“Interest Rate Derivatives and Volatility” (with Yoshiki Obayashi)

Handbook of Fixed-Income Securities: Chapter 20, 767-838 (2016)

Handbook Series in Financial Engineering and Econometrics. John Wiley & Sons (Editor Pietro Veronesi)

Surveys interest rate derivatives and their use to hedge against fixed income volatility — a mix of applied and theory pieces

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BOOK: The Price of Fixed Income Market Volatility (with Yoshiki Obayashi)

Springer Verlag: Springer Finance Series, New York (2015), 250 pages

Develops unifying foundations on fixed income volatility pricing and variance swap design — theory piece with applications

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“Uncertainty, Information Acquisition and Price Swings in Asset Markets” (with Francesco Sangiorgi)

Review of Economic Studies 82, 1533-1567 (2015)

In asset markets with uncertainty that cannot be quantified probabilistically (“Knightian uncertainty”), the value of information increases precisely as markets become more efficient. Overturns Grossman and Stiglitz (1980) — theory piece

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“Rates Fears Gauges and the Dynamics of Fixed Income and Equity Volatilities” (with Yoshiki Obayashi and Catherine Shalen)

Journal of Banking and Finance 52, 256-265 (2015)

Uncovers salient empirical features of forward looking gauges of interest rate volatility against equity — applied piece

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“Interest Rate Variance Swaps and the Pricing of Fixed Income Volatility” (with Yoshiki Obayashi)

GARP Risk Professional: Quant Perspectives, March 1-8 (2014)

Develops unifying methodology to price fixed income volatility in a model-free fashion in 8 pages — theory piece

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“Financial Volatility and Economic Activity” (with Fabio Fornari)

Journal of Financial Management, Markets and Institutions 1, 155-198 (2013)

Stock market volatility forecasts economic activity — applied piece (written in 2005)

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“Macroeconomic Determinants of Stock Volatility and Volatility Premiums” (with Valentina Corradi and Walter Distaso)

Journal of Monetary Economics 60, 203-220 (2013)

How aggregate stock market volatility and volatility premiums link to business cycles in a no-arbitrage framework — applied piece

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“An Interest Rate Swap Volatility Index and Contract” (with Yoshiki Obayashi)

Technical White Paper underlying the
CBOE Interest Rate Swap Volatility Index—CBOE SRVIXSM (June 2012)
Available from

Develops security design to price fixed income volatility in a model-free fashion, the basis for the first interest rate volatility index maintained by an exchange — theory piece

“Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous-Time Models” (with Dennis Kristensen)

Journal of Financial Economics 102, 390-415 (2011)

A new method to calculate derivative prices in models without a closed-form solution — theory piece

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“Information Linkages and Correlated Trading” (with Paolo Colla)

Review of Financial Studies 23, 203-246 (2010)

Asset markets in the presence of information networks amongst agents — theory piece

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“Simulated Nonparametric Estimation of Dynamic Models” (with Filippo Altissimo)

Review of Economic Studies 76, 413-450 (2009)

A new estimator that achieves the same asymptotic efficiency as maximum likelihood — theory piece with finance in view

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“Asymmetric Stock Market Volatility and the Cyclical Behavior of Expected Returns”

Journal of Financial Economics 86, 446-478 (2007)

Why is stock market volatility countercyclical? — theory piece

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“Approximating Volatility Diffusions with CEV-ARCH Models” (with Fabio Fornari)

Journal of Economic Dynamics and Control 30, 931-966 (2006)

A simple method to estimate/calibrate models with stochastic volatility — applied piece

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“Fundamental Properties of Bond Prices in Models of the Short-Term Rate”

Review of Financial Studies 16, 679-716 (2003)

Volatility and the yield curve — theory piece

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“Recovering the Probability Density Function of Asset Prices using GARCH as Diffusion Approximations” (with Fabio Fornari)

Journal of Empirical Finance 8, 83-110 (2001)

Derives market risk-aversion from the price of derivatives in the presence of stochastic volatility — applied piece

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“Volatility Smiles and the Information Content of News” (with Fabio Fornari)

Applied Financial Economics 11, 179-186 (2001)

Event studies regarding government bond implied vols — applied piece

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BOOK: Stochastic Volatility in Financial Markets—Crossing the Bridge to Continuous Time (with Fabio Fornari)

Kluwer Academic Publishers, Boston (2000), 145 pages

A survey of work on stochastic volatility in equity and fixed income markets — a mix of applied and theory pieces

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BOOK: Dynamiques non linéaires, volatilité et équilibre (in French)

Editions Economica, Paris (1998), 212 pages

Essays in continuous time finance, chaos theory and financial econometrics — drawn from my 1995 PhD dissertation

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“Sign and Volatility Switching ARCH Models” (with Fabio Fornari)

Journal of Applied Econometrics 12, 49-65 (1997)

“Weak Convergence and Distributional Assumptions for a General Class of Non Linear ARCH Models” (with Fabio Fornari)

Econometric Reviews 16, 205-227 (1997)

“Asymmetries and Non-Linearities in the Economic Activity” (with Fabio Fornari)

Applied Financial Economics 7, 203-206 (1997)

“Modeling the Changing Asymmetry of Conditional Variances” (with Fabio Fornari)

Economics Letters 50, 197-203 (1996)

“Continuous Time Conditionally Heteroskedastic Models: Theory with Applications to the Term Structure of Interest Rates” (with Fabio Fornari)

Economic Notes 24, 327-352 (1995)

“A Stochastic Variance Model For Absolute Returns” (with Fabio Fornari)

Economics Letters 46, 211-214 (1994)

“Stochastic Behavior of Deterministic Utility Functions”

Rivista internazionale di scienze economiche e commerciali 41, 1013-1031 (1994)

“A Two Factor Arbitrage Model with Optimal Filtering Behavior” (with Fabio Fornari)

Statistica 54, 293-312 (1994)