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<HTML>
<HEAD>
<TITLE>Research of Professor Sanjiv Ranjan Das</TITLE>
<BASE HREF="http://srdas.github.io/">
</HEAD>
<BODY background="http://srdas.github.io/graphics/back2.gif">
<H2>Sanjiv Das - Publications</H2>
<H2>BOOKS and MONOGRAPHS</H2>
<OL reversed>
<LI><img src="graphics/DSTMAA.png" width="50" height="65">
"Data Science: Theories, Models, Algorithms, and Analytics" (web book -- work in progress)
<a href="http://srdas.github.io/Papers/DSA_Book.pdf">Read here.</a>
<LI><img src="graphics/derbook_cover.png" width="50" height="65">
"Derivatives: Principles and Practice" (2010),
(Rangarajan Sundaram and Sanjiv Das), McGraw Hill.
<a href="http://www.amazon.com/Derivatives-Rangarajan-Sundaram/dp/0072949317/ref=sr_1_1?ie=UTF8&s=books&qid=1268798971&sr=8-1">[Amazon]</a>
<a href="http://productsearch.barnesandnoble.com/search/results.aspx?WRD=sundaram+das">[BarnesNoble]</a>
</OL>
<H2>REFEREED JOURNAL PUBLICATIONS</H2>
<OL reversed>
<LI><img src="graphics/JBF_cover.gif" width="40" height="55">
"An Index-Based Measure of Liquidity,'' (with George Chacko and Rong Fan), (2016).
<I>Journal of Banking and Finance</I>, 68, 162-178. .
<br>[<I> [Develops a new measure of liquidity for all sectors of the markets using ETFs.
RFinance Best Paper Award, May 2016. This paper won the S&P SPIVA 2012 Award for innovation of an index.</I>]
<a href="Papers/etfliq.pdf">[PDF]</a>
</LI>
<LI><img src="graphics/JAI.png" width="55" height="40">
"Matrix Metrics: Network-Based Systemic Risk Scoring", (2016).
<I>Journal of Alternative Investments</I>, Special Issue on Systemic Risk, v18(4), 33-51.
<br>[<I>A new approach to identifying system-wide financial risk, SIFIs, and several other measures
of systemic risk. This paper won the First Prize in the MIT-CFP competition 2016 for
the best paper on SIFIs (systemically important financial institutions).
It also won the best paper award at
the R Finance conference, Chicago 2015. </I>]
<a href="Papers/JAI_Das_issue.pdf">[PDF of paper]</a>
<a href="Papers/JAI_EditorsLetter_issue.pdf">[Editor's letter re Special Issue]</a>
<a href="Papers/JAI_Getmansky_Stein_issue.pdf">[Editor's overview]</a>
<a href="Papers/RiskNetworks_slides_RFinance_2015_05.pdf">[SLIDES RFinance]</a>.
</LI>
<LI><img src="graphics/JBF_cover.gif" width="40" height="55">
"Credit Spreads with Dynamic Debt" (with Seoyoung Kim), (2015),
<I>Journal of Banking and Finance</I>, v50, 121-140.
<a href="Papers/DasKim_JBF2015_FINAL.pdf">[PDF]</a>
<br>[<I>Extends the Merton risky debt model from static debt to dynamic debt
and generates credit spread term structures that are closer to those in the data. Won the National Stock Exchange of India Best Paper Award, at the Center for Analytic Finance Conference, ISB, Hyderabad</I>]
</LI>
<LI><img src="graphics/FTF.jpg" width="40" height="55">
"Text and Context: Language Analytics for Finance", (2014),
<I>Foundations and Trends in Finance</I>, v8(3), 145-260.
<a href="Papers/Das_TextAnalyticsInFinance.pdf">[PDF]</a>
<br>[<I>A comprehensive survey of comcepts, tools, techniques, and empirical
literature on textual processing in finance.</I>]
<LI><img src="graphics/jfe.gif" width="40" height="55">"Did CDS Trading Improve the Market for Corporate Bonds?" (with Madhu Kalimipalli and Subhankar Nayak), (2014), <I>Journal of Financial Economics</I> 111, 495-525.
<a href="Papers/cdsbondeff.pdf">[PDF]</a>
<br>[<I>The inception of CDS trading in a reference name renders its bonds less efficient, with no improvement in market quality or liquidity</I>]
</LI>
<LI><img src="graphics/JBF_cover.gif" width="40" height="55">
"Strategic Loan Modification: An Options-Based Response to Strategic Default,"
(with Ray Meadows), (2013), <I>Journal of Banking and Finance</I> 37, 636-647.
<a href="Papers/sam.pdf">[PDF]</a>
<br>[<I>A closed-form solution for mortgage debt with default and optimal loan modificatoin thereon.</I>]
</LI>
<LI><img src="graphics/JEDC_cover.gif" width="40" height="55">
"Options and Structured Products in Behavioral Portfolios," (with Meir Statman), (2013),
<I>Journal of Economic Dynamics and Control</I>, 37(1), 137-153.
