PUBLICATIONS:

“Replicating Financial market Dynamics with a Simple Self-Organized Critical Lattice Model”, with Rudolf Fiebig and David Musgrove, Physica A 390, pp 3120-3135, 2011. [pdf]

"Asset Pricing with Incomplete Information in a Discrete-Time Pure Exchange Economy", with Prasad Bidarkota, Journal of Applied Research in Finance, Volume III, Issue 1(5), pp 9-26, Summer 2011. [pdf]

“A Simplified Pricing Model for Volatility Futures” (with Robert Daigler and Zhiyao Chen), The Journal of Futures Markets,Vol. 31 (4), pp 307-339, 2011. [pdf]

“Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets” (with Rudolf Fiebig and David Musgrove), Physica A 389, pp 107-116, 2010. [pdf]

“Asset Pricing with Incomplete Information and Fat Tails” (with Prasad Bidarkota and J. Huston McCulloch), Journal of Economic Dynamics and Control, Vol. 33 (6), pp 1314-1331, 2009. [pdf]

“A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation” (with Robert Daigler and Ann Marie Hibbert), Journal of Banking and Finance,Vol. 32 (10), pp 2254-2266, 2008. [pdf]

“Effect of intervalling and skewness on portfolio selection in developed and developing markets” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (21), pp 1697-1707, 2008. [pdf]

“Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns” (with Arun Prakash and Chun-Hao Chang), Applied Financial Economics,Vol. 18 (20), pp 1635-1646, 2008. [pdf]

“Fundamental Capital Valuation for IT Companies: a Real Options Approach” (with Arun Prakash and Chung Baek), Frontiers in Finance and Economics,Vol. 5 (1), 2008. [pdf]

"Intrinsic Bubbles and Fat Tails in Stock Prices: A Note" (with Prasad Bidarkota), Macroeconomic Dynamics, Vol. 11 (3), pp 405-422, 2007. [pdf]

“The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia” (with Prasad Bidarkota), Journal of Economic Dynamics and Control,Vol. 31 (3), pp 887-905, 2007. [pdf]

“Information Content of Cross-Sectional Option Prices: a Comparison of Alternative Currency Option Pricing Models on the Japanese Yen", The Journal of Futures Markets,Vol. 26 (1), pp 33-59, 2006. [pdf]

WORKING PAPERS:

“Interest Rates and Credit Spread Dynamics”, with Xiaoquan Jiang, Douglas Rolph and Robert Neal.
“Lattice Simulation of a One-Asset Gauge Model with Self-Organized Critical Dynamics”, with Rudolf Fiebig and David Musgrove.
"Asset Risk, Finance Leverage and Equity Returns", with Douglas Rolph. [pdf]

PERMANENT WORKING PAPER:

"Asymmetric Jump Processes: Option Pricing Implications" [pdf]