Term Structure Modeling
"Across-the-Curve Credit Spread Indices," with Antje Berndt and Yichao Zhu, Financial Markets, Institutions and Instruments, forthcoming.
"Notes on LIBOR Conversion," Graduate School of Business, Stanford University, January, 2018.
"What to do about Libor?" Risk, April 24, 2017.
"The Covered Interest Parity Conundrum," Risk, March 27, 2017.
"Funding Value Adjustment," (with Leif Andersen and Yang Song), Working Paper, Graduate School of Business, Stanford University, March 2016.
"Credit Risk Modeling with Affine Processes,'' Cattedra Galileana Lectures, Scuola Normale, Pisa, April, 2002, Journal of Banking and Finance 2005, Volume 29: 2751-2802.
"Affine Processes and Applications in Finance'' (with Damir Filipovic and Walter Schachermayer), Annals of Applied Probability 2003, Volume 13: 984-1053.
"Modeling Term Structures of Defaultable Bonds" (with Ken Singleton), Review of Financial Studies 1999, Volume 12: 687-720, Winner, Smith-Breeden Award.
"Defaultable Term Structure Models with Fractional Recovery of Par," Graduate School of Business, Stanford University, August, 1998.
"An Econometric Model of the Term Structure of Interest Rate Swap Yields" (with Ken Singleton), Journal of Finance 1997, Volume 52: 1287-1323, Winner, Smith-Breeden Award.
"A Yield-Factor Model of Interest Rates" (with Rui Kan), Mathematical Finance 1996, Volume 6: 379-406. The publication is available at www.onlinelibrary.wiley.com.
"Multi-Factor Interest Rate Models'' (with Rui Kan), Philosophical Transactions of The Royal Society, Series A, Volume 347: 577-586, reprinted in Mathemtical Models in Finance, Chapman and Hall, 1995.