publications

The Evolution of Blockchain: from Lit to Dark (with R. Jia and Y. Wang). (preprint)

The Adoption of Blockchain-based Decentralized Exchanges (with R. Jia). (preprint). Winner of the 2021 INFORMS Finance Services Student Paper Competition.

Personalized Robo-Advising: Enhancing Investment through Client Interactions (with S. Olafsson and T. Zariphopoulou). Management Science. Forthcoming

Robo-advising: Learning Investor's Risk Preferences via Portfolio Choices (with H. Alsabah, O. Ruiz Lacedelli and M. Stern). Journal of Financial Econometrics. Vol 19, No. 2, 369–392, 2021. Invited Paper for the Special Issue on Recent developments/applications in machine learning, big data, and fintech.

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization? (with S. Olafsson and H. Alsabah). (preprint) A preliminary and earlier version of this manuscript circulated under the name Pitfalls of Bitcoin’s Proof-of-Work: R&D Arms Race and Mining Centralization and co-author with. H. Alsabah. Major Revision at Management Science (preprint). Winner of the 2019 INFORMS Finance Services Student best paper competition. Winner of the best Doctoral Paper Awards at the Second Toronto Fintech Conference.

Large Orders in Small Markets: Execution with Endogenous Liquidity Supply (with A. Menkveld and H. Zhang). (preprint, blog)

Intraday Market Making with Overnight Inventory Costs (with T. Adrian, M. Fleming, E. Vogt, and H. Zhang). Journal of Financial Markets 50, 100564, 2020. Lead Article.

Networks, Liquidity, Systemic Risk, and Financial Stability

The Effect of Mortgage Forbearance on Refinancing: Evidence from the CARES Act (with R. Jia and D.A. Rios). CEPR Covid Economics, No. 68, 10 February 2021 (preprint)

Disruption and Rerouting in Supply Chain Networks (with. J. Birge and P.C. Chen). Major Revision at Operations Research (preprint). Third Place at the Best Paper Award Competition of the 2021 Post-Pandemic Supply Chain and Healthcare Management conference

Optimal Bailouts and the Doom Loop with a Financial Network (with F. Corell and J. Stiglitz). Journal of Monetary Economics, Vol. 128, 35-50, 2022.

Systemic Risk driven Portfolio Selection (with A. Rubtsov). Operations Research. Forthcoming

Systemic Portfolio Diversification (with M. Weber). (preprint)

A Theory of Collateral Requirements for Central Counterparties (with J. Wang and H. Zhang). Forthcoming in Management Science. (slides) Press Coverage (OBLB)

The Collateral Rule: Evidence from the Credit Default Swap Market. (with Allen Cheng, Chuan Du, Stefano Giglio, and Richard Haynes). Journal of Monetary Economics, Vol. 126, 58-86, 2022. Online appendix available here

Market Efficient Portfolios in a Systemic Economy (with K. Awiszus and S. Weber). Operations Research, Vol. 70, No. 2, 715–728, 2022.

Counterparty Risk in Over-the-Counter Markets (with C. Frei and C. Brunetti). Journal of Financial and Quantitative Analysis, Vol. 57, No. 3, 1058-1082, 2022. Earlier version appeared in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System

Multiregional Oligopoly with Capacity Constraints (with. H. Alsabah, B. Bernard, G. Iyengar, and J. Sethuraman). Management Science. Vol. 67, No. 8, 4643-5300, 2021. Finalist at the 2019 INFORMS Doing Good with Good OR Best Paper

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). (NBER). Journal of Political Economy. Forthcoming. Press coverage: Vox, Financial Times

Firm Capital Dynamics in Centrally Cleared Markets (with W.A. Cheng and S. Rajan). Mathematical Finance. Vol 30, No. 2, 664-701, 2020. Press coverage: Reuters, American Banker

A Dynamic Network Model of Interbank Lending: Systemic Risk and Liquidity Provisioning (with X. Sun and D. Yao). Mathematics of Operations Research. Vol. 45, No. 3, August 2020, 1127–1152. Finalist at the 2017 INFORMS Finance Services Student best paper competition

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs (with P. Glasserman and M. Weber). Management Science. Vol. 66, No. 8, August 2020, 3581–3602

Clearinghouse Margin Requirements (with W.A. Cheng). Operations Research, Vol. 66, No. 6, 1542-1558, 2018.

Systemic Influences on Optimal Equity-Credit Investment. (with C. Frei). Management Science, Vol. 63, No. 8, 2756-2771, 2017.

Systemic Risk in Interbanking Networks. (with L. Bo). SIAM Journal of Financial Mathematics, Vol. 6, No. 1, 386-424, 2015. Featured Article

Price Contagion through Balance Sheet Linkages. (with M. Larsson). Review of Asset Pricing Studies, Vol. 5, No. 2, 227-253, 2015.

Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research, Vol. 64, No. 5, 1121-1134, 2016.

Systemic Risk Mitigation in Financial Networks. (with P.C. Chen). Journal of Economic Dynamics and Control, Vol. 58, 152-166, 2015

Default and Systemic Risk in Equilibrium. (with M. Larsson). Mathematical Finance, Vol. 25, No.1, 51-76, 2015.

Counterparty Risk and Derivatives Pricing

Robust XVA (with M. Bichuch and S. Sturm). Mathematical Finance, Vol. 30, No. 3,

738-781, 2020.

