T. Leung and M. Santoli: Leveraged ETFs: Admissible Leverage and Risk Horizon
T. Leung and R. Sircar: Implied Volatility of Leveraged ETF Options
T. Leung and K. Yamazaki: American Step-Up and Step-Down Credit Default Swaps under Levy Models
M. Haugh and C. Wang: Dynamic Portfolio Execution and Martingale Duality
T. Leung, Q. Song, and J. Yang: Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
B. Ifrach, C. Maglaras, and M. Scarsini: Monopoly pricing in the presence of social learning
M. Haugh and S. Chandramouli: A Unified Approach to Multiple Stopping and Duality
X. He and X. Y. Zhou: Hope, Fear and Aspirations
T. Leung and P. Liu: Risk Premia and Optimal Liquidation of Defaultable Securities
T. Leung, R. Sircar, and T. Zariphopoulou: Forward Indifference Valuation of American Options
C. Maglaras, C. C. Moallemi, and H. Zheng: Optimal order routing in a fragmented market
C. C. Moallemi and M. Saglam: Dynamic portfolio choice with linear rebalancing rules
G. Iyengar, C. C. Moallemi, and C. Chen: An Axiomatic Approach to Systemic Risk
T. Leung, K. Yamazaki, and M. Egami: Default Swap Games Driven by Spectrally Negative Levy Processes
T. Leung and M. Ludkovski: Accounting for Risk Aversion in Derivatives Purchase Timing
X. He, C. Bernard, J. A. Yan, and X. Y. Zhou: Optimal Insurance Design under Rank Dependent Utility
X. He and X. Y. Zhou: Myopic Loss Aversion, Reference Point, and Money Illusion
X. He and S. G. Kou: A 10-30 Rule: An Investigation of Hedge Fund Performance Fees via Behavioral Finance, working paper, 2012
X. He, H. Q. Jin, and X. Y. Zhou: Portfolio Selection with Law-Invariant Coherent Risk Measures, working paper, 2012


C. Ning and S. G. Kou: Option Pricing under a Mixed-Exponential Jump Diffusion Model.
V. V. Desai, V. F. Farias, C. C. Moallemi: Pathwise optimization for optimal stopping problems
M. Haugh and A. Jain: The Dual Approach to Portfolio Evaluation: A Comparison of the Static, Myopic and Generalized Buy-and-Hold Strategies
M. Broadie, D. M. Cicek, and A. Zeevi: Multidimensional Stochastic Approximation: Adaptive Algorithms and Applications
T. Leung and M. Ludkovski: Optimal Timing to Purchase Options
M. Broadie, Y. Du, C. C. Moallemi: Efficient risk estimation via nested sequential simulation
C. Ning and S. G. Kou: Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model.
M. Haugh and A. Lim: Linear-Quadratic Control and Information Relaxations
X. He and X. Y. Zhou: Portfolio Choice via Quantiles
R. Cont and Y. H. Kan: Statistical modeling of CDS portfolios.
M. Haugh: A Note on Constant Proportion Trading Strategies
R. Cont, Y. Yu, and R. Mondescu: Central clearing of interest rate swaps: comparison of some offerings
R. Cont: Statistical modeling of high frequency financial data: facts, models and challenges
X. He and X. Y. Zhou: Portfolio Choice under Cumulative Prospect Theory: An Analytical Treatment
R. Cont, R. Deguest, and X. He: Loss-based risk measures.
R. Cont and L. Wagalath: Running for the exit: short selling and endogenous correlation in financial markets


M. Broadie, Y. Du, and C. C. Moallemi: Risk estimation via regression
T. Leung: A Markov-Modulated Stochastic Control Problem with Optimal Stopping with Application to Finance.
R. Cont, A. Moussa, and E. B. Santos: Network structure and systemic risk in banking systems
H. Amini, R. Cont, and A. Minca: Stress testing the resilience of financial networks
P. Glasserman and B. Nouri: Contingent capital with a capital ratio trigger
P. Glasserman and Q. Wu: Forward and Future Implied Volatility
M. Haugh and R. Caldentey: A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging
S. G. Kou, X. Peng, and C. C. Heyde: External Risk Measures and Basel Accords.
H. Amini, R. Cont, and A. Minca: Resilience to contagion in financial networks
R. Cont, R. Deguest, and Y. H. Kan: Recovering Default Intensity from CDO Spreads: Inversion Formula and Model Calibration
R. Cont and A. De Larrard: Price dynamics in a Markovian Limit order market
R. Cont and A. Moussa: Too interconnected to fail: contagion and systemic risk in financial networks.


R. Cont and C. Jessen: Constant proportion debt obligations (CPDO)
R. Cont: Measuring systemic risk.
P. Glasserman: Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement
R. Cont, R. Deguest, and Y. H. Kan: Recovering Default Intensity from CDO Spreads: Inversion Formula and Model Calibration
R. Cont and T. Kokholm: A Consistent Pricing Model for Index Options and Volatility Derivatives
P. Glasserman and Z. Wang: Valuing the Treasury’s Capital Assistance Program
R. Davis and T. Mikosch: The extremogram: a correlogram for extreme events
C. Moallemi and M. Saglam: The cost of latency


R. Cont and A. Minca: Recovering portfolio default intensities implied by CDO quotes
S. Stoikov and M. Saglam: Option Market Making under Inventory Risk
E. Derman: A Simple Model for the Expected Premium for Hedge Fund Lockups
E. Derman, K. S. Park, and W. Whitt: Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups
R. Cont and I. Savescu: Forward equations for portfolio credit derivatives
E. Derman, K. S. Park, and W. Whitt: A Stochastic Model for Hedge Fund Relative Returns
R. Cont, S. Stoikov, and R. Talreja: A Stochastic Model for order book dynamics
R. Cont and Y. H. Kan: Dynamic hedging of portfolio credit derivatives
P. Glasserman and Z. Liu: Sensitivity Estimates from Characteristic Functions
P. Glasserman and Z. Liu: Estimating Greeks in Simulating Levy-Driven Models
P. Glasserman and K. Kim: Beta Approximations for Bridge Sampling
M. Broadie and A. Jain: The effect of jumps and discrete sampling on volatility and variance swaps.


D. Bienstock: Experiments in Robust Portfolio Optimization
R. Cont, P. Tankov, and E. Voltchkova: Hedging with Options in Models with Jumps
P. Glasserman and S. Suchintabandid: Correlation expansions for CDO pricing
P. Glasserman and Z. Chen: Fast Pricing of Basket Default Swaps
P. Glasserman and N. Chen: Malliavin Greeks without Malliavin Calculus
R. Cont, R. Deguest, and G. Scandolo: Robustness and sensitivity analysis of risk measurement procedures.
S. Kou and N. Chen: Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
S. Kou and Z. Huang: First Passage Times and Analytical Solutions for Options on Two Assets with Jump Risk
S. Kou, C. Heyde, and X. Peng: What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance
Risk Measures

R. Cont and P. Tankov: Constant proportion portfolio insurance in presence of jumps in asset prices
M. Broadie, M. Chernov and M. Johannes: Understanding index option returns.
L. Pospisil, J. Vecer, and M. Xu: Tradeable Measures of Risk
R. Cont and C. Mancini: Nonparametric test for analyzing the fine structure of price fluctuation

Columbia Affiliations