Faculty Publications

Journal publications:

• Convex Duality and Mathematical Finance, Springer US (forthcoming).
• "FX Options in Target Zones," Quantitative Finance, vol. 17, issue 10, 2017.
• "Why Is VIX a Fear Gauge?," Risk and Decision Analysis, vol. 6, no. 2, pp. 179-185, 2017.
• “Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions,” with L. Wu, Journal of Financial and Quantitative Analysis, 2017.
• “Hall of Mirrors,” Wilmott, May 2017.
• "Bounded Brownian Motion," Risks, 5(4) 61, 2017.
• “Local Variance Gamma and Explicit Calibration to Option Prices,” with L. Nadtochiy, Mathematical Finance, vol. 27, no. 1 (2017), pp. 151–93.
• “Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer,” with G. Rosenberg, A. Haghnegahdar, P. Goddard, K. Wu, and M. De Prado, IEEE Journal of Selected Topics in Signal Processing, vol. 10, no. 6 (2016), pp. 1053–60.
• “Implied Remaining Variance with Application to Bachelier Model,” with J. Sun, Q. Niu, and S. Cao, The Journal of Fixed Income, vol. 26, no. 2 (2016), pp. 78–95.
• “Hedging Insurance Books,” with D.B. Madan, M. Melamed, and W. Schoutens, Insurance: Mathematics and Economics, vol. 70 (2016), pp. 364–72.
• “Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets,” with A. Khanna and D.B. Madan, Journal of Computational Finance, vol. 20, no. 1 (2016), pp. 89–111.
• “Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory,” with L. Wu, Journal of Financial Economics, vol. 120, no. 1 (2016), pp. 1–20.
• "Optimal Rates from Eigenvalues,” with P. Worah, Finance Research Letters, Vol. 16 (2016), pp. 230–38.
• “Joint Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications,” with D.B. Madan, IIE Transactions, vol. 46, no. 11 (2014), pp. 1125–31.
• “On the Hedging of Options on Exploding Exchange Rates,” with J. Ruf and T. Fisher, Finance and Stochastics, vol. 18, no. 1, pp. 115–44.
• “Static Hedging of Standard Options,” with L. Wu, Journal of Financial Econometrics, vol. 12, no. 1 (2014), pp. 3–46.
• “First-Order Calculus and Option Pricing,” Journal of Financial Engineering, vol. 1, no. 1 (2014), pp. 1–19.
• “Implied Remaining Variance in Derivative Pricing,” with J. Sun, Journal of Fixed Income, vol. 23, no. 4 (2014), pp. 19–32.
• "Variation and Share-Weighted Variation Swaps on Time-Changed Lévy Processes," with R. Lee, Finance and Stochastics, vol. 17, no. 4 (2013), pp. 685–716.
• "Why Are Quadratic Normal Volatility Models Analytically Tractable?," with T. Fisher and J. Ruf, SIAM Journal on Financial Mathematics, vol. 4, no. 1 (2013), pp. 185–202.

Book publications:

• “Forward Evolution Equations for KnockOut Options,” (with A. Hirsa), Advances in Mathematical Finance (Festschrift in honor of the 60th birthday of Dilip Madan), Birkhauser Boston, July 2007, M.C. Fu, R.A. Jarrow, J.-Y. Yen, and R.J. Elliott, ed.,
• “Real Options and the Timing and Implementation of Emission Limits Under Ecological Uncertainty,” 1999, (with J. Saphores), in Project Flexibility, Agency, and Competition, Oxford University Press, M. J. Brennan and L. Trigeorgis, ed.
• “Learning and Exercising Options to Reduce Capital Project Risk,” 1999, (with L. Chorn), in Risk Options and Business Strategy, Risk Publications, L. Trigeorgis, ed., pp. 279–94.
• “Determining Volatility Surfaces and Option Values from an Implied Volatility Smile,” (with D. Madan), Quantitative Analysis of Financial Markets, vol. II, M. Avellaneda, ed., pp. 163–91.
• “Simulating Bermudan Interest Rate Derivatives,” (with G. Yang), Quantitative Analysis of Financial Markets, vol. II, M. Avellaneda, ed., pp. 295–316.
• “A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices,” (with R. Jarrow), in the Finance Volume of Handbooks in Operations Research and Management Science, R. Jarrow, V. Maksimovic, & B. Ziemba, ed., pp. 225–49.
• “The Valuation of American Exchange Options with Application to Real Options,” Real Options in Capital Investment: New Contributions, L. Trigeorgis, ed., pp. 109–20,
• “Valuing Bonds with Detachable Warrants,” Japanese Financial Market Research, pp. 467–79, W. Bailey, Y. Hamao, & B. Ziemba, eds

