BOOKS

  1. "Data Science: Theories, Models, Algorithms, and Analytics" (web book -- work in progress) Read here.
  2. "Derivatives: Principles and Practice" (2010), (Rangarajan Sundaram and Sanjiv Das), McGraw Hill. [Amazon] [BarnesNoble]

REFEREED JOURNAL PUBLICATIONS

  1. "Did CDS Trading Improve the Market for Corporate Bonds?" (with Madhu Kalimipalli and Subhankar Nayak), (2014), Journal of Financial Economics 111, 495-525. [PDF]
    [The inception of CDS trading in a reference name renders its bonds less efficient, with no improvement in market quality or liquidity]
  2. "Strategic Loan Modification: An Options-Based Response to Strategic Default," (with Ray Meadows), (2013), Journal of Banking and Finance 37, 636-647. [PDF]
    [A closed-form solution for mortgage debt with default and optimal loan modificatoin thereon.]
  3. "Options and Structured Products in Behavioral Portfolios," (with Meir Statman), (2013), Journal of Economic Dynamics and Control, 37(1), 137-153. [PDF]
    [Explores the roles in behavioral portfolios of option collars, capital guaranteed notes, and barrier range notes, in the presence of fat-tailed outcomes using copulas. ]
  4. "The Principal Principle," (2012), Journal of Financial and QuantitativeAnalysis, 47(6), 1215-1246. [PDF]
    [Optimal approaches for mortgage loan modification. Principal reduction is optimal, and better than rate reductions, maturity extensions, and principal forebearance. Shared-appreciation mortgages solve moral hazard.]
  5. "Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study," (2011), (with Douglas Burdick, Mauricio A. Hernández, Howard Ho, Georgia Koutrika, Rajasekar Krishnamurthy, Lucian Popa, Ioana Stanoi, Shivakumar Vaithyanathan), IEEE Data Engineering Bulletin, 34(3), 60-67. [PDF older version] [PDF final version]
  6. "Polishing Diamonds in the Rough: The Sources of Syndicated Venture Performance," (2011), (with Hoje Jo and Yongtae Kim), Journal of Financial Intermediation 20(2), 199--230. [PDF]
    [Syndicate-financed firms fare better---higher return multiples come from better selection, but time-to-exit and likelihood of exit are better on accont of superior monitoring by the syndicate.]
  7. "Portfolio Optimization with Mental Accounts," (2010), (with Harry Markowitz, Jonathan Scheid, and Meir Statman), Journal of Financial and Quantitative Analysis, v45(2), 311-334. [PDF (copyright: Cambridge University Press)]
    [Mean-variance optimization is reconciled with behavioral porfolio theory. Mental accounts optimization leads to better aggregate portfolios.]
  8. "The Long and Short of it: Why are stocks with shorter run-lengths preferred?" (2010), (with Priya Raghubir), Journal of Consumer Research. 36(6), 964-982. [PDF], [Non-technical summary]
    [People responding to stock charts are systematically biased against stocks with longer run lengths, even if these stocks are no riskier than those with shorter runs.]
  9. "Run Lengths and Liquidity," (with Paul Hanouna), (2010), Annals of Operations Resarch, Special Issue on Risk and Uncertainty, 176(1), 127-152. [PDF]
    [The run signature of a stock is shown to be mathematically related to liquidity. Runs are priced factors. ]
  10. "Implied Recovery,'' (with Paul Hanouna), (2009), Journal of Economic Dynamics and Control, 33(11), 1837-1857. [PDF]
    [How to use the term structure of CDS spreads to jointly identify the term structures of forward default probability and recovery rates. ]
  11. "Accounting-based versus market-based cross-sectional models of CDS spreads," (with Paul Hanouna and Atulya Sarin), (2009), Journal of Banking and Finance, 33, 719-730. [PDF]
    [Accounting models explain spreads as well as market-based ones, but a hybrid mix does best.]
  12. "Hedging Credit: Equity Liquidity Matters," (with Paul Hanouna), (2009), Journal of Financial Intermediation, v18(1), 112-123 [PDF]
    [Hedging in CDS markets provides a mechanism by which equity market liquidity impacts CDS spreads ]
  13. "An Integrated Model for Hybrid Securities," (with Raghu Sundaram), (2007), Management Science, v53, 1439-1451. [PDF]
    [A general flexible model for pricing derivative securities that depend on equity, interest rate and credit risk, using observables. Delivers dynamic implied default probabilities.]