<a href="Papers/JEDC_FINAL_PROOF.pdf">[PDF]</a>
<br>[<I>Explores the roles in behavioral portfolios of option collars, capital guaranteed notes,
and barrier range notes, in the presence of fat-tailed outcomes using copulas.
</I>]
</LI>
<LI><img src="graphics/JFQA_cover.jpg" width="40" height="55">
"The Principal Principle," (2012), <I>Journal of Financial and QuantitativeAnalysis</I>, 47(6), 1215-1246.
<a href="http://journals.cambridge.org/repo_A884JKBk">[PDF]</a>
<br>[<I>Optimal approaches for mortgage loan modification. Principal reduction is optimal, and better than rate reductions, maturity extensions, and principal forebearance. Shared-appreciation mortgages solve moral hazard.</I>]
</LI>
<LI><img src="graphics/IEEE.gif" width="40" height="55">
"Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study," (2011), (with Douglas Burdick, Mauricio A. Hernandez, Howard Ho, Georgia Koutrika, Rajasekar Krishnamurthy, Lucian Popa, Ioana Stanoi, Shivakumar Vaithyanathan), <I>IEEE Data Engineering Bulletin</I>, 34(3), 60-67.
<a href="Papers/midaswww2011_FINAL.pdf">[PDF older version]</a>
<a href="Papers/midas-deb_July2011.pdf">[PDF final version]</a>
<LI><img src="graphics/jfint_cover.gif" width="40" height="55">
"Polishing Diamonds in the Rough: The Sources of Syndicated Venture Performance," (2011), (with Hoje Jo and Yongtae Kim),
<I>Journal of Financial Intermediation</I> 20(2), 199--230.
<a href="Papers/synd.pdf">[PDF]</a>
<br>[<I>Syndicate-financed firms fare better---higher return multiples come from better selection, but time-to-exit and likelihood of exit are better on accont of superior monitoring by the syndicate.</I>]
</LI>
<LI><img src="graphics/JFQA_cover.jpg" width="40" height="55"> "Portfolio
Optimization with Mental Accounts," (2010), (with Harry Markowitz, Jonathan
Scheid, and Meir Statman), <I>Journal of Financial and Quantitative
Analysis</I>, v45(2), 311-334.
<a href="http://journals.cambridge.org/repo_A772rEdS">[PDF (copyright: Cambridge University Press)]</a>
<br>[<I>Mean-variance optimization is reconciled with behavioral porfolio theory. Mental
accounts optimization leads to better aggregate portfolios.</I>]
</LI>
<LI><img src="graphics/jcr.gif" width="40" height="55">
"The Long and Short of it: Why are stocks with shorter run-lengths preferred?" (2010), (with Priya Raghubir), <I>Journal of Consumer Research</I>. 36(6), 964-982.
<a href="Papers/runlength.pdf">[PDF]</a>,
<a href="Papers/runlength_summary.pdf">[Non-technical summary]</a>
<br>[<I>People responding to stock charts are systematically biased against stocks with longer run lengths, even if these stocks are no riskier than those with shorter runs.</I>]
</LI>
<LI><img src="graphics/anor.jpg" width="40" height="55">
"Run Lengths and Liquidity," (with Paul Hanouna), (2010), <I>Annals of Operations Resarch</I>, Special Issue on Risk and Uncertainty, 176(1), 127-152.
<a href="Papers/rs.pdf">[PDF]</a>
<br>[<I>The run signature of a stock is shown to be mathematically related to liquidity. Runs are
priced factors. </I>]
</LI>
<LI><img src="graphics/JEDC_cover.gif" width="40" height="55">
"Implied Recovery,'' (with Paul Hanouna), (2009), <I>Journal of Economic Dynamics and Control</I>, 33(11), 1837-1857.
<a href="Papers/imprec.pdf">[PDF]</a>
<br>[<I>How to use the term structure of CDS spreads to jointly identify the term structures of forward default probability and recovery rates. </I>]
</LI>
<LI><img src="graphics/JBF_cover.gif" width="40" height="55">
"Accounting-based versus market-based cross-sectional models of CDS spreads,"
(with Paul Hanouna and Atulya Sarin), (2009),
<I>Journal of Banking and Finance</I>, 33, 719-730.
