Refereed Academic Journal Publications
"Trading Activity and Bid-Ask Spreads of Individual Equity Options" (with Jinguo Zheng), Journal of Banking and Finance. Vol 34, No 12, 2010. Download(PDF)
"Valuation of Housing Index Derivatives" (with Melanie Cao), Journal of Futures Markets. Vol 30, No 7, 2010. Download(PDF)
"Option Market Liquidity: Commonality and Other Characteristics" (with Melanie Cao), Journal of Financial Markets. Vol 13, No 1, 2010. Download(PDF)
"Systematic Risk and the Price Structure of Individual Equity Options" (with Jin-Chuan Duan), Review of Financial Studies. Vol 22, No 5, 2009 Download(PDF)
"Incentive Stocks and Options with Trading Restrictions - Not as Restricted as We Thought" (with Melanie Cao), Research in Finance. Vol 24, 2008. Download(PDF)
"Corporate Yield Spreads and Bond Liquidity" (with Long Chen and David Lesmond), Journal of Finance. Vol 61, No. 1, 2007. Download(PDF)
"An Expanded Study on the Stock Market Temperature Anomaly" (with Melanie Cao), Research in Finance. Vol 22, 2005. Download(PDF)
"Price Hedging with Local and Aggregate Quantity Risk" (with Jouahn Nam and Alan Tucker), Journal of Derivatives. Vol 13, No 2, 2005. Download(PDF)
"Credit Default Swaptions" (with Alan Tucker), Journal of Fixed Income. Vol 15, No. 1, 2005. Download(PDF)
"Stock Market Returns: A Note on Temperature Anomaly" (with Melanie Cao), Journal of Banking and Finance. Vol 29, No. 6, 2005. Download(PDF)
"Executive Stock Options and Incentive Effects due to Systematic Risk" (with Jin-Chuan Duan), Journal of Banking and Finance. Vol 29, No. 5, 2005. Download(PDF)
"Deposit Insurance and Forbearance under Moral Hazard" (with Jacky So), Journal of Risk and Insurance. Vol 71, No. 4, 2004. Download(PDF)
"Weather Derivatives Valuation and Market Price of Weather Risk" (with Melanie Cao), Journal of Futures Markets. Vol 24, No. 11, 2004. Download paper(PDF)
"Precipitation Modeling and Contract Valuation: a Frontier in Weather Derivatives" (with Melanie Cao and Anlong Li), Journal of Alternative Investments. Vol 7, No. 2, 2004. Download(PDF)
"Watching the Weather Report" (with Melanie Cao and Anlong Li), Canadian Investment Review. Vol 17, No. 2, 2004. Download(PDF)
"A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads", Journal of International Money and Finance . Vol 23, 2003. Download(PDF)
“Credit Gadgets" (with Jouahn Nam and Alan Tucker), Journal of Fixed Income, Vol 12, No. 4, 2003. Download(PDF)
"Uncovering Sector Momentums" (with Melanie Cao), Canadian Investment Review, Vol 15, No. 4, 2002. Download(PDF)
"Rating- and firm value-based valuation of credit swaps", Journal of Fixed Income, Vol 11, No. 2, 2001. Download(PDF)
"Finding Generators for Markov Chains Via Empirical Transition Matrices, With Applications to Credit Ratings" (with R. Israel and J. Rosenthal), Mathematical Finance, Vol 11, No. 2, 2001. Download(PDF)
"Vulnerable Options, Risky Corporate Bonds and Credit Spread" (with Melanie Cao), Journal of Futures Markets Vol 21, Issue 4, 2001. Download(PDF)
"Pricing Foreign Currency and Cross-Currency Options Under GARCH" (with Jin-Chuan Duan), Journal of Derivatives, Vol 7. No 1, 1999. Download(PDF)
"Forbearance, Deposit Insurance and the Market Value of the Savings and Loan Association" (with Jacky So), Advances in Financial Planning and Forecasting, Vol 8, 1998. Download(PDF)
