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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

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