<a href="Papers/JBF_final_3.pdf">[PDF]</a>
<br>[<I>Accounting models explain spreads as well as market-based ones, but a hybrid mix does best.</I>]
</LI>
<LI><img src="graphics/jfint_cover.gif" width="40" height="55">
"Hedging Credit: Equity Liquidity Matters," (with Paul Hanouna), (2009),
<I>Journal of Financial Intermediation</I>, v18(1), 112-123
<a href="Papers/cdsliq.pdf">[PDF]</a>
<br>[<I>Hedging in CDS markets provides a mechanism by which equity market liquidity impacts CDS spreads </I>]
</LI>
<LI><img src="graphics/MS_cover.gif" width="40" height="55">
"An Integrated Model for Hybrid Securities,"
(with Raghu Sundaram), (2007), <I>Management Science</I>, v53, 1439-1451.
<a href="Papers/rsx_FINAL.pdf">[PDF]</a>
<br>[<I>A general flexible model for pricing derivative securities that depend on equity,
interest rate and credit risk, using observables. Delivers dynamic implied default probabilities.</I>]
</LI>
<LI><img src="graphics/MS_cover.gif" width="40" height="55">
"Yahoo for Amazon! Sentiment Extraction from Small Talk on the Web,"
(with Mike Chen), (2007), <I>Management Science</I>, v53, 1375-1388.
<a href="Papers/chat_FINAL.pdf">[PDF]</a>
<br>[<I>A methodology for parsing internet stock chat to develop a sentiment index. Assesses
whether small traders opinions contain information not in prices. </I>]
</LI>
<LI><img src="graphics/JF_cover.jpg" width="120" height="55">
"Common Failings: How Corporate Defaults are Correlated"
(with Darrell Duffie, Nikunj Kapadia and Leandro Saita).
(2007) <I>Journal of Finance</I>, v62, 93-117.
<a href="Papers/ddks.pdf">[PDF]</a>
<br>[<I>New approach to test for defaul contagion using a stochastic time change.
Doubly stochastic models are refuted by the data.</I>]
</LI>
<LI><img src="graphics/fmalogo_main.gif" width="40" height="55">
"A Clinical Study of Investor Discussion and Sentiment,"
(with Asis Martinez-Jerez and Peter Tufano), 2005,
<I>Financial Management</I>, v34(5), 103-137.
<a href="Papers/einfo.pdf">[PDF]</a>
<br>[<I>Examines the interaction of chat room information and news. </I>]
</LI>
<LI><img src="graphics/JF_cover.jpg" width="120" height="55">
"International Portfolio Choice with Systemic Risk,"
(with Raman Uppal), 2004, <I>Journal of Finance</I>, v59(6), 2809-2834.
<a href="Papers/systemic.pdf">[PDF]</a>
<br>[<I>A model for portfolio optimization with systemic risk.
The loss resulting from diminished diversification is small, while
that from holding very highly levered positions is large. </I>]
</LI>
<LI><img src="graphics/RFS_cover.gif" width="40" height="55"> "Fee
Speech: Signaling, Risk-sharing and the Impact of Fee Structures on
Investor Welfare,'' (with Rangarajan Sundaram), 2002, <i>Review of
Financial Studies</i>, v15, 1465-1497.
<a href="Papers/fees.pdf">[PDF]</a>
<br><I>[Compares fulcrum vs incentive fees structures from the standpoint of
investor welfare. Contrary to regulatory intuition, incentive structures
are often optimal.] </I>
</LI>
<LI><img src="graphics/FAJ_cover.gif" width="140" height="55">
"A Discrete-Time Approach to No-arbitrage Pricing of Credit derivatives
with Rating Transitions," (with Viral Acharya and Rangarajan Sundaram),
2002, <I>Financial Analysts Journal</I>, May-June, 28-44.
<a href="Papers/dsmarkov.pdf">[PDF]</a>
<br><I>[A HJM type two-factor model in risk free rates and spreads that also accounts
for rating transitions, allowing seamless pricing of many credit derivatives. ] </I>
</LI>
<LI><img src="graphics/JOE_cover.gif" width="40" height="55">
"The Surprise Element: Jumps in Interest Rates", 2002, <I>Journal of
Econometrics</I>, v106, 27-65.
<a href="Papers/jump.pdf">[PDF]</a>
<br><I>[Estimation methodology for interest rates with jumps. A flexible
specification that accommodates Federal Reserve Activity.]</I>
</LI>
<LI><img src="graphics/RFS_cover.gif" width="40" height="55">
"Pricing Interest Rate Derivatives: A General Approach,''(with George Chacko),
2002, <I>Review of Financial Studies</I>, v15(1), 195-241.
<a href="Papers/affine.pdf">[PDF]</a>
<br><I>[General affine option pricing for interest rate derivatives covering a
wide range of securities, allowing for M factors with N diffusions and L jumps.] </I>
</LI>
<LI><img src="graphics/MS_cover.gif" width="40" height="55">
"A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives,''
(with Rangarajan Sundaram), 2000, <I>Management Science</I>, v46(1), 46-62.
