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COVID-19 Mortgage Forbearance: Implications on the Housing Market (with D.A. Rios). (preprint)
Fintech and Machine Learning
Personalized Robo-Advising: Enhancing Investment through Client Interactions (with S. Olafsson and T. Zariphopoulou). Major Revision at Management Science (preprint)

Robo-advising: Learning Investor's Risk Preferences via Portfolio Choices (with H. Alsabah, O. Ruiz Lacedelli and M. Stern). Journal of Financial Econometrics. Invited Paper for the Special Issue on Recent developments/applications in machine learning, big data, and fintech.

Pitfalls of Bitcoin’s Proof-of-Work: R&D Arms Race and Mining Centralization (with. H. Alsabah). Major Revision at Management Science (preprint)

Deep Residual Learning via Large Scale Mean-Field Stochastic Optimization (with L. Bo and H. Liao). (preprint)
Market Microstructure
Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply (with A. Menkveld and H. Zhang). (preprint, online appendixblog)

Intraday Market Making with Overnight Inventory Costs (with T. Adrian, M. Fleming, E. Vogt, and H. Zhang). Journal of Financial Markets. Forthcoming (CEPR, preprint)
Networks, Liquidity, and Systemic Risk
Optimal Bailouts and the Doom Loop with a Financial Network (with F. Corell and J. Stiglitz). (preprint)

Systemic Risk driven Portfolio Selection (with A. Rubtsov). Major Revision at Operations Research. (preprint)

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

A Theory of Collateral Requirements for Central Counterparties (with J. Wang and H. Zhang). Major Revision at Management Science. (preprint) (slides) Press Coverage (OBLB)

The Collateral Rule in the CDS market - Part I: Empirical Analysis, and Part II: Theory (with Allen Cheng, Chuan Du, Stefano Giglio, and Richard Haynes), April 2020
Note: Due to restrictions from the CFTC, this work has to be split into two companion papers, one covering the empirical analysis and one covering the theory. They are meant to be two connected parts of the same work.

Managing Counterparty Risk in OTC Markets (with C. Frei and C. Brunetti). Major Revision at Journal of Financial and Quantitative Analysis (preprint)   

Multiregional Oligopoly with Capacity Constraints (with. H. Alsabah, B. Bernard, G. Iyengar, and J. Sethuraman). Management Science. Forthcoming (preprint)
Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). (NBER, preprint). Revise and Resubmit at the Journal of Political Economy. 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: ReutersAmerican Banker  

A Dynamic Network Model of Interbank Lending: Systemic Risk and Liquidity Provisioning (with X. Sun and D. Yao). Mathematics of Operations Research. Forthcoming (preprint

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs (with P. Glasserman and M. Weber). Management Science. Forthcoming (preprint)

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.

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
Robust XVA (with M. Bichuch and S. Sturm). Mathematical Finance, Vol. 30, No. 3,
738-781, 2020.

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

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
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors (with L. Bo and C. Zhou). (preprint)

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.

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

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 Elsevier, 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.