  14. "Yahoo for Amazon! Sentiment Extraction from Small Talk on the Web," (with Mike Chen), (2007), Management Science, v53, 1375-1388. [PDF]
    [A methodology for parsing internet stock chat to develop a sentiment index. Assesses whether small traders opinions contain information not in prices. ]
  15. "Common Failings: How Corporate Defaults are Correlated" (with Darrell Duffie, Nikunj Kapadia and Leandro Saita). (2007) Journal of Finance, v62, 93-117. [PDF]
    [New approach to test for defaul contagion using a stochastic time change. Doubly stochastic models are refuted by the data.]
  16. "A Clinical Study of Investor Discussion and Sentiment," (with Asis Martinez-Jerez and Peter Tufano), 2005, Financial Management, v34(5), 103-137. [PDF]
    [Examines the interaction of chat room information and news. ]
  17. "International Portfolio Choice with Systemic Risk," (with Raman Uppal), 2004, Journal of Finance, v59(6), 2809-2834. [PDF]
    [A model for portfolio optimization with systemic risk. The loss resulting from diminished diversification is small, while that from holding very highly levered positions is large. ]
  18. "Fee Speech: Signaling, Risk-sharing and the Impact of Fee Structures on Investor Welfare,'' (with Rangarajan Sundaram), 2002, Review of Financial Studies, v15, 1465-1497. [PDF]
    [Compares fulcrum vs incentive fees structures from the standpoint of investor welfare. Contrary to regulatory intuition, incentive structures are often optimal.]
  19. "A Discrete-Time Approach to No-arbitrage Pricing of Credit derivatives with Rating Transitions," (with Viral Acharya and Rangarajan Sundaram), 2002, Financial Analysts Journal, May-June, 28-44. [PDF]
    [A HJM type two-factor model in risk free rates and spreads that also accounts for rating transitions, allowing seamless pricing of many credit derivatives. ]
  20. "The Surprise Element: Jumps in Interest Rates", 2002, Journal of Econometrics, v106, 27-65. [PDF]
    [Estimation methodology for interest rates with jumps. A flexible specification that accommodates Federal Reserve Activity.]
  21. "Pricing Interest Rate Derivatives: A General Approach,''(with George Chacko), 2002, Review of Financial Studies, v15(1), 195-241. [PDF]
    [General affine option pricing for interest rate derivatives covering a wide range of securities, allowing for M factors with N diffusions and L jumps.]
  22. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives,'' (with Rangarajan Sundaram), 2000, Management Science, v46(1), 46-62. [PS]
    [HJM style two factor model for credit risk. ]
  23. "The Psychology of Financial Decision Making: A Case for Theory-Driven Experimental Enquiry,'' 1999, (with Priya Raghubir), Financial Analyst's Journal, Nov-Dec 1999, v55(6), 56-79.
    [Surveys the anomalies literature in Finance and shows how experimental studies may be used to disentangle competing hypotheses for the same anomaly.]
  24. "Of Smiles and Smirks: A Term Structure Perspective,'' 1999, (with Rangarajan Sundaram), Journal of Financial and Quantitative Analysis, v34(2), 211-240. [PDF]
    [Explains how the shape of the volatility smile is determined by jumps and stochastic volatility. ]
  25. "A Theory of Banking Structure," 1999, (with Ashish Nanda), Journal of Banking and Finance, v23(6), 863-895.
    [A theory to analyze the specialization of banking activities based by function based upon two dimensions: the degree of information asymmetry and the degree of verifiability of the value of the service rendered. ]
  26. "A Theory of Optimal Timing and Selectivity,'' (with George Chacko), 1999, Journal of Economic Dynamics and Control, v23(7), 929-966.
    [Dynamic optimal portfolio choice model for determining optimal effort allocation to timing and stock selection in asset allocation.]
  27. "A Direct Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," 1999, Journal of Economic Dynamics and Control, v23(3), 333-369.
    [HJM tree with jumps. Fast, fully recombining dynamics. ]
  28. "The Central Tendency: A Second Factor in Bond Yields," 1998, (with Silverio Foresi and Pierluigi Balduzzi), The Review of Economics and Statistics, v80(1), 60-72.
    [Model of the term structure with stochastic long-run mean. Related to Federal Reserve acitivity.] [PDF]
  29. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," (with Edwin Elton, Martin Gruber and Matt Hlavka), Review of Financial Studies, vol. 6(1), 1993, pp 1-22. [PDF]
    [Mutual funds are not informationally efficient. You are better off buying the index.]
