BOOK: Financial Economics: Classics and Contemporary

Forthcoming, MIT Press, approx. 1,000 pages

A graduate level book on Financial Economics

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“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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“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)

Springer Verlag (original ed.: Kluwer Academic Publishers), New York (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)

Volatility reacts asymmetrically to both past shocks and past unexpected volatility  — applied piece

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

Applied Financial Economics 7, 203-206 (1997)

Business cycle volatility reacts asymmetrically to past macroeconomic shocks  — applied piece

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

Econometric Reviews 16, 205-227 (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)