An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets (with Marti Subrahmanyam)

On Pricing and Hedging in the Swaption Market: How Many Factors, Really? (with Rong Fan and Peter Ritchken)

Do Hedge Funds Have Enough Capital? A Value at Risk Approach (with Bing Liang)

The Impact of Term Structure Specifications on the Convexity Adjustment in Interest-Rate Futures and Swaps

Pricing and Managing Credit Risk: Implications for the Banking Industry