"A Framework for the Analysis of Unevenly-Spaced Time Series Data
"Algorithms for Unevenly-Spaced Time Series: Moving Averages and Other Rolling Operators
April 2012. An implementation
of the algorithms is
available for the programming language C.
"A Note on Trend and Seasonality Estimation for Unevenly-Spaced Time Series
"Computational Techniques for basic Affine Models of Portfolio Credit Risk
2009, Journal of Computational Finance
is available in Matlab.
"Frailty Correlated Default
" (with Darrell Duffie, Guillaume Horel and
Leandro Saita), 2009, Journal of Finance
"Risk Premia in Structured Credit Derivatives
Working Paper, Stanford University, September 2007.
"A multivariate GARCH model with volatility spill-over and time-varying correlations
Working Paper, Stanford University, March 2006.
- Member (or former member) of
- Moody's Research Fellow
- Morgan Stanley Research Fellow
- Referee for