Journal publications:

• "Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions," with J.P. Fouque and R. Sircar, SIAM Journal of Control and Optimization, forthcoming 2017. 
• "Pairs Trading of Two Assets with Uncertainty in Co-Integration's Level of Mean Reversion," with S. Lee, International Journal of Theoretical and Applied Finance, vol. 19, no. 8, (2016). 
• "Filtering and Portfolio Optimization with Stochastic Unobserved Drift In Asset Returns," with J.P. Fouque and R. Sircar, Communications in Mathematical Sciences, vol. 13, no. 4, (2015) pp. 935–53. 
• "Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information," SIAM Journal on Financial Mathematics, vol. 4, no. 1, (2013) pp. 916–60.

Journal publications:

• Forthcoming, in A Guide to IMF Stress Testing II: Principles, Concepts and Frameworks, International Monetary Fund.
• “Expected Shortfall Estimation for Apparently Infinite-Mean Models of Operational Risk,” Journal of Quantitative Finance, vol. 16, no. 10 (2016), pp. 1485–94.
• “On the Tail Risk of Violent Conflict and its Underestimation,” with P. Cirillo, Physica A: Statistical Mechanics and its Applications, vol. 429 (2016), pp. 252–60.
• “(Anti)fragility and convex responses in Medicine,” Springer Handbook of Complexity in Medicine, 2016.
• “Fragility and Environment,” with P. Cirillo, 12th Royal Colloquium, Royal Swedish Academy of Sciences, 2016.
• “The Decline of Violent Conflicts: What do the Data Really Say?,” with P. Cirillo, Nobel Foundation, 2016.
• “On the statistical properties and tail risk of violent conflicts,” with P. Cirillo, Physica A: A Statistical Mechanics and its Applications, vol. 452 (2016), pp. 29–45.
• “On the Super-Additivity and Estimation Biases of Quantile Contributions,” Physica A: Statistical Mechanics and its Applications, with R. Douady, vol. 429, 2015, pp. 252–60.
• “Tail Risk Constraints and Maximum Entropy,” with D. Geman and H. Geman, Entropy, vol. 17, no. 6 (2015), pp. 3724–37.
• “The Skin in the Game Heuristic for Protection against Tail Events,” with C. Sandis, The Oxford Handbook on Professional Economic Ethics: Views from the Economic Ethics and Beyond, editors G. DeMartino an D. McCloskey, 2015.
• “Unique Option Pricing Measure with neither Dynamic Hedging nor Complete Markets,” European Financial Management, vol. 21, no. 2 (2015), pp. 228–35.
• “Leadership Ethics and Asymmetry,” with C. Sandis, Bloomsbury Publishing, 2015.
• “Climate Models and Precautionary Measures,” with J. Norman, Y. Bar-Yam and R. Read, Issues in Science and Technology, vol. 31, no. 4 (2015).
• “The Calm Before the Storm: Why Volatility Signals Stability, and Vice Versa,” with G. Treverton, Foreign Affairs, vol. 94, 2015, pp. 86–95.
• “The Skin in the Game as a Risk Filter,” with C. Sandis, Future Perspectives in Risk Models and Finance, editors A. Bensoussan, D. Guegan and C.S. Tapiero, Springer, 2014.
• “The Silver Rule of Acting Under Uncertainty,” with C. Sandis, The Philosophers’ Magazine, 66, 2014, pp. 84–88.
• “Religion, Heuristics and Intergenerational Risk-Management,” with R. Read, Econ Journal Watch, vol. 11, no. 2 (2014), pp. 219–26.
• “Markers of Country Fragility: a Methodology to Detect the Fragility of a Political Unit,” RAND National Security Research Division, PR-1154 USG, 2014.
• “Elements of Quantitative Finance: Four Points Beginner Risk Managers Should Learn from Jeff Holman’s Mistakes in the Discussion of Antifragile,” Quantitative Finance, vol. 14, no. 3 (2014), p. 401.
• “The Skin In The Game Heuristic for Protection Against Tail Events,” with C. Sandis, Review of Behavioral Economics, vol. 1, no. 1 (2014), pp. 1–21.
• “Mathematical Definition, Mapping, and Detection of (Anti) Fragility,” with R. Douady, Quantitative Finance, 2013, pp. 1677–89.
• “No, Small Probabilities Are Not Attractive to Sell," Financial Analysts Journal, 2013. 