    Presented and Reprinted in the Proceedings of The Seminar on the Analysis of Security Prices at the Center for Research in Security Prices at the University of Chicago, Graduate School of Business.
  30. MORE REFEREED JOURNAL PUBLICATIONS

  31. "Coming up Short: Managing Underfunded Portfolios in an LDI-ES Framework" (2014), (with Seoyoung Kim and Meir Statman), forthcoming Journal of Portfolio Management. [PDF]
    [Provides a new definition of underfunded portfolios, and compares four remedies for underfunding.]
  32. "Going for Broke: Restructuring Distressed Debt Portfolios" (2014), (with Seoyoung Kim), forthcoming Journal of Fixed Income, [PDF]
    [Optimizing portfolios where the return distributions of the assets is endogenous. The gains from restructuring distressed debt portfolios are large.]
  33. "Digital Portfolios." (2013), Journal of Portfolio Management, v39(2), 41-48. [PDF]
    [Constructing portfolios of assets with a binary payoff, large versus zero, and the differences in this optimization versus standard mean-variance portfolio construction.]
  34. "Options on Portfolios with Higher-Order Moments," (2009), (with Rishabh Bhandari), Finance Research Letters, v6, 122-129. [PDF]
    [How to model fat-tailed portfolio distributions for options on a multivariate system of assets, calibrated to the return means, covariance matrix, coskewness and cokurtosis tensors.]
  35. "Dealing with Dimension: Option Pricing on Factor Trees," (2009), (with Brian Granger), Journal of Investment Management, 7(2), 73-85. [PDF]
    [Multifactor representations of securities on high-dimensional trees. Allows you to price options on multiple assets in a unified fraamework. Computational results assess using multithreading.]
  36. "Modeling Correlated Default with a Forest of Binomial Trees," (2007), (with Santhosh Bandreddi and Rong Fan), Journal of Fixed Income. Winter, 1-20. [PDF]
    [Extends the Das-Sundaram hybrid securities model to correlated default modeling. ]
  37. "Basel II: Correlation Related Issues" (2007), Journal of Financial Services Research, v32, 17-38. [PDF]
    [Analysis of correlation related issues arising in the implementation of the Basel II accord.]
  38. "Correlated Default Risk," (2006), (with Laurence Freed, Gary Geng, and Nikunj Kapadia), Journal of Fixed Income, Fall 2006, 7-32. [PDF]
    [Empirical evidence on the nature of credit correlations. Correlations increase as markets worsen. Regime switching models are needed to explain dynamic correlations.]
  39. "A Simple Model for Pricing Equity Options with Markov Switching State Variables" (2006), (with Donald Aingworth and Rajeev Motwani), Quantitative Finance, v6(2), 95-105. [PDF]
    [A tree model for options when the underlying has regime switches.]
  40. "The Firm's Management of Social Interactions," (2005) (with D. Godes, D. Mayzlin, Y. Chen, S. Das, C. Dellarocas, B. Pfeieffer, B. Libai, S. Sen, M. Shi, and P. Verlegh). Marketing Letters, v16, 415-428.╩
    [A framework for how word-of-mouth communication is modeled in the practice of marketing. ]
  41. "Financial Communities" (with Jacob Sisk), 2005, Journal of Portfolio Management, v31(4), Summer, 112-123. [PDF]
    [Applying graph theory to understanding investor networks to develop trading rules. ]
  42. "Monte Carlo Markov Chain Methods for Derivative Pricing and Risk Assessment,"(with Alistair Sinclair), 2005, Journal of Investment Management, v3(1), 29-44. [PDF]
    [Randomized algorithm using MCMC on very large option pricing trees where incomplete information about the value of an asset may be exploited to undertake fast and accurate pricing. Proof that a fully polynomial randomized approximation scheme (FPRAS) is available.]
  43. "Correlated Default Processes: A Criterion-Based Copula Approach," (with Gary Geng), 2004, Journal of Investment Management, v2(2), 44-70, Special Issue on Default Risk. [PDF]
    [Which copula and marginal distributions best describe default probability correlations? Develops models and methodology to answer this question. ]
  44. "Private Equity Returns: An Empirical Examination of the Exit of Venture-Backed Companies," (with Murali Jagannathan and Atulya Sarin), 2003, Journal of Investment Management, v1(1), 152-177. [PDF]
    [Gains from venture-backed investments depend upon the industry, the stage of the firm being financed, the valuation at the time of financing, and the prevailing market sentiment. Helps understand the risk premium required for the valuation of private equity investments ]
  45. "A Numerical Algorithm for Consumption/Investment Problems," (with Rangarajan Sundaram), 2002, International Journal of Intelligent Systems in Accounting, Finance and Management, (Special Issue on Computational Methods in Economics and Finance), December, 55-69. [PDF]
    [A simple regression approach to solving optimal consumption and portfolio problems wit diffusions and jumps.]
