Sanjiv Das - Publications
BOOKS and MONOGRAPHS
"Data Science: Theories, Models, Algorithms, and Analytics" (web book -- work in progress)
Real-time web version (using R)
Data for the examples in the book
Real-time web version (WIP: using Python and R)
"Derivatives: Principles and Practice" (2010),
(Rangarajan Sundaram and Sanjiv Das), McGraw Hill.
"Deep Learning" (web book with Subir Varma -- work in progress)
Real-time web version
Real-time web version (WIP: using Python and R)
REFEREED JOURNAL PUBLICATIONS
"Dynamic Portfolio Allocation in Goals-Based Wealth Management", 2019
(with Dan Ostrov, Anand Radhakrishnan, and Deep Srivastav),
forthcoming, Computational Management Science.
[Goals-based wealth management implemented with dynamic programming
outperforms target date funds.]
"Zero-Revelation RegTech: Detecting Risk through
Linguistic Analysis of Corporate Emails and News", (2019),
(with Seoyoung Kim and Bhushan Kothari),
Journal of Financial Data Science, 2019, v1(2), 8-34.
Summary for the Columbia Law School blog:
[How a software system might detect early firm distress through
an anonymous reading of emails.]
"Dynamic Systemic Risk: Networks in Data Science", 2019, (with Seoyoung Kim
and Dan Ostrov), Journal of Financial Data Science, v1(1), 141-158.
[Extending the Merton default risk model to systemic risk on networks.]
"Venture Capital Communities" (with Amit Bubna and Nagpurnanand Prabhala),
forthcoming, Journal of Financial and Quantitative Analysis.
[VCs work in communities and do better for startup firms.]
"The Fast and the Curious: VC Drift" (2018), forthcoming,
(with Amit Bubna and Paul Hanouna).
Journal of Financial Services Research.
[VCs who evidence style drift underperform those who do not.]
"A New Approach to Goals-Based Wealth Management" (2018),
(with Dan Ostrov, Anand Radhakrishnan, Deep Srivastav),
Journal of Investment Management, v16(3), 1-27.
[New framework and mathematics for implementing goals-based wealth management,
where risk is redefined as the likelihood of not meeting one's goals. Winner of the Harry Markowitz Award for Best Paper.]
"Local Volatility and the Recovery Rate of Credit Default Swaps", 2018,
(with Jeroen Jansen and Frank Fabozzi).
Journal of Economic Dynamics and Control, v92, 1-29.
[Implied recovery rates on default using information from the CDS markets and the volatility surface.]
"Research Challenges in Financial Data Modeling and Analysis" 2017,
(with Lewis Alexander, Zachary Ives, H.V. Jagadish, and Claire Monteleoni).
Big Data, v5(3), 177-188.
[The paper reviews the significant research challenges to be addressed, and progress made, in the cleaning, transformation, integration, modeling, and analytics of Big Data sources for finance. ]
"An Index-Based Measure of Liquidity,'' 2016, (with George Chacko and Rong Fan).
Journal of Banking and Finance, 68, 162-178.
[ Develops a new measure of liquidity for all sectors of the markets using ETFs.
RFinance Best Paper Award, May 2016. This paper won the S&P SPIVA 2012 Award for innovation of an index.]
"Matrix Metrics: Network-Based Systemic Risk Scoring", (2016).
Journal of Alternative Investments, Special Issue on Systemic Risk, v18(4), 33-51.
[A new approach to identifying system-wide financial risk, SIFIs, and several other measures of systemic risk. This paper won the First Prize in the MIT-CFP competition 2016 for the best paper on SIFIs (systemically important financial institutions).
It also won the best paper award at
the R Finance conference, Chicago 2015. ]
"Credit Spreads with Dynamic Debt" (with Seoyoung Kim), (2015),
Journal of Banking and Finance, v50, 121-140.