Books:

• "Skin in the Game: The Logic of Risk Taking," forthcoming 2017.
• "The TECHNICAL INCERTO Silent Risk: Mathematical expression of the ideas of the Incerto with demonstrations, proofs, and derivations," forthcoming.
• Antifragile: Things that Gain from Disorder, Pengiun Random House, 2013.
• "Random Jump, not Random Walk," with Benoit Mandelbrot, in Francis Diebold and Richard Herring (eds.), The Known, the Unknown, and the Unknowable in Financial Risk Management, Princeton University Press.
• "The Risk Externalities of Too Big to Fail," with [USER:389], November 1, 2009, Physica A: Statistical Mechanics and its Applications 389 (17), pp. 3503-07.
• "The Six Mistakes Executives Make in Risk Management," with Daniel G. Golstein and Mark W. Spitznagel, Harvard Business Review, October 2009.
• "Errors, Robustness, and the Fourth Quadrant," February 14, 2009, International Journal of Forecasting, vol. 25, no. 4, 2009.
• “Beliefs, Decisions, and Probability,” with A. Pilpel, in T. O' Connor and C. Sandis (eds.), A Companion to the Philosophy of Action, Wiley-Blackwell, Hoboken, NJ, 2009.
• "Decision Making and Planning Under Low Levels of Predictability," with Spyros Makridakis, International Journal of Forecasting, vol. 25, issue 4, 2009, pp. 716-33.
• "Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance," June 9, 2008, Complexity, vol. 14, issue 3, pp. 66–76, January/February 2009.
• "We Don't Quite Know What We are Talking About When We Talk About Volatility," with Daniel G. Goldstein, March 28, 2007, Journal of Portfolio Management, vol. 33, no. 4, 2007.

Journal publications:

• “Fractional Calculus, Time Scaling and Statistical Modeling,” with P. Vallois, Risk and Decision Analysis, forthcoming 2017.
• “Multi-Agents Financial Consumption: Discrete Time,” with K. Kogan, Risk and Decision Analysis, forthcoming 2017.
• “Implied Fractional Hazard Rates and Default Risk Distributions,” with P. Vallois, Probability, Uncertainty and Quantitative Risk, Springer, vol. 2, no. 2 (2017), pp. 1–14.
• “Fractional Randomness,” (with P. Vallois), Physica A: Statistical Mechanics and its Applications, vol. 462 (2016), pp. 1161–77.
• “The Price of Granularity and Fractional Finance,” with G. Jumarie and O. Tapiero, Risk and Decision Analysis, vol. 6, no. 1 (2016), pp. 7–21.
• “A Financial CCAPM and Economic Inequalities,” Quantitative Finance, (2014), pp. 521–34.
• “Financial Modelling and Memory: Mathematical Systems,” with P. Vallois, Future Perspectives in Risk Models and Finance, editors A. Bensoussan, D. Guegan and C.S. Tapiero, Springer, 2014.
• “Financial Regulation, Non-Compliance Risks and Control: A Statistical Approach,” Risk and Decision Analysis, vol. 5, no. 23 (2014), pp. 113–27.
• “Financial Analytics and A Binomial Pricing Model,” (with J. Qi), Future Perspectives in Risk Models and Finance, editors A. Bensoussan, D. Guegan, and C.S. Tapiero, Springer, 2014, pp. 287–313.
• “Re-engineering Risks and the Future of Finance,” (Shahin Shojai, Editor), Risk Management in Financial Institutions, EURO-MONEY Books, London, pp. 233–50, 2013.
• “Dynamic Coordination of Multiple Agents in a Class of Differential Games through a Generalized Linear Reward Scheme,” with B. Golany and K. Kogan, Models and Methods in Economics and Management Science: Essays in Honor of Charles S. Tapiero, International Series in Operations Research and Management Science, Springer, vol. 198 (2013), pp. 183–201.

