**2012**

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

**2011**

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

**2010**

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.

**2009**

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

**2008**

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.

**2007**

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