Networks, Systemic Risk, Financial Stability, and Energy
Are supply networks efficiently resilient? (with C. Du, and J. Stiglitz), 2023. (preprint).

Virtual Trading in a Multi-Settlement Electricity Market (with G. Iyengar, B. Yang, and D. Bienstock), 2023. (preprint)

Swing Pricing: Theory and Evidence (with P. Glasserman and M. Weber). Annual Review of Financial Economics, Vol. 15, 617-640, 2023.

Stress Testing Spillover Risk in Mutual Funds (with P. Glasserman and M. Weber). (preprint). Forthcoming at Management Science. 

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). Operations Research, Vol .71, No. 2, 750–767, 2023. 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, Vol. 70, No. 3, 1293-1952, 2022.

Systemic Portfolio Diversification (with M. Weber). Operations Research, Vol. 72, No. 1, 110–131, 2024.

A Theory of Collateral Requirements for Central Counterparties (with J. Wang and H. Zhang). Management Science, Vol. 68, No. 9, 6355-70642022. 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, 130, No. 7, 1805-–1859, 2022. 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. 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.
Fintech and Market Microstructure
Proposer-Builder Separation, Payment for Order Flows, and Centralization in Blockchain (with R. Jia and S. Olafsson). (preprint).

The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity (with R. Jia and B. Zhu). (preprint).  Link to podcast

Price Discovery on Decentralized Exchanges (with R. Jia and S. Yu).  (preprint). Revise and Resubmit at the Review of Financial Studies. Press coverage (Bloomberg)

Maximal Extractable Value and Allocative Inefficiencies in Public Blockchains (with R. Jia and Y. Wang). (preprint). Revise and Resubmit at the Journal of Financial Economics. Winner of the 2022 Annual CBER Conference Best Paper Prize. Press Coverage (Telegraph).

Advances in Blockchain and Crypto Economics (with B. Biais, A. Capponi, L.W. Cong, V. Gaur, and K. Giesecke. Editorial of the Special Issue on Crypto Economics and Blockchain.  Management Science, 69(11), 6417–6426, 2023.

Blockchain Private Pools and Price Discovery (with R. Jia and Y. Wang). AEA Papers and Proceedings, Vol. 113, 2023.

Decentralized Finance: Protocols, Risks, and Governance (with G.~Iyengar and J.~Sethuraman). Invited Paper. Foundations and Trends in Privacy and Security, 5(3), 144-188, 2023. 

Proof of Work Cryptocurrencies: Does Mining Technology undermine Centralization (with H. Alsabah and S. Olafsson). Management Science, Vol. 29, No. 11, 6417-7150, 2023. Winner of the 2019 INFORMS Finance Services Student Paper Competition. Winner of the best doctoral paper award at the second Toronto Fintech conference

Liquidity Provision on Blockchain-based Decentralized Exchanges (with R. Jia). (preprint). Revise and Resubmit at the Review of Financial StudiesWinner of the 2021 INFORMS Finance Services Student Paper Competition.

Large Orders in Small Markets: Execution with Endogenous Liquidity Supply (with A. Menkveld and H. Zhang). Forthcoming at the Review of Finance (preprintblog)

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.
Machine Learning, AI, and Applications to Finance
Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks (with M. Stojnic). (preprint)

Performance Analysis of Matrix Completion Optimization with Applications to Block Causal Inference (with M. Stojnic). (preprint)

Causal Inference (C-inf) -- closed form expressions for worst case typical phase transitions (with M. Stojnic). Proceedings of the 2023 IEEE International Symposium on Information Theory  (extended version preprint).

Phase Transitions: Explicit relations for sparse vector and low rank recovery (with M. Stojnic).  Proceedings of the 2023 IEEE International Symposium on Information Theory (ISIT). Extended version titled "Sparse vector and low rank recovery phase transitions: uncovering the explicit relations". Major revision at the IEEE Transactions on Information Theory.

A Continuous Time Framework for Sequential Goal-Based Wealth Management (with Y. Zhang). (preprint). Forthcoming at Management Science.

Personalized Robo-Advising: Enhancing Investment through Client Interactions (with S. Olafsson and T. Zariphopoulou). Management Science, Vol. 68, No. 4, 2485–-2512, 2022.

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.

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
Large Sample Mean-Field Stochastic Optimization (with L. Bo and H. Liao). SIAM Journal on Control and Optimization, Vol. 60, No. 4, 2538--2573, 2022. (online AppendixFinalist 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, Vol. 48, No. 1, 288–312, 2023

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.