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DOWNLOAD AREA
You can download all relevant material here.
Recent Working
Papers
1.'The Term Structure of Interest Rate Futures Prices', (with M Subrahmanyam), Review of Financial Studies, presented EFA, August 2001
[download
pdf]
2. 'A Multi-Factor Spot-Rate Model for the Pricing of Interest-rate Derivatives'
(with S Peterson and M Subrahmanyam), forthcoming JFQA. [download
pdf]
3. 'The Pricing of Options on Credit-Sensitive Bonds'
(with S Peterson), forthcoming ZBR. [download
pdf]
4. 'Background Risk and the Demand for State-Contingent Claims
', 2003 (with G Franke) Forthcoming, Economic Theory [download
pdf]
5. ''Long-Term Portfolio Choice Given Uncertain Personal Savings'',
EFA 2002, (with G Franke and S Peterson) [download
pdf]
6. 'Multiplicative Background Risk', (with G Franke and H Schlesinger) [download
pdf]
7. 'Richardson Extrapolation Techniques
for Pricing American-style Options', (with C. Chang
and S. Chung) [download pdf]
8. 'Conditions for Forward-Price Processes
and the Risk-Neutral Pricing of Options' (with A.
Camara) [download pdf]
9. 'Pseudo Risk-Neutral Valuation Relationships and the Pricing of Opetion' (with G Franke and J Huang) [download pdf]
Lecture Notes
Notes for my Asset Pricing Theory and Advanced Derivatives Courses are available upon request Please [email]
Course Outlines
'Asset Pricing Theory' [download
pdf]
'FS70381-09' [download
pdf]
Curiculum Vitae
[download
pdf]
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