[Extends the Merton risky debt model from static debt to dynamic debt
and generates credit spread term structures that are closer to those in the data. Won the National Stock Exchange of India Best Paper Award, at the Center for Analytic Finance Conference, ISB, Hyderabad]
"Text and Context: Language Analytics for Finance", (2014),
Foundations and Trends in Finance, v8(3), 145-260.
[A comprehensive survey of comcepts, tools, techniques, and empirical
literature on textual processing in finance.]
- "Did CDS Trading Improve
the Market for Corporate Bonds?" (with Madhu Kalimipalli and Subhankar Nayak), (2014),
Journal of Financial Economics 111, 495-525.
[The inception of CDS trading in a reference name renders its bonds less efficient, with no improvement in market quality or liquidity]
"Strategic Loan Modification: An Options-Based Response to Strategic Default,"
(with Ray Meadows), (2013), Journal of Banking and Finance 37, 636-647.
[A closed-form solution for mortgage debt with default and optimal loan modificatoin thereon.]
"Options and Structured Products in Behavioral Portfolios," (with Meir Statman), (2013),
Journal of Economic Dynamics and Control, 37(1), 137-153.
[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.
"The Principal Principle," (2012), Journal of Financial and Quantitative Analysis, 47(6), 1215-1246.
[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.]
"Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study,"
(2011), (with Douglas Burdick, Mauricio A. Hernandez, Howard Ho, Georgia Koutrika,
Rajasekar Krishnamurthy, Lucian Popa, Ioana Stanoi, Shivakumar Vaithyanathan),
IEEE Data Engineering Bulletin, 34(3), 60-67.
[Financial forensics using big financial data from public sources.]
"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.
[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.]
Optimization with Mental Accounts," (2010), (with Harry Markowitz, Jonathan
Scheid, and Meir Statman), Journal of Financial and Quantitative
Analysis, v45(2), 311-334.
[Correction of typo in the paper].
[Mean-variance optimization is reconciled with behavioral porfolio theory. Mental
accounts optimization leads to better aggregate portfolios.]
"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.
[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.]
"Run Lengths and Liquidity," (with Paul Hanouna), (2010),
Annals of Operations Resarch, Special Issue on Risk and Uncertainty, 176(1), 127-152.
[The run signature of a stock is shown to be mathematically related to liquidity. Runs are
priced factors. ]
"Implied Recovery,'' (with Paul Hanouna), (2009),
Journal of Economic Dynamics and Control, 33(11), 1837-1857.
[How to use the term structure of CDS spreads to jointly identify the term structures of forward default probability and recovery rates. ]
"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.
[Accounting models explain spreads as well as market-based ones, but a hybrid mix does best.]
"Hedging Credit: Equity Liquidity Matters," (with Paul Hanouna), (2009),
Journal of Financial Intermediation, v18(1), 112-123.
[Hedging in CDS markets provides a mechanism by which equity market liquidity impacts CDS spreads ]
"An Integrated Model for Hybrid Securities,"
(with Raghu Sundaram), (2007), Management Science, v53, 1439-1451.
[A general flexible model for pricing derivative securities that depend on equity,
interest rate and credit risk, using observables. Delivers dynamic implied default probabilities.]
"Yahoo for Amazon! Sentiment Extraction from Small Talk on the Web,"
(with Mike Chen), (2007), Management Science, v53, 1375-1388.
[A methodology for parsing internet stock chat to develop a sentiment index. Assesses
whether small traders opinions contain information not in prices. ]
"Common Failings: How Corporate Defaults are Correlated"
(with Darrell Duffie, Nikunj Kapadia and Leandro Saita).
(2007) Journal of Finance, v62, 93-117.
[New approach to test for defaul contagion using a stochastic time change.
Doubly stochastic models are refuted by the data.]
"eInformation: A Clinical Study of Investor Discussion and Sentiment,"
(with Asis Martinez-Jerez and Peter Tufano), 2005,
Financial Management, v34(5), 103-137.
[Examines the interaction of chat room information and news. ]
"Systemic Risk and International Portfolio Choice,"
(with Raman Uppal), 2004, Journal of Finance, v59(6), 2809-2834.
