Publications:

• "When Does Strategic Debt-Service Matter?" (with Viral Acharya (LBS), Marti Subrahmanyam (NYU) and Rangarajan Sundaram (NYU)), Economic Theory, 2006, 363-378. | [PDF]
  • Previously circulated under "Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt"

• "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," (with Liuren Wu (Baruch College)), 2004. Journal of Finance, June | [PDF]

• "Structural Models of Corporate Bond Pricing: An Empirical Analysis" (with Young Ho Eom (Yonsei) and Jean Helwege (Ohio State)), 2004. Review of Financial Studies, 17, 499-544. | [PDF]
  • Winner of the Best Paper Award in Fixed-Income at the Financial Management Association Meetings, October, 2001, Toronto

• ``Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes" (with Weipeng Kong (Penn State)), Journal of Derivatives, vol. 11. no. 1, 30-44, 2003. | [PDF] | [longer version]

• "A Note on Forward Price and Forward Measure" (with Ren-Raw Chen (Rutgers)), 2002. Review of Quantitative Finance and Accounting, 19, 261-272.

• "The Valuation of American Barrier Options Using the Decomposition Technique" (with Bin Gao (UNC) and Marti Subrahmanyam (NYU)), Journal of Economic Dynamics and Control, vol. 24, pp. 1783-1827, 2000. | [PDF]

• "Pricing and Hedging American Options: A Recursive Integration Method" (with Marti Subrahmanyam (NYU) and George Yu (Goldman Sachs)), Review of Financial Studies, vol.9, pp. 277-300, 1996. [PDF]
  • Winner of the best paper award at the 1995 NTU International Conference on Finance in Taiwan
  • Reprinted in Quantitative Analysis in Financial Markets ed. M. Avellaneda, World Scientific Publishing Co., 1999.

• "Dimension of Strange Attractors in Four-dimensional Maps," (with Kwok Yeung Tsang and James Hanson (Auburn)), Physics Letters A, 1990, 147, pp. 269-274.

Selected Working Papers:

• "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" (with Ming Huang (Stanford)), 2003. | [PDF]
  • To be presented at the WFA in June, 2003

• ``An Econometric Model of Credit Spreads with Rebalancing, ARCH, and Jump Effects," (with Herman Bierens (Penn State) and Weipeng Kong (Penn State)), 2003 | [PDF]
  • To be presented at the Cornell's Annual Derivatives Conference in April, 2003
  • To be presented at the Econometric Society Summer Meetings in June, 2003
  • To be presented at the European Finance Assoc. Meetings in August, 2003

• ``A Model of the Optimal Capital Structure with Stochastic Interest Rates" (with Nengjiu Ju (Maryland) and Hui Ou-Yang (Duke)), 2003.
  (under revision for resubmission to Management Science) | [PDF]

• "Credit Spread Bounds and Their Implications for Credit Risk Modeling" (with Ren-Raw Chen (Rutgers)), 2000; revised June 2002. | [PDF]

• "Factor Analysis and Mean-Variance Spanning of Option Returns" (with Dong Hyun Ahn (UNC) and Charles Cao (Penn State)), 1999

• "The Option to Default and Optimal Debt Service," 1997