<a href="msfinal.ps">[PS]</a>
<br><I>[HJM style two factor model for credit risk. ] </I>
</LI>
<LI><img src="graphics/FAJ_cover.gif" width="140" height="55">
"The Psychology of Financial Decision Making: A Case
for Theory-Driven Experimental Enquiry,''
1999, (with Priya Raghubir),
<I>Financial Analyst's Journal</I>, Nov-Dec 1999, v55(6), 56-79.
<br><I>[Surveys the anomalies literature in Finance and shows how experimental
studies may be used to disentangle competing hypotheses for the same anomaly.]</I>
</LI>
<LI><img src="graphics/JFQA_cover.jpg" width="40" height="55">
"Of Smiles and Smirks: A Term Structure Perspective,''
1999, (with Rangarajan Sundaram), <I>Journal of
Financial and Quantitative Analysis</I>, v34(2), 211-240.
<a href="Papers/skew.pdf">[PDF]</a>
<br><I>[Explains how the shape of the volatility smile is determined by
jumps and stochastic volatility. ]</I>
</LI>
<LI><img src="graphics/JBF_cover.gif" width="40" height="55">
"A Theory of Banking Structure," 1999, (with Ashish Nanda),
<I>Journal of Banking and Finance</I>, v23(6), 863-895.
<br><I>[A theory to analyze the specialization of banking activities based
by function based upon two dimensions: the degree of information asymmetry
and the degree of verifiability of the value of the service rendered. ]</I>
</LI>
<LI><img src="graphics/JEDC_cover.gif" width="40" height="55">
"A Theory of Optimal Timing and Selectivity,''
(with George Chacko), 1999, <I>Journal of
Economic Dynamics and Control</I>, v23(7), 929-966.
<br><I>[Dynamic optimal portfolio choice model for determining optimal effort
allocation to timing and stock selection in asset allocation.]</I>
</LI>
<LI><img src="graphics/JEDC_cover.gif" width="40" height="55">
"A Direct Discrete-Time Approach to
Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton
Model," 1999, <I>Journal of Economic Dynamics and Control</I>, v23(3), 333-369.
<br><I>[HJM tree with jumps. Fast, fully recombining dynamics. ] </I>
</LI>
<LI><img src="graphics/RESTAT_cover.jpg" width="40" height="55">
"The Central Tendency: A Second Factor in
Bond Yields," 1998, (with Silverio Foresi and Pierluigi Balduzzi),
<I>The Review of Economics and Statistics</I>, v80(1), 60-72.
<br><I>[Model of the term structure with stochastic long-run mean. Related to
Federal Reserve acitivity.]</I>
<a href="Papers/BalduzziDasForesi_ReStat1998_CentralTendency.pdf">[PDF]</a>
</LI>
<LI> <img src="graphics/RFS_cover.gif" width="40" height="55">
"Efficiency with Costly Information: A Reinterpretation of
Evidence from Managed Portfolios," (with Edwin Elton, Martin Gruber and Matt
Hlavka), <I>Review of Financial Studies</I>, vol. 6(1), 1993, pp 1-22.
<a href="Papers/EGDH.pdf">[PDF]</a>
<br><I>[Mutual funds are not informationally efficient.
You are better off buying the index.] </I>
<br>
Presented and Reprinted in the Proceedings of The
Seminar on the Analysis of Security Prices at the Center
for Research in Security Prices at the University of
Chicago, Graduate School of Business. </LI>
<H2>MORE REFEREED JOURNAL PUBLICATIONS</H2>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"Managing Rollover Risk with Capital Structure Covenants
in Structured Finance Vehicles" (2016),
(with Seoyoung Kim), forthcoming <I>Journal of Fixed Income</I>.
<a href="Papers/siv_JFI.pdf">[PDF]</a>
<br><I>[We propose a covenant-based capital structure that mitigates rollover problems in SIVs and is Pareto-improving for equity and debt holders in the SPV.]</I>
</LI>
<LI><img src="graphics/JRFM.png" width="40" height="55">
"The Design and Risk Management of Structured Finance Vehicles" (2016),
(with Seoyoung Kim), forthcoming, <I>Journal of Risk and Financial Management</I>, Special Issue on Credit Risk.
<a href="Papers/siv_JRFM.pdf">[PDF]</a>
<br><I>[Risk management for special investment vehicles is difficult, but necessary.
Post the recent subprime financial crisis, we inform the creation of safer SIVs
in structured finance, and propose avenues of mitigating risks faced by senior debt through
deleveraging policies in the form of leverage risk controls and contingent capital.]</I>
</LI>
<LI><img src="graphics/jpm_cover.jpg" width="40" height="55">
"Coming up Short: Managing Underfunded Portfolios in an LDI-ES Framework" (2014),
(with Seoyoung Kim and Meir Statman),
<I>Journal of Portfolio Management</I>, 41(1), 95-108.
