[1] "A multivariate GARCH model with volatility spill-over and time-varying correlations," Working Paper, Stanford University, March 2006.

[2] "Risk Premia in Structured Credit Derivatives," Working Paper, Stanford University, September 2007. An implementation is available in Matlab.

[3] "Frailty Correlated Default" (with Darrell Duffie, Guillaume Horel and Leandro Saita), 2009, Journal of Finance 64, 2089-2123.

[4] "Computational Techniques for basic Affine Models of Portfolio Credit Risk," 2009, Journal of Computational Finance 13, 63-97. An implementation is available in Matlab.

[5] "A Note on Algorithms for Arbitrarily-Spaced Time Series," January 2010. An implementation of the algorithms is available in the programming language C.

[6] "Unevenly-Spaced Time Series Analysis," February 2010.

[1] "Corporate Default Risk: Charter Communications (with Darrell Duffie), Slides for GSB F320 Debt Markets, February 2007.

[2] "Multi-Name Credit Derivatives Pricing and Risk Premia," Slides for Econ/Finance/Investment Science Colloquy, Stanford University, May 2007.

[3] Risk Magazine - An article about tail risk in the credit markets and connections with "Frailty Correlated Default", Summer 2008.

[4] Swiss Finance Institute Outstanding Paper Award 2008 - Award for the paper "Frailty Correlated Default", Fall 2008.