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
Working Paper,
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
Forthcoming,
Journal of Investment Management (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 Residential Mortgages
Working
Paper, University of Toronto (with Alan White)