  46. "Bayesian Migration in Credit Ratings Based on Probabilities of Default," (with Rong Fan and Gary Geng), 2002, Journal of Fixed Income, December, v12(3), 17-23. [PDF]
    [Bayesian model for predicting rating changes based on the dynamics of default probabilities.]
  47. "The Impact of Correlated Default Risk on Credit Portfolios," (with Gifford Fong, and Gary Geng), 2001, Journal of Fixed Income, v11(3), 9-19.
    [The connection between credit portfolio loss distributions and credit correlations. ]
  48. "How Diversified are Internationally Diversified Portfolios: Time-Variation in the Covariances between International Returns," 1998, (with Raman Uppal), Canadian Investment Review, Spring, 7-11. [PDF]
    [Internation portfolio risk has systemic components. ]
  49. "Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes," 1997, Review of Derivatives Research, v1(3), 211-244.
    [Extends the finite-differencing approach for interest rate derivatives to jump processes.]
  50. "Macroeconomic Implications of Search Theory for the Labor Market," 1997, Applied Economics Letters, December, v4, 719-723.
    [Connects option pricing theory to labor search theory. Calibrates to labor market data.]
  51. "Auction Theory: A Summary with Applications and Evidence from the Treasury Markets," 1996, (with Rangarajan Sundaram), Financial Markets, Institutions and Instruments, v5(5), 1-36. [PDF]
    [A survey of models and literature on Treasury Auctions. ]
  52. "A Simple Approach to Three Factor Affine Models of the Term Structure," (with Pierluigi Balduzzi, Silverio Foresi and Rangarajan Sundaram), 1996, Journal of Fixed Income, v6(3), 43-53.
    [ An easy way to calibrate three factor models using method of moments. ]
  53. "Analytical Approximations of the Term Structure for Jump-diffusion Processes: A Numerical Analysis," 1996, (with Jamil Baz), Journal of Fixed Income, v6(1), 78-86.
    [An exact solution to an approximate PDE may be better than an approximate solution to an exact PDDE for term structure models. ]
  54. "Revisiting Markov Chain Term Structure Models: Extensions and Applications," 1996, Financial Practice and Education, v6(1), 33-45.
    [A new pedagogy for Markov models of interest rates. ]
  55. "Exact Solutions for Bond and Options Prices with Systematic Jump Risk," 1996, (with Silverio Foresi), Review of Derivatives Research, v1(1), 7-24. [PDF]
    [First paper to show that affine solutions exist for jump-diffusion term structure models.]
  56. "Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic," 1996, (with Peter Tufano), The Journal of Financial Engineering, v5(2), 161-198. [PDF]
    [Rating based model for credit derivatives with correlation between recovery rates, interest rates and default probabilities. ]
  57. "Credit Risk Derivatives," Journal of Derivatives, 1995, pg 7-21. [PDF]
    [Introduces early models for pricing credit derivatives as compound options. ]
  58. SHORTER ARTICLES and BOOK CHAPTERS (Mostly Non-refereed)

  59. "Portfolios for Investors Who Want to Reach Their Goals While Staying on the Mean-Variance Efficient Frontier," (2011), (with Harry Markowitz, Jonathan Scheid, and Meir Statman), Journal of Wealth Management, Fall, 14(2), 25-31.
    [A framework for goal driven mental accounting and behavioral portfolio allocation that extends mean-variance portfolios.]
  60. "News Analytics: Framework, Techniques and Metrics," The Handbook of News Analytics in Finance, May 2011, John Wiley & Sons, U.K. [PDF]
  61. "Random Lattices for Option Pricing Problems in Finance," (2011), Journal of Investment Management, 9(2), 88-106. [PDF]
  62. "Implementing Option Pricing Models using Python and Cython," (2010), (with Brian Granger), Journal of Investment Management, 9(4), 72-84 [PDF]
  63. "The Finance Web: Internet Information and Markets," (2010), IEEE Intelligent Systems, 25(2), Mar/Apr, 74--78.
