Mathematical Modeling

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Journal of Economic Theory, Vol. 143 (2018) pp. 124-183.

"Continuous-Time Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, May, 2017. [Slides]

"Existence of Independent Random Matching" (with Yeneng Sun), Annals of Applied Probability 2007, Volume 17: 386-419.

"The Exact Law of Large Numbers for Independent Random Matching" (with Yeneng Sun), Journal of Economic Theory 2012, Volume 147: 1105-1139.

"Large Portfolio Losses'' (with Amir Dembo and Jean-Dominique Deuschel), Finance and Stochastics 2004, Volume 8: 3-16.  The publication is available at www.springerlink.com.

"Affine Processes and Applications in Finance'' (with Damir Filipovic and Walter Schachermayer), Annals of Applied Probability 2003, Volume 13: 984-1053.

"Transform Analysis and Asset Pricing for Affine Jump Diffusions" (with Jun Pan and Kenneth Singleton), Econometrica 2000, Volume 68: 1343-1376. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Simulating Correlated Defaults" (with Kenneth Singleton), Graduate School of Business, Stanford University, September, 1998.

"Efficient Monte Carlo Estimation of Security Prices" (with Peter Glynn), Annals of Applied Probability 1995, Volume 5: 897-905.

"Simulated Moments Estimation of Markov Models of Asset Prices" (with Ken Singleton), Econometrica 1993, Volume 61: 929-952, reprinted in Financial Econometrics, edited by Andrew Lo (Camberly, U.K.: Edward Elgar). The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"From Discrete to Continuous Time Finance: Weak Convergence of the Financial Gain Process" (with Philip Protter), Mathematical Finance 1992, Volume 2: pp. 1-16. The publication is available at www.onlinelibrary.wiley.com.

"Predictable Representation of Martingale Spaces and Changes of Probability Measure,'' Séminaires de Probabilité XIX 1985, edited by J. Azéma and M. Yor, Lecture Notes in Mathematics Number 1123, Springer-Verlag: Berin, pp. 278-285.

"Price Operators: Extensions, Potentials, and the Markov Valuation of Securities,'' Research Paper No. 813, Graduate School of Business, Stanford University, July, 1985.  

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