<a href="Papers/underfunded.pdf">[PDF]</a>
<br><I>[Provides a new definition of underfunded portfolios, and compares four remedies for underfunding.]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"Going for Broke: Restructuring Distressed Debt Portfolios" (2014),
(with Seoyoung Kim), <I>Journal of Fixed Income</I>, 24(3), 5-27.
<a href="Papers/ddo.pdf">[PDF]</a>
<br><I>[Optimizing portfolios where the return distributions of the assets is endogenous. The gains from restructuring distressed debt portfolios are large.]</I>
</LI>
<LI><img src="graphics/jpm_cover.jpg" width="40" height="55">
"Digital Portfolios." (2013),
<I>Journal of Portfolio Management</I>, v39(2), 41-48.
<a href="Papers/vport.pdf">[PDF]</a>
<br><I>[Constructing portfolios of assets with a binary payoff, large versus zero, and the differences in this optimization versus standard mean-variance portfolio construction.]</I>
</LI>
<LI><img src="graphics/frl.jpg" width="40" height="55">
"Options on Portfolios with Higher-Order Moments," (2009),
(with Rishabh Bhandari), <I>Finance Research Letters</I>, v6, 122-129.
<a href="Papers/tensor.pdf">[PDF]</a>
<br><I>[How to model fat-tailed portfolio distributions for
options on a multivariate system of assets, calibrated to the return
means, covariance matrix, coskewness and cokurtosis tensors.]</I>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Dealing with Dimension: Option Pricing on Factor Trees," (2009),
(with Brian Granger), <I>Journal of Investment Management</I>, 7(2), 73-85.
<a href="Papers/faclat.pdf">[PDF]</a>
<br><I>[Multifactor representations of securities on high-dimensional trees. Allows
you to price options on multiple assets in a unified fraamework. Computational
results assess using multithreading.]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"Modeling
Correlated Default with a Forest of Binomial Trees," (2007), (with
Santhosh Bandreddi and Rong Fan), <I>Journal of Fixed
Income</I>. Winter, 1-20.
<a href="Papers/bscorrdef.pdf">[PDF]</a>
<br><I>[Extends the Das-Sundaram hybrid securities model to correlated default modeling. ]</I>
</LI>
<LI><img src="graphics/jfsr_cover.jpg" width="40" height="55">
"Basel II: Correlation Related Issues" (2007),
<I>Journal of Financial Services Research</I>, v32, 17-38.
<a href="Papers/Das_JFSR2007_Basel2.pdf">[PDF]</a>
<br><I>[Analysis of correlation related issues arising in the implementation
of the Basel II accord.]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"Correlated Default Risk," (2006),
(with Laurence Freed, Gary Geng, and Nikunj Kapadia),
<I>Journal of Fixed Income</I>, Fall 2006, 7-32.
<a href="Papers/DasFreedGengKapadia_JFI2006.pdf">[PDF]</a>
<br><I>[Empirical evidence on the nature of credit correlations. Correlations
increase as markets worsen. Regime switching models are needed to explain dynamic
correlations.]</I>
</LI>
<LI><img src="graphics/qfcover.gif" width="40" height="55">
"A Simple Model for Pricing Equity Options with Markov
Switching State Variables" (2006),
(with Donald Aingworth and Rajeev Motwani),
<I>Quantitative Finance</I>, v6(2), 95-105.
<a href="Papers/switch.pdf">[PDF]</a>
<br><I>[A tree model for options when the underlying has regime switches.]</I>
</LI>
<LI><img src="graphics/mktletters.gif" width="40" height="55">
"The Firm's Management of Social Interactions," (2005)
(with D. Godes, D. Mayzlin, Y. Chen, S. Das, C. Dellarocas,
B. Pfeieffer, B. Libai, S. Sen, M. Shi, and P. Verlegh).
<I>Marketing Letters</I>, v16, 415-428.Ê
<br><I>[A framework for how word-of-mouth communication is modeled in
the practice of marketing. ]</I>
</LI>
<LI><img src="graphics/jpm_cover.jpg" width="40" height="55">
"Financial Communities" (with Jacob Sisk), 2005,
<i>Journal of Portfolio Management</i>, v31(4),
Summer, 112-123.
<a href="Papers/fincom.pdf">[PDF]</a>
<br><I>[Applying graph theory to understanding investor networks to
develop trading rules. ]</I>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Monte Carlo Markov Chain Methods for Derivative Pricing
and Risk Assessment,"(with Alistair Sinclair), 2005,
<I>Journal of Investment Management</I>, v3(1), 29-44.