Books:

• Globalization, Gating and Risk Finance, with U.Nyambuu, Wiley, 2017.
• Future Perspectives in Risk Models and Finance, (editors) with A. Bensoussan, D. Guegan, International Series in Operations Research and Management Science, Springer, 2014.
• Engineering Risk and Finance, International Series in Operations Research and Management Science, Springer, 2013.
• "Financial Regulation, Non-Compliance Risks and Control: A Statistical Approach," Risk and Decision Analysis, vol. 5, no. 2–3, December 5, 2014, pp. 113–127.
• "A Financial CCAPM and Economic Inequalities," Quantitative Finance, vol. 15, issue 3, August 15, 2014, pp. 521–34
• "The Risk Externalities of Too Big to Fail," with [USER:1544], November 1, 2009, Physica A: Statistical Mechanics and its Applications, vol. 389, issue 17, September 2010, pp. 3503–07.
• "A Claims Persistence Process and Insurance," with Pierre Vallois, Insurance: Mathematics and Economics, vol. 44, no. 3, 2009, pp. 367–73.
• "The Range Inter-Event Process in a Symmetric Birth-Death Random Walk," with Pierre Vallois, Applied Stochastic Models in Business and Industry, 2001, pp. 293–306.
• "Run Length Statistics and the Hurst Exponent in Random and Birth-Death Random Walks," with Pierre Vallois, Chaos Solitons & Fractals, vol. 7, issue 9, September 1996, pp. 1333–41.
• "Computational Aspects in Applied Stochastic Control," with Agnès Sulem, Computational Economics, vol. 7, issue 2, 1994, pp. 109-146.
• "Contingent Claims Contracting for Purchasing Decisions in Inventory Management," with Peter H. Ritchken, Operations Research, vol. 34, issue 6, December 1986, pp. 864–70.
• "Impulsive Control in Management: Prospects and Appliations," with A. Bensoussan, Journal of Optimization Theory and Applications, vol. 37, no. 4, August 1982, pp. 419–42.
• "Optimum Excess-Loss Reinsurance: a Dynamic Framework," with Dror Zuckerman, Stochastic Processes and their Applications, vol. 12, issue 1, October 1981, pp. 85–96.
• "Optimum Inventory and Product Quality Control with Deterministic and Stochastic Deterioration–An Application of Distributed Parameters Control Systems," with A. Bensoussan and G. Nissen, IEEE Transactions in Automatic Control, vol. 20, issue 3, June 1975, pp. 407–12.

Books:

• "Optimal Bank Management Under Capital and Liquidity Constraints," with Fabian Astic, Journal of Financial Engineering, 2014.
• "Dynamic Pairs Trading Using the Stochastic Control Approach," with Raphael Yan, Journal of Economic Dynamics and Control, 2013.
• “Introduction to Finite Difference Methods,” in Nizar Touzi, Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE, Fields Institute Monographs, 29, Springer, 2013, pp. 201–12.
• “On the Credit Risk of Secured Loans with Maximum Loan-to-Value Covenants,” with Fabian Astic, International Journal of Theoretical and Applied Finance, vol. 17, no. 8, 2014.