[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. ]
Speech: Signaling, Risk-sharing and the Impact of Fee Structures on
Investor Welfare,'' (with Rangarajan Sundaram), 2002, Review of
Financial Studies, v15, 1465-1497.
[Compares fulcrum vs incentive fees structures from the standpoint of
investor welfare. Contrary to regulatory intuition, incentive structures
are often optimal.]
"Pricing Credit derivatives with Rating Transitions,"
(with Viral Acharya and Rangarajan Sundaram), 2002,
Financial Analysts Journal, May-June, 28-44.
[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. ]
"The Surprise Element: Jumps in Interest Rates", 2002, Journal of
Econometrics, v106, 27-65.
[Estimation methodology for interest rates with jumps. A flexible
specification that accommodates Federal Reserve Activity.]
"Pricing Interest Rate Derivatives: A General Approach,''(with George Chacko),
2002, Review of Financial Studies, v15(1), 195-241.
[General affine option pricing for interest rate derivatives covering a
wide range of securities, allowing for M factors with N diffusions and L jumps.]
"A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives,''
(with Rangarajan Sundaram), 2000, Management Science, v46(1), 46-62.
[HJM style two factor model for credit risk. ]
"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.]
"Of Smiles and Smirks: A Term Structure Perspective,''
1999, (with Rangarajan Sundaram), Journal of
Financial and Quantitative Analysis, v34(2), 211-240.
[Explains how the shape of the volatility smile is determined by
jumps and stochastic volatility. ]
"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. ]
"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.]
"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. ]
"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.]
"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.
[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.
MORE REFEREED JOURNAL PUBLICATIONS
"Are Markets Truly Efficient? Experiments using Deep Learning Algorithms for Market Movement Prediction", 2018,
(with Karthik Mokashi and Robbie Culkin).
Algorithms, v11, 138, doi:10.3390/a11090138.
[Correction, updated programs and data.].
[How to use Deep Learning to undertake a large-scale test of efficiency of the stock index.]
"Efficient Rebalancing of Taxable Portfolios" (2017),
(with Dan Ostrov, Dennis Ding, Vincent Newell), Journal of Investment Strategies, v7(1), 1-40.
[An efficient numerical algorithm for tax-efficient portfolio rebalancing while
carrying the entire cost basis, for long horizons.]
"Managing Rollover Risk with Capital Structure Covenants
in Structured Finance Vehicles" (2017),
(with Seoyoung Kim), Journal of Fixed Income, 26(4), 92-112.
[We propose a covenant-based capital structure that mitigates rollover problems in SIVs and is Pareto-improving for equity and debt holders in the SPV.]
"The Design and Risk Management of Structured Finance Vehicles" (2016),
(with Seoyoung Kim), Journal of Risk and Financial Management,
Special Issue on Credit Risk, 1-12. doi:10.3390/jrfm9040012
[Risk management for special investment vehicles is difficult, but necessary.
Post the recent subprime financial crisis, we inform the creation of safer SIVs
in structured finance, and propose avenues of mitigating risks faced by senior debt through
deleveraging policies in the form of leverage risk controls and contingent capital.]
"Coming up Short: Managing Underfunded Portfolios in an LDI-ES Framework" (2014),
(with Seoyoung Kim and Meir Statman),
Journal of Portfolio Management, 41(1), 95-108.
[Provides a new definition of underfunded portfolios, and compares four remedies for underfunding.]
"Going for Broke: Restructuring Distressed Debt Portfolios" (2014),
(with Seoyoung Kim), Journal of Fixed Income, 24(3), 5-27.
[Optimizing portfolios where the return distributions of the assets is endogenous. The gains from restructuring distressed debt portfolios are large.]
"Digital Portfolios." (2013),
Journal of Portfolio Management, v39(2), 41-48.
[Constructing portfolios of assets with a binary payoff, large versus zero, and the differences in this optimization versus standard mean-variance portfolio construction.]
"Options on Portfolios with Higher-Order Moments," (2009),
(with Rishabh Bhandari), Finance Research Letters, v6, 122-129.