<a href="https://www.joim.com/ArticleContainer.asp?artid=125&print=false&Key=GQ6!WiJQSJrlrcVJSoeGhEQF7LVNhzfb0M!Nz!0SO5foSMK6!WiHQSJrlrcVJSoeGhEQ">[PDF]</a>
<br><I>[Randomized algorithm using MCMC on very large option pricing trees
where incomplete information about the value of an asset may be exploited to
undertake fast and accurate pricing. Proof that a fully polynomial randomized
approximation scheme (FPRAS) is available.]</I>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Correlated Default Processes: A Criterion-Based Copula Approach,"
(with Gary Geng), 2004, <I>Journal of Investment Management</I>, v2(2), 44-70,
Special Issue on Default Risk.
<a href="https://www.joim.com/ArticleContainer.asp?artid=70&print=false&Key=GQ6!WiJQSJrlrcVJSoeGhEJF7LVNhzfb0M!Nz!0SO5foSMK6!WiHQSJrlrcVJSoeGhEJ">[PDF]</a>
<br><I>[Which copula and marginal distributions best describe default probability
correlations? Develops models and methodology to answer this question. ]</I>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Private Equity Returns: An Empirical Examination of the Exit of
Venture-Backed Companies," (with Murali Jagannathan and Atulya Sarin),
2003, <I>Journal of Investment Management</I>, v1(1), 152-177.
<a href="Papers/PE_returns.pdf">[PDF]</a>
<br><I>[Gains from venture-backed investments depend upon the industry, the stage of the
firm being financed, the valuation at the time of financing, and the prevailing market
sentiment. Helps understand the risk premium required for the
valuation of private equity investments ]</I>
</LI>
<LI><img src="graphics/IJISAFM_cover.gif" width="40" height="55"> "A
Numerical Algorithm for Consumption/Investment Problems," (with Rangarajan
Sundaram), 2002, <I>International Journal of Intelligent
Systems in Accounting, Finance and Management</I>, (Special
Issue on Computational Methods in Economics and Finance),
December, 55-69.
<a href="Papers/hjb.pdf">[PDF]</a>
<br><I>[A simple regression approach to solving optimal consumption
and portfolio problems wit diffusions and jumps.]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"Bayesian Migration in Credit Ratings Based on Probabilities of
Default," (with Rong Fan and Gary Geng), 2002, <I>Journal of
Fixed Income</I>, December, v12(3), 17-23.
<a href="Papers/ratingmigr.pdf">[PDF]</a>
<br><I>[Bayesian model for predicting rating changes based on the
dynamics of default probabilities.]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"The Impact of Correlated Default Risk on Credit Portfolios,"
(with Gifford Fong, and Gary Geng),
2001, <i>Journal of Fixed Income</i>, v11(3), 9-19.
<br><I>[The connection between credit portfolio loss distributions
and credit correlations. ]</I>
</LI>
<LI><img src="graphics/CIR_cover.jpg" width="40" height="55">
"How Diversified are Internationally Diversified Portfolios:
Time-Variation in the Covariances between International Returns,"
1998, (with Raman Uppal), <I>Canadian Investment Review</I>, Spring, 7-11.
<a href="Papers/DasUppalCIR1998.pdf">[PDF]</a>
<br><I>[Internation portfolio risk has systemic components. ]</I>
</LI>
<LI><img src="graphics/REDR_cover.gif" width="40" height="55">
"Discrete-Time Bond and Option Pricing for Jump-Diffusion
Processes," 1997, <I>Review of Derivatives Research</I>, v1(3), 211-244.
<br><I>[Extends the finite-differencing approach for interest rate derivatives
to jump processes.]</I>
</LI>
<LI><img src="graphics/AEL_cover.jpg" width="40" height="55">
"Macroeconomic Implications of Search Theory for the Labor Market,"
1997, <I>Applied Economics Letters</I>, December, v4, 719-723.
<br><I>[Connects option pricing theory to labor search theory. Calibrates to
labor market data.]</I>
</LI>
<LI> <img src="graphics/FMII_cover.gif" width="40" height="55">
"Auction Theory: A Summary with Applications and Evidence
from the Treasury Markets," 1996, (with Rangarajan Sundaram),
<I>Financial Markets, Institutions and Instruments</I>, v5(5), 1-36.
<a href="Papers/DasSundaram_FMII1996_AuctionTheory.pdf">[PDF]</a>
<br><I>[A survey of models and literature on Treasury Auctions. ]</I>
</LI>
<LI><img src="graphics/JFI_cover.gif" width="40" height="55">
"A Simple Approach to Three Factor Affine Models of the
Term Structure," (with Pierluigi Balduzzi, Silverio Foresi and Rangarajan
Sundaram), 1996, <I>Journal of Fixed Income</I>, v6(3), 43-53.
<br><I>[ An easy way to calibrate three factor models using method of moments. ]</I>
</LI>
<LI> <img src="graphics/JFI_cover.gif" width="40" height="55">
"Analytical Approximations of the Term Structure
for Jump-diffusion Processes: A Numerical Analysis," 1996,
(with Jamil Baz), <I>Journal of Fixed Income</I>, v6(1), 78-86.