“Valuation of Barrier Options by Interpolation? Journal of Derivatives, Vol 6, No. 1, 1998. Download(PDF)
"A Study on the Efficiency of the Market for Dutch Long Term Call Options" (with Frans de Roon and Chris Veld), European Journal of Finance, Vol 4, 1998. Download(PDF)
"Valuation of LIBOR-Contingent FX Options" (with Alan Tucker), Journal of International Money and Finance, Vol 17, No. 2, 1998. Download(PDF)
“Volatility Forecasting and the Efficiency of the TSE 35 Index Options Market?(with Craig Doidge), Canadian Journal of Administrative Sciences, Vol 15, No. 1, 1998. Download(PDF)
"Conditions for No Triangular Arbitrage with Transaction Costs: A Pedagogical Note? Journal of Education for Business, Vol 73, No. 1, 1997. Download(PDF)
“The Range of Brownian Motion Processes: Density Functions and Derivative Pricing Applications?(with Ken Sutrick, John Teall and Alan Tucker), Journal of Financial Engineering, Vol 6, No. 1, 1997. Download(PDF)
"A Simple Approach to Bond Option Pricing", Journal of Futures Markets, Vol. 17, No 2, 1997. Download(PDF)
“Power Currency Options?(with Alan Tucker), Global Finance Journal, Vol. 8, No. 2, 1997. Download(PDF)
"The Latest RAnGE" (with Alan Tucker), Advances in Futures and Options Research, Vol. 9, 1997. Download(PDF)
"Cross-Currency Bond Option Pricing", Research in Finance, Vol 14, Summer 1996. Download(PDF)
"Empirical Tests of the Pricing of Nikkei Put Warrants", The Financial Review, Vol 30, No 2, 1995. Download(PDF)
"Pricing Options on Foreign Assets when Interest Rates are Stochastic", Advances in International Banking and Finance, Vol 1, 1995. Download(PDF)
"Valuing Differential Swaps", Journal of Derivatives, Spring 1994, Vol 1, No 3. Download(PDF)
"Upper Bounds for American Futures Options - A Note" (with Mohammed Chaudhury), Journal of Futures Markets, Vol 14, No 1, 1994. Download(PDF)
"Market Efficiency: Experiences with Nikkei Put Warrants", Canadian Journal of Administrative Sciences, 1994, 11(1). Download(PDF)
"Valuing American Equity Options with a Stochastic Interest Rate, a Note", Journal of Financial Engineering, June 1993, Vol 2, No 2. Download(PDF)
"Pricing Nikkei Put Warrants", Journal of Multinational Financial Management, November 1992, Vol 2, No 2. Download(PDF)
"Valuing a Takeover Contingent Foreign Exchange Call Option" (with J.A. Schnable), Advances in Futures and Options Research, August 1992, Volume 7. Download(PDF)
Practitioners Journal Publications
"Pricing the Weather", Risk, Vol 13, No 5, 2000 (with M. Cao).
"Streams of Consequence", Risk, Vol 7, No 1, 1994.
"Stochastic Process", Derivatives Week, July 1993, Vol II, No 28.
Chapters in Books
"Pricing the Weather" (with Melanie Cao), Exotic Options, the Cutting-edge Collection, 2003, edited by Alexander Lipton, Risk Books.
"Asset Pricing in Consumption Models: A Survey of the Literature", Information in Financial Asset Prices, Bank of Canada, 1999.
"Valuing Derivatives Linked to Foreign Assets", Frontiers in Derivatives, 1997, edited by Atsuo Konishi and Ravi E. Dattatreya, Irwin Professional Publishing.
"Streams of Consequence, The Role of Correlation in the Pricing of Differential Swaps", Chapter 36, Over the Rainbow ----- Developments in Exotic Options and Complex Swaps, 1995, edited by Robert Jarrow, Fuji Capital Markets Corporation.