[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.]
"Dealing with Dimension: Option Pricing on Factor Trees," (2009),
(with Brian Granger), Journal of Investment Management, 7(2), 73-85.
[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.]
Correlated Default with a Forest of Binomial Trees," (2007), (with
Santhosh Bandreddi and Rong Fan), Journal of Fixed
Income. Winter, 1-20.
[Extends the Das-Sundaram hybrid securities model to correlated default modeling. ]
"Basel II: Correlation Related Issues" (2007),
Journal of Financial Services Research, v32, 17-38.
[Analysis of correlation related issues arising in the implementation
of the Basel II accord.]
"Correlated Default Risk," (2006),
(with Laurence Freed, Gary Geng, and Nikunj Kapadia),
Journal of Fixed Income, Fall 2006, 7-32.
[Empirical evidence on the nature of credit correlations. Correlations
increase as markets worsen. Regime switching models are needed to explain dynamic
"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.
[A tree model for options when the underlying has regime switches.]
"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.Ê
[A framework for how word-of-mouth communication is modeled in
the practice of marketing. ]
"Financial Communities" (with Jacob Sisk), 2005,
Journal of Portfolio Management, v31(4),
[Applying graph theory to understanding investor networks to
develop trading rules. ]
"Monte Carlo Markov Chain Methods for Derivative Pricing
and Risk Assessment,"(with Alistair Sinclair), 2005,
Journal of Investment Management, v3(1), 29-44.
[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.]
"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.
[Which copula and marginal distributions best describe default probability
correlations? Develops models and methodology to answer this question. ]
"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.
[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 ]
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),
[A simple regression approach to solving optimal consumption
and portfolio problems wit diffusions and jumps.]
"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.
[Bayesian model for predicting rating changes based on the
dynamics of default probabilities.]
"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. ]
"How Diversified are Internationally Diversified Portfolios:
Time-Variation in the Covariances between International Returns,"
1998, (with Raman Uppal), Canadian Investment Review, Spring, 7-11.
[Internation portfolio risk has systemic components. ]
"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.]
"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.]
"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.
[A survey of models and literature on Treasury Auctions. ]
"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. ]
"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. ]
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. ]
"Exact Solutions for Bond and Options Prices
with Systematic Jump Risk," 1996, (with Silverio Foresi),
Review of Derivatives Research, v1(1), 7-24.
[First paper to show that affine solutions exist for
jump-diffusion term structure models.]
"Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings
and Credit Spreads are Stochastic," 1996,
(with Peter Tufano), The Journal of Financial Engineering,
[Rating based model for credit derivatives with correlation between recovery
rates, interest rates and default probabilities. ]
"Credit Risk Derivatives," Journal of Derivatives, 1995, pg 7-21.
Claims Analysis in Corporate Finance,'' edited by Michel Crouhy,
Dan Galai, and Zvi Wiener, World Scientific Press 2019.)
[Introduces early models for pricing credit derivatives as compound options. ]
SHORTER ARTICLES and BOOK CHAPTERS (Mostly Non-refereed, Invited)
``Credit Risk Derivatives,'' forthcoming, Contingent Claims Analysis in Corporate Finance, editors Dan Galai, Michel Crouhy, Zvi Wiener. (Reprint of article in Journal of Derivatives, 1995.)
``Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean-Variance Efficient Portfolios,''
(2018), (with Jurgen Vandenbroucke), Journal of Investment Management, 16(4).
"Multiple Regression and Machine Learning," (2018), (with Richard A. DeFusco,
Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkle), CFA Institute,
reading 8 in the 2019 CFA Program Curriculum for CFA Level II.
"Machine Learning in Finance: The Case of Deep Learning for Option Pricing" (2017),
(with Robbie Culkin).
Journal of Investment Management, v15(4), 92-100.
"Did CDS Trading Improve the Market for Corporate Bonds," (2016),
(with Madhu Kalimipalli and Subhankar Nayak),
Finance and Accounting Memos Issue 3, 45--49.