<br><I>[An exact solution to an approximate PDE may be better than
an approximate solution to an exact PDDE for term structure models. ]</I>
</LI>
<LI> <img src="graphics/JAF_cover.jpg" width="40" height="55"> "Revisiting
Markov Chain Term Structure Models: Extensions and Applications,"
1996, <I>Financial Practice and Education</I>, v6(1), 33-45.
<br><I>[A new pedagogy for Markov models of interest rates. ]</I>
</LI>
<LI> <img src="graphics/REDR_cover.gif" width="40" height="55">
"Exact Solutions for Bond and Options Prices
with Systematic Jump Risk," 1996, (with Silverio Foresi),
<I>Review of Derivatives Research</I>, v1(1), 7-24.
<a href="Papers/DasForesiREDR1996.pdf">[PDF]</a>
<br><I>[First paper to show that affine solutions exist for
jump-diffusion term structure models.]</I>
</LI>
<LI> <img src="graphics/JOD_cover.gif" width="40" height="55">
"Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings
and Credit Spreads are Stochastic," 1996,
(with Peter Tufano), <I>The Journal of Financial Engineering</I>,
v5(2), 161-198.
<a href="Papers/DasTufanoJFE1996.pdf">[PDF]</a>
<br><I>[Rating based model for credit derivatives with correlation between recovery
rates, interest rates and default probabilities. ]</I>
</LI>
<LI> <img src="graphics/JOD_cover.gif" width="40" height="55">
"Credit Risk Derivatives," <I>Journal of Derivatives</I>, 1995, pg 7-21.
<a href="Papers/Das-JOD1995.pdf">[PDF]</a>
<br><I>[Introduces early models for pricing credit derivatives as compound options. ]</I>
</LI>
<H2>SHORTER ARTICLES and BOOK CHAPTERS (Mostly Non-refereed, Invited)</H2>
<LI><img src="graphics/fame.jpg" width="40" height="55">
"Did CDS Trading Improve the Market for Corporate Bonds," (2016),
(with Madhu Kalimipalli and Subhankar Nayak),
<I>Finance and Accounting Memos</I> Issue 3, 45--49.
<a href="Papers/fame-3.pdf">[PDF]</a>
<br><I>[CDS trading adversely impacted the bond market.]</I>
</LI>
<LI><img src="graphics/FD.png" width="40" height="55">
"Big Data's Big Muscle," (2016),
<I>Finance and Development (IMF)</I>, September, 14(2), 26-28.
<a href="Papers/FD_BigData.pdf">[PDF]</a>
<br><I>[Economics in the machine age.]</I>
</LI>
<LI><img src="graphics/jwm.jpg" width="40" height="55">
"Portfolios for Investors Who Want to Reach Their Goals While Staying on the Mean-Variance Efficient Frontier," (2011),
(with Harry Markowitz, Jonathan Scheid, and Meir Statman),
<I>Journal of Wealth Management</I>, Fall, 14(2), 25-31.
<br><I>[A framework for goal driven mental accounting and behavioral portfolio allocation that extends mean-variance portfolios.]</I>
</LI>
<LI><img src="graphics/HNAF_Wiley.jpg" width="40" height="55">
"News Analytics: Framework, Techniques and Metrics," The Handbook of News Analytics in Finance, May 2011, John Wiley & Sons, U.K.
<a href="Papers/newsmetrics.pdf">[PDF]</a>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Random Lattices for Option Pricing Problems in Finance," (2011),
<I>Journal of Investment Management</I>, 9(2), 88-106.
<a href="Papers/randlatt.pdf">[PDF]</a>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Implementing Option Pricing Models using Python and Cython," (2010),
(with Brian Granger), <I>Journal of Investment Management</I>, 9(4), 72-84
<a href="Papers/cython.pdf">[PDF]</a>
</LI>
<LI><img src="graphics/IEEE_IS_cover.jpg" width="40" height="55">
"The Finance Web: Internet Information and Markets," (2010),
<I>IEEE Intelligent Systems</I>, 25(2), Mar/Apr, 74--78.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Financial Applications with Parallel R," (2009),
(with Brian Granger), <I>Journal of Investment Management</I>, 7(4), 66-77
<a href="Papers/parallelr_options.pdf">[PDF]</a>
</LI>
<LI><img src="graphics/EQF.jpg" width="40" height="55">
"Recovery Swaps," (2009), (with Paul Hanouna),
<I>Encyclopedia of Quantitative Finance</I>, John Wiley and Sons, U.K., 1507--1509
<LI><img src="graphics/EQF.jpg" width="40" height="55">
"Recovery Rates," (2009),(with Paul Hanouna),
<I>Encyclopedia of Quantitative Finance</I>, John Wiley and Sons, U.K., 1505--1507
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
``A Simple Model for Pricing Securities with a Debt-Equity Linkage,'' 2008, in
<I> Innovations in Investment Management</I>, Bloomberg Press, 85-112.
