Published Articles

Construction and Interpretation of Model-Free Implied Volatility, (with T. Andersen), 2007, in Volatility as an Asset Class, (London: Risk Books), Ed. by I. Nelken, p. 141-181. PDF file.

Statistical Arbitrage and Securities Prices, 2003, Review of Financial Studies, Vol. 16, p. 875-919. PDF file.

Estimation of Risk-Neutral Densities Using Positive Convolution Approximation, 2003, Journal of Econometrics, Vol. 116, p. 85-112.  PDF file.

Specialist Participation and Limit Orders, (with J. Sung), 2003, Journal of Financial Markets, Vol. 6, p. 539-571. PDF file.

Competing Market Makers, Liquidity Provision, and Bid-Ask Spread, Journal of Financial Markets, 2001, Vol. 4, p. 269-308; top 10 requested papers, Year 2001. PDF file.

Expectations and Learning in Iowa, (with P. Bossaerts), Journal of Banking and Finance, 2000, Vol. 24, p. 1535-1555. PDF file.


  

Recent Working Papers

Variance Trading and Market Price of Variance Risk. This revision: December 2007. PDF file.

Market Price of Variance Risk and Performance of Hedge Funds. This revision: March 2004. PDF file.

Benchmark Good-Deal Bounds: An Application to Stochastic Volatility Models of Option Pricing, (with I. Longarela). This revision: April 2004. PDF file.

Why are Put Options So Expensive? This revision: November 2003. PDF file.

Recovering Risk-Neutral Densities: A New Nonparametric Approach, This revision: September 2000; Proceedings of the CBOT 13th Futures Research Symposium 2000; PDF file.


 

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