, Vol. 8, No. 1, (Fall
2000), pp. 29-40 (with
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
Incorporating Volatility Updating into Value at Risk
Calculations,
Journal of Risk, Vol. 1, No. 1, (Fall 1998),
pp. 5-19 (with
Value at Risk When Daily Changes are Not Normally
Distributed,
Journal of Derivatives, Vol. 5, No. 3, (Spring
1998), pp. 9-19 (with
Using Hull-White Interest
Rate Trees,
Journal of Derivatives, Vol. 3, No. 3, (Spring
1996), pp. 26-36 (with
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)