Arbitrage-Free XVA (with M. Bichuch and S. Sturm) Mathematical Finance, Vol. 28, No. 2, 582-620, 2018.

Dynamic Investment and Counterparty Risk (with L. Bo) Applied Mathematics and Optimization, Vol. 77, No. 1, 1-45, 2018.

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with L. Bo) Finance and Stochastics, Vol.18, No. 2, 431-482, 2014.

Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps (with D. Brigo and A.Pallavicini ) Mathematical Finance, Vol. 14, N. 1, pp.125-146, 2014. Short version published in Risk Magazine, March, 2010.

Counterparty Risk for CDS: Default Clustering Effects (with L. Bo) Journal of Banking and Finance, Vol. 52, 29-42, 2015.

Pricing Vulnerable Claims in a Lévy driven model. (with S. Pagliarani and T. Vargiolu) Finance and Stochastics, Vol. 18, No. 4, 775-789, 2014.

Pricing and Semi-Martingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets (with J.E. Figueroa Lopez and J. Nisen) Mathematical Finance, Vol. 24, No.2, 250-288, 2014.

Portfolio Selection And Stochastic Control

Deep Residual Learning via Large Scale Mean-Field Stochastic Optimization (with L. Bo and H. Liao). Major Revision at SIAM Journal on Control and Optimization (preprint) Finalist of the 2021 SIAM-FM Conference Paper prize

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors (with L. Bo and C. Zhou). Mathematics of Operations Research. Forthcoming

Portfolio Choice with Market-Credit Risk Dependencies (with. L. Bo). SIAM Journal on Control and Optimization, Vol. 56, No. 4, 3050-3091, 2018.

Credit Portfolio Selection with Decaying Contagion Intensities (with. L. Bo and P.C. Chen). Mathematical Finance, Vo. 29, No. 1, 137-173, 2019.

Optimal Investment under Information Driven Contagious Distress (with L. Bo). SIAM Journal on Control and Optimization, Vol. 55, No. 2, 1020-1068, 2017.

Risk Sensitive Asset Management and Cascading Defaults (with J. Birge and L. Bo). Mathematics of Operations Research, Vol. 43, No. 1, 1-28, 2018. Featured Article. Press coverage: Chicago Booth Review

Optimal Credit Investment with Borrowing Costs (with L. Bo) Mathematics of Operations Research, Vol. 42, No. 2, 546-575, 2017.

Robust Optimization of Credit Portfolios (with L. Bo). Mathematics of Operations Research, Vol. 42, No. 1, 30-56, 2017.

Dynamic Credit Investment in Partially Observed Markets. (with J.E. Figueroa-Lopez and A. Pascucci) Finance and Stochastics, Vol. 19, N.4, 891-939, 2015

Optimal Investment in Credit Derivatives Portfolio under Contagion Risk. (with L. Bo) Mathematical Finance, Vol. 26, No. 4, 785-834, 2016.

Dynamic Portfolio Optimization with a Defaultable Security and Regime-Switching Markets (with J. E. Figueroa-Lopez) Mathematical Finance, Vol. 24, N.2, 207-249, 2014.

Principal/Agent Problems

Dynamic Contracting: Accident leads to Nonlinear Contracts (with C. Frei). SIAM Journal of Financial Mathematics, Vol. 6, No.1, 959-983, 2015.

Optimal Contracting with Effort and Misvaluation (with J. Cvitanic and T. Yolcu) Mathematics and Financial Economics, Vol. 7, N.1, pp. 93-128, 2013.

A Variational Approach to Contracting under Imperfect Observations (with J. Cvitanic and T. Yolcu). SIAM Journal of Financial Mathematics, Vol. 3, No. 1, pp. 605-638, 2012.

Stochastic Filtering

Stochastic Filtering for Diffusion Processes with Level Crossings. (with I. Fatkullin and L. Shi). IEEE Transactions on Automatic Control, Vol. 56, pp. 2201-2206, 2011.

A Convex Optimization Approach to Filtering in Jump Systems with State Dependent Transition Probabilities. Automatica, Vol. 46, pp. 383-389, 2010.

Credit Risk Modeling with Misreporting and Incomplete Information. International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, 2009.

Book Chapters, Practitioner and Policy Papers

Derivative Clearinghouses: Collateral Management and Policy Implications. Ten Years after the Crash. Financial Crises and Regulatory Responses, Chap. 23, pp. 371-383. Edited by Sharyn O' Halloran and Thomas Groll. Columbia University Press, 2019. 2 mins promo

Systemic Risk, Policy, and Data Needs. INFORMS Tutorials in Operations Research, 185-206, 2016.

Capital and Resolution Policies: The US Interbank Market (with. J. Doolely, M. Oet, and S. Ong). Journal of Financial Stability, Vol. 30, 229-239, 2017.

Measuring Portfolio Counterparty Risk. Creditflux, May 2014.

Pricing and Mitigation of Counterparty Credit Exposures. Handbook of Systemic Risk, edited by J.-P. Fouque and J. Langsam. Cambridge University Press, 2013.

Liquidity Modeling for Credit Default Swaps: an overview (with D. Brigo and M.Pedrescu) Credit Risk Frontiers. The suprime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, edited by T. Bielecki, D. Brigo and F. Patras. Bloomberg Press, Wiley, 2012. (Preprint)

Bilateral Credit Valuation Adjustment with Application to Credit Default Swaps (with D. Brigo) Measuring and Managing Capital, edited by M. Ong, Risk Books, 2012.

Publications