Papers
Available for Download:
Interest Rate Derivatives
Using
Hull-White Interest Rate Trees,
Journal
of Derivatives, Vol. 3, No. 3, (Spring 1996), pp. 26-36 (with
The General
Hull-White Model and SuperCalibration
Financial
Analysts Journal, 57, 6, (Nov-Dec) 2001 (with
Forward
Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR
Market Model,
Journal
of Fixed Income, Vol. 10, No. 3 (Sept 2000), pp 46-62
(with
Value at Risk
Value
at Risk When Daily Changes are Not Normally Distributed,
Journal
of Derivatives, Vol. 5, No. 3, (Spring 1998), pp. 9-19 (with
Incorporating
Volatility Updating into Value at Risk Calculations,
Journal
of Derivatives, Vol. 6, No. 1, (Fall 1998), pp. 5-19 (with
Model Risk and Volatility Surfaces
A Methodology for Assessing Model Risk and its
Application to the Implied Volatility Function Model,
Journal
of Financial and Quantitative Analysis, Vol. 37, No. 2, (June 2002), pp 297-318 (with Wulin Suo)
Volatility Surfaces: Theory, Rules of Thumb,
and Empirical Evidence
Quantitative
Finance, 7, 5 (October 2007), pp 507-524 (with Toby Daglish and Wulin Suo)
Employee Stock Options
How to Value Employee Stock Options
Financial
Analysts Journal, Vol. 60, No. 1, January/February 2004, 114-119 (with
Accounting for Employee Stock Options: A
Practical Approach to Handling the Valuation Issues:
Journal
of Derivatives Accounting, Vol. 1, No. 1 (2004), pp
3-9. (with Alan White)
Credit Risk and Credit Derivatives
Valuing Credit Default Swaps I: No Counterparty Default
Risk,.
Journal
of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40 (with
Valuing Credit Default Swaps II: Modeling Default
Correlations,
Journal
of Derivatives, Vol. 8, No. 3, (Spring 2001), pp. 12-22 (with
The Valuation of Credit Default Swap
Options
Journal
of Derivatives, 10, 3 (Spring 2003) pp. 40-50 (with
The Relationship Between
Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
Journal
of Banking and Finance, 28 (Nov. 2004) pp 2789-2811
(with
Merton's Model, Credit Risk, and
Volatility Skews
Journal
of Credit Risk Vol 1, No 1 (2004) pp
1-27 (with Izzy Nelken and
Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation
Journal
of Derivatives,12, 2 (Winter 2004) pp 8-23 (with
Bond Prices, Default Probabilities, and Risk Premiums
Journal
of Credit Risk, Vol 1, No. 2 (Spring 2005), 53-60
(with Mirela Predescu and
Alan White)
The Valuation of Correlation-Dependent Credit
Derivatives Using a Structural Model
Journal of Credit Risk, 6, 3 (Fall 2010), 99-132 (with Mirela
Predescu and Alan White)
Valuing Credit Derivatives Using an Implied
Copula Approach
Journal
of Derivatives, 14, 2 (Winter 2006) pp 8-28 (with
Dynamic Models of Portfolio Credit Risk: A Simplified
Approach
Journal
of Derivatives, 15, 4 (Summer 2008) pp 9-28 (with
Alan White)
Forward and European Options on CDO Tranches
Journal
of Credit Risk, Vol 3, No 2 (Summer 2007), 63-73
(with
An Improved Implied Copula Model and its Application to
the Valuation of Bespoke CDO Tranches
Journal
of Investment Management, 8, 3 (2010), 11-31 (with Alan White)
The Credit Crunch of 2007: What Went Wrong? Why? What
Lessons Can Be Learned
Journal
of Credit Risk, 5, 2 (2009), 3-18.
The Risk of Tranches Created from Mortgages
Financial
Analysts Journal, 66, 5 (Sept/Oct 2010), 54-67
(with Alan White)
OTC Derivatives and Central Clearing: Can All Transactions
Be Cleared
Financial
Stability Review, 14 (July 2010), pp 71-80
Ratings Arbitrage and Structured Products
Working
Paper, University of Toronto (with Alan White)
Forthcoming,
Financial Analysts Journal ( with Alan White)
LIBOR vs. OIS: The Derivatives Discounting Dilemma
Working Paper. University of Toronto (with Alan White)