Selected Articles
Links go to PDF preprints.
- A structural jump threshold framework for credit risk (with P. Garreau), to appear in SIAM Journal on Financial Mathematics, 2016, 34 pages.
- Modeling high-frequency limit order book dynamics with support
vector machines (with Y. Zhang), Quantitative Finance, vol 15, no 8, 2015, 1315--1329.
- Complex Dynamics in Equilibrium Asset Pricing Models with Boundedly Rational, Heterogeneous Agents (with P. Beaumont and Y. Guan), Complexity, vol 19, no 3, 2014, 38--55.
- Asset Market Dynamics in Equilibrium Models with
Heterogeneous Agents: Analytical Results (with P. Beaumont and A. Culham), Advances in Economics and Business, vol 1, no 2, 2013, 49-56.
- A generalized birth-death stochastic model for high-frequency order book dynamics (with H. Huang), Quantitative Finance, vol 12, no. 4, 2012, 547-557.
- Risk Forecasting with GARCH, Skewed t
Distributions, and Multiple Timescales (with Y. Liu), chapter 7 in
Handbook of Modeling High-Frequency Data in Finance, J. Wiley, 2012, 163-218.
- Portfolio optimization for t and skewed t
returns (with W. Hu), Quantitative Finance, vol 10, no 1, 2010, 91-105.
- The Skewed t distribution for portfolio
credit risk (with W. Hu), Advances in Econometrics,
vol 22, Elsevier, 2009, 55-83.
- On Rebonato and Jackel's
parametrization method for finding nearest correlation matrices,
International Journal of Pure and Applied Mathematics, vol 45, no 3, 2008, 383-390.
- Risk Management with Generalized Hyperbolic
Distributions (with W. Hu), Proceedings of the Fourth IASTED International
Conference on Financial Engineering and Applications, ACTA Press, Calgary, (2007), 19 -- 24.
- Optimal covariances in risk model
aggregation, Proceedings of the Third IASTED International
Conference on Financial Engineering and Applications, ACTA Press,
Calgary, (2006) 30--35.
- On the Aggregation of Local Risk
Models for Global Risk Management (with
G. Anderson, L. Goldberg, G. Miller, and K. Sorge),
Journal of Risk, 8, no. 1 (2005) 25--40.
- t-Statistics for Weighted Means in
Credit Risk Modelling (with L. Goldberg and K. Lee),
Journal of Risk Finance, 6, no. 4 (2005) 349--365.
- Modelling credit risk: currency dependence in global credit
markets (with L. Goldberg and L. Breger),
J. Portfolio Management, vol 29, no. 2, Winter 2003.
Abstract.
- Denjoy minimal sets are far from affine, Ergodic Th.
and Dyn. Systems, vol 22 (2002), 1803--1812.
Erratum,
arXiv:1004.1363v1 [math.DS] (2010), 1 page.
- Cantor sets, binary trees, and Lipschitz circle
homeomorphisms (with B. Tandy), Michigan Math. J., vol. 46 (1999) 29-38.
- Denjoy's Theorem with Exponents, Proc. Amer. Math. Soc., vol
127, no. 10 (1999)
3111-3118.
- Wandering domains and invariant conformal structures
for mappings of the 2-torus (with D. Sullivan), Ann. Acad. Sci. Fenn.,
Series A I Math., vol. 21 (1996) 51-68.
- On sets of critical values in the real line (with S. Bates),
Duke Math. J., vol. 83, (1996), 399-413.
- The Zygmund Morse-Sard Theorem, Journal of Geometric Analysis, 4,
No.3 (1994) 403-424.
- The Gauss-Green theorem for fractal boundaries (with J. Harrison),
Duke Math. J., 67 (1992), 575-588.
- A $C^{1\times \infty}$ function with an interval of critical values,
Indiana Univ. Math. J., 40, No.4 (1991), 1483-1488.
- Geometric integration on fractal curves in the
plane (with J. Harrison), Indiana Univ. Math. J., 40, No.2 (1991), 567-594.
- Critical sets in the plane (with C. Pugh), Mich. Math. J. 38
(1991), 441-459.
- An area approach to wandering domains for smooth surface
endomorphisms, Ergod. Theory and Dyn. Sys. 11 (1991),
181-187.
- Functions not constant on fractal quasi-arcs of critical points,
Proc. Amer. Math. Soc., 106 (1989), 397-406.
- Continued fractions and differentiability of functions, Amer. Math.
Monthly, 95 (1988), 639-643.
- A critical set with non-null image has large Hausdorff dimension,
Trans. Amer. Math. Soc., 296 (1986), 367-376.