  64. "Financial Applications with Parallel R," (2009), (with Brian Granger), Journal of Investment Management, 7(4), 66-77 [PDF]
  65. "Recovery Swaps," (2009), (with Paul Hanouna), Encyclopedia of Quantitative Finance, John Wiley and Sons, U.K., 1507--1509
  66. "Recovery Rates," (2009),(with Paul Hanouna), Encyclopedia of Quantitative Finance, John Wiley and Sons, U.K., 1505--1507
  67. ``A Simple Model for Pricing Securities with a Debt-Equity Linkage,'' 2008, in Innovations in Investment Management, Bloomberg Press, 85-112.
  68. "Credit Default Swap Spreads", 2006, (with Paul Hanouna), Journal of Investment Management, v4(3), 93-105.
  69. "Multiple-Core Processors for Finance Applications," 2006, Journal of Investment Management, v4(2), 76-81.
  70. "Power Laws," 2005, (with Jacob Sisk), Journal of Investment Management, v3(3), 84-91. [PDF]
  71. "Genetic Algorithms," 2005, Journal of Investment Management, v3(2), 77-82.
  72. "Recovery Risk," 2005, Journal of Investment Management, v3(1), 113-120.
  73. "Venture Capital Syndication", (with Hoje Jo and Yongtae Kim), 2004 Journal of Investment Management, v2(4), 132-143.
  74. "Technical Analysis", (with David Tien), 2004 Journal of Investment Management, v2(1), 79-85.
  75. "Liquidity and the Bond Markets, (with Jan Ericsson and Madhu Kalimipalli), 2003, Journal of Investment Management, v1(4), 95-103.
  76. "Modern Pricing of Interest Rate Derivatives - Book Review", 2004, Journal of Economic Literature, vXLII, 528-529.
  77. "Contagion", 2003, Journal of Investment Management, v1(3), 78-84.
  78. "Hedge Funds", 2003, Journal of Investment Management, v1(2), 76-81. Reprinted in "Working Papers on Hedge Funds," in The World of Hedge Funds: Characteristics and Analysis, 2005, World Scientific.
  79. "The Internet and Investors", 2003, Journal of Investment Management, v1(1), 213-217.
  80. "Useful things to know about Correlated Default Risk," (with Gifford Fong, Laurence Freed, Gary Geng, and Nikunj Kapadia), 2001,  Extra Credit, November-December, 14-23.
  81. "The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis,'' (with Rangarajan Sundaram), 1998, NBER WP No 6639, in the Courant Institute of Mathematical Sciences, special volume on Quantitative Analysis in Financial Markets, Volume III, 2001.
  82. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives,'' (with Rangarajan Sundaram), reprinted in the Courant Institute of Mathematical Sciences, special volume on Quantitative Analysis in Financial Markets, Volume III, 2001.
  83. "Stochastic Mean Models of the Term Structure,'' (with Pierluigi Balduzzi, Silverio Foresi and Rangarajan Sundaram), 2000, Advanced Fixed-Income Valuation Tools , edited by N. Jegadeesh and B. Tuckman, John Wiley & Sons, Inc., 128-161.
  84. "Interest Rate Modeling with Jump-Diffusion Processes,'' 2000, Advanced Fixed-Income Valuation Tools , edited by N. Jegadeesh and B. Tuckman, John Wiley & Sons, Inc., 162-189.
  85. Comments on 'Pricing Excess-of-Loss Reinsurance Contracts against Catastrophic Loss,' by J. David Cummins, C. Lewis, and Richard Phillips, in The Financing of Catastrophe Risk, Kenneth A Froot (Ed.), University of Chicago Press, 1999, 141-145.
  86. "Pricing Credit Derivatives,'' 1999, Handbook of Credit Derivatives, eds J. Francis, J. Frost and J.G. Whittaker, 101-138.
  87. "On the Recursive Implementation of Term Structure Models,'' 1998, Pecunia, The Netherlands, Summer 1998, 45-49.
  88. WORKING PAPERS

    1. "Liability Directed Investing in a Behavioral Portfolio Theory Framework (with Seoyoung Kim and Meir Statman), [PDF]
    2. "Credit Spreads with Dynamic Debt" (with Seoyoung Kim), [PDF]
    3. "The Fast and the Curious: VC Drift" (with Amit Bubna and Paul Hanouna), [PDF]
    4. "Venture Capital Communities" (with Amit Bubna and Nagpurnanand Prabhala), [PDF]
    5. "Designed for Failure? Risk-Return Tradeoffs and Risk Management of Structured Investment Vehicles," (with Seoyoung Kim), [PDF]
    6. "An Index-Based Measure of Liquidity,'' (with George Chacko and Rong Fan), [PDF]

    My page on SSRN (with downloadable papers) is here.