[CDS trading adversely impacted the bond market.]
"Big Data's Big Muscle," (2016),
Finance and Development (IMF), September, 14(2), 26-28.
[Economics in the machine age.]
"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.]
"News Analytics: Framework, Techniques and Metrics," The Handbook of News Analytics in Finance, May 2011, John Wiley & Sons, U.K.
"Random Lattices for Option Pricing Problems in Finance," (2011),
Journal of Investment Management, 9(2), 88-106.
"Implementing Option Pricing Models using Python and Cython," (2010),
(with Brian Granger), Journal of Investment Management, 9(4), 72-84
"The Finance Web: Internet Information and Markets," (2010),
IEEE Intelligent Systems, 25(2), Mar/Apr, 74--78.
"Financial Applications with Parallel R," (2009),
(with Brian Granger), Journal of Investment Management, 7(4), 66-77
"Recovery Swaps," (2009), (with Paul Hanouna),
Encyclopedia of Quantitative Finance, John Wiley and Sons, U.K., 1507--1509
"Recovery Rates," (2009),(with Paul Hanouna),
Encyclopedia of Quantitative Finance, John Wiley and Sons, U.K., 1505--1507
``A Simple Model for Pricing Securities with a Debt-Equity Linkage,'' 2008, in
Innovations in Investment Management, Bloomberg Press, 85-112.
"Credit Default Swap Spreads", 2006, (with Paul Hanouna),
Journal of Investment Management, v4(3), 93-105.
"Multiple-Core Processors for Finance Applications," 2006,
Journal of Investment Management, v4(2), 76-81.
"Power Laws," 2005, (with Jacob Sisk),
Journal of Investment Management, v3(3), 84-91.
"Genetic Algorithms," 2005,
Journal of Investment Management, v3(2), 77-82.
"Recovery Risk," 2005,
Journal of Investment Management, v3(1), 113-120.
"Venture Capital Syndication", (with Hoje Jo and Yongtae Kim), 2004
Journal of Investment Management, v2(4), 132-143.
"Technical Analysis", (with David Tien), 2004
Journal of Investment Management, v2(1), 79-85.
"Liquidity and the Bond Markets, (with Jan Ericsson and
Madhu Kalimipalli), 2003,
Journal of Investment Management, v1(4), 95-103.
"Modern Pricing of Interest Rate Derivatives - Book Review",
2004, Journal of Economic Literature, vXLII, 528-529.
Journal of Investment Management, v1(3), 78-84.
"Hedge Funds", 2003,
Journal of Investment Management, v1(2), 76-81.
"Working Papers on Hedge Funds," in The World of Hedge Funds:
Analysis, 2005, World Scientific.
"The Internet and Investors", 2003,
Journal of Investment Management, v1(1), 213-217.
"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.
"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.
"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.
"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.
"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.
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.
"Pricing Credit Derivatives,''
1999, Handbook of Credit Derivatives, eds J. Francis,
J. Frost and J.G. Whittaker, 101-138.
"On the Recursive Implementation of Term Structure Models,''
1998, Pecunia, The Netherlands, Summer 1998, 45-49.
"Dynamic Optimization for Goals-Based Wealth Management with Multiple Goals."
(with Dan Ostrov, Anand Radhakrishnan, Deep Srivastav)
"Dynamic Goals-Based Wealth Management using Reinforcement Learning."
(with Subir Varma)
"Measuring Productivity and User Engagement from Workplace
(with Ivan Galea, Kailin Hu, Mugdha Potdar,
Preethi Subbrayan Ranganathan, Mark Scarr,
Anand Subramanian, Hariharan Swaminathan, Xiang Zhang)
"On the Interconnectedness of Financial Institutions: Emerging Markets Experience,"
(with Madhu Kalimipalli and Subhankar Nayak).
"Systemic Risk in the Great Depression"
(with Kris Mitchener and Angela Vossmeyer)
"The Future of FinTech"
My page on SSRN (with downloadable papers) is here.