PUBLICATIONS:
“Information Content of Cross-Sectional Option Prices: a Comparison of Alternative Currency Option Pricing Models on the Japanese Yen", The Journal of Futures Markets,Vol. 26 (1), pp 33-59, 2006. [pdf]
“The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia” (with Prasad Bidarkota), Journal of Economic Dynamics and Control,Vol. 31 (3), pp 887-905, 2007. [pdf]
"Intrinsic Bubbles and Fat Tails in Stock Prices: A Note" (with Prasad Bidarkota), Macroeconomic Dynamics, Vol. 11 (3), pp 405-422, 2007. [pdf]
“Fundamental Capital Valuation for IT Companies: a Real Options Approach” (with Arun Prakash and Chung Baek), Frontiers in Finance and Economics,Vol. 5 (1), 2008. [pdf]
“Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (20), pp 1635-1646, 2008. [pdf]
“Effect of intervalling and skewness on portfolio selection in developed and developing markets” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (21), pp 1697-1707, 2008. [pdf]
“A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation” (with Robert Daigler and Ann Marie Hibbert), Journal of Banking and Finance,Vol. 32 (10), pp 2254-2266, 2008. [pdf]
“Asset Pricing with Incomplete Information and Fat Tails” (with Prasad Bidarkota and J. Huston McCulloch), Journal of Economic Dynamics and Control, Vol. 33 (6), pp 1314-1331, 2009. [pdf]
“Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets” (with Rudolf Fiebig and David Musgrove), Forthcoming in Physica A. [pdf]
WORKING PAPERS:
"Asset Pricing with Incomplete Information in a Discrete-Time Pure Exchange Economy", with Prasad Bidarkota. [pdf]
“Developing and Testing a Pricing Model for Volatility Futures”, with Robert Daigler and Zhiyao Chen. [pdf]
"Asset Risk, Finance Leverage and Equity Returns", with Douglas Rolph. [pdf]
PERMANENT WORKING PAPER:
"Asymmetric Jump Processes: Option Pricing Implications" [pdf]