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Credit Default Swap Spreads", 2006, (with Paul Hanouna),
<I>Journal of Investment Management</I>, v4(3), 93-105.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Multiple-Core Processors for Finance Applications," 2006,
<I>Journal of Investment Management</I>, v4(2), 76-81.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Power Laws," 2005, (with Jacob Sisk),
<I>Journal of Investment Management</I>, v3(3), 84-91.
<a href="https://www.joim.com/ArticleContainer.asp?artID=154">[PDF]</a>
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Genetic Algorithms," 2005,
<I>Journal of Investment Management</I>, v3(2), 77-82.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Recovery Risk," 2005,
<I>Journal of Investment Management</I>, v3(1), 113-120.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Venture Capital Syndication", (with Hoje Jo and Yongtae Kim), 2004
<I>Journal of Investment Management</I>, v2(4), 132-143.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Technical Analysis", (with David Tien), 2004
<I>Journal of Investment Management</I>, v2(1), 79-85.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Liquidity and the Bond Markets, (with Jan Ericsson and
Madhu Kalimipalli), 2003,
<I>Journal of Investment Management</I>, v1(4), 95-103.
</LI>
<LI><img src="graphics/JEL_cover.jpg" width="40" height="55">
"Modern Pricing of Interest Rate Derivatives - Book Review",
2004, <I>Journal of Economic Literature</I>, vXLII, 528-529.
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Contagion", 2003,
<I>Journal of Investment Management</I>, v1(3), 78-84.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"Hedge Funds", 2003,
<I>Journal of Investment Management</I>, v1(2), 76-81.
Reprinted in
"Working Papers on Hedge Funds," in The World of Hedge Funds:
Characteristics and
Analysis, 2005, World Scientific.
</LI>
<LI><img src="graphics/JOIM_cover.gif" width="40" height="55">
"The Internet and Investors", 2003,
<I>Journal of Investment Management</I>, v1(1), 213-217.
</LI>
<LI><img src="graphics/EC_cover.gif">
"Useful things to know about Correlated Default Risk,"
(with Gifford Fong, Laurence Freed, Gary Geng, and Nikunj Kapadia),
2001, <i>Extra Credit</i>, November-December, 14-23.
</LI>
<LI><img src="graphics/QAFM_cover.jpg" width="40" height="55">
"The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis,''
(with Rangarajan Sundaram), 1998, NBER WP No 6639, in the
Courant Institute of Mathematical Sciences, special volume on
<I>Quantitative Analysis in Financial Markets</I>, Volume III, 2001.
</LI>
<LI><img src="graphics/QAFM_cover.jpg" width="40" height="55">
"A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives,''
(with Rangarajan Sundaram), reprinted in
the Courant Institute of Mathematical Sciences, special volume on
<I>Quantitative Analysis in Financial Markets</I>, Volume III, 2001.
</LI>
<LI><img src="graphics/AFIVT_cover.jpg" width="40" height="55">
"Stochastic Mean Models of the Term Structure,''
(with Pierluigi Balduzzi, Silverio Foresi and Rangarajan Sundaram),
2000, <I>Advanced Fixed-Income Valuation Tools
</I>, edited by N. Jegadeesh and B. Tuckman,
John Wiley & Sons, Inc., 128-161.
</LI>
<LI><img src="graphics/AFIVT_cover.jpg" width="40" height="55">
"Interest Rate Modeling with Jump-Diffusion Processes,''
2000, <I>Advanced Fixed-Income Valuation Tools
</I>, edited by N. Jegadeesh and B. Tuckman,
John Wiley & Sons, Inc., 162-189.
</LI>
<LI><img src="graphics/FCR_cover.jpg" width="40" height="55">
Comments on 'Pricing Excess-of-Loss Reinsurance Contracts against
Catastrophic Loss,' by J. David Cummins, C. Lewis, and Richard Phillips,
in <I>The Financing of Catastrophe Risk</I>, Kenneth A
Froot (Ed.), University of Chicago Press, 1999, 141-145.
</LI>
<LI><img src="graphics/HCD_cover.jpg" width="40" height="55">
"Pricing Credit Derivatives,''
1999, <I>Handbook of Credit Derivatives</I>, eds J. Francis,
J. Frost and J.G. Whittaker, 101-138.
</LI>
<LI><img src="graphics/PEC_cover.gif" width="40" height="55">
"On the Recursive Implementation of Term Structure Models,''
1998, <I>Pecunia</I>, The Netherlands, Summer 1998, 45-49.
</LI>
</OL>
<H2>WORKING PAPERS</H2>
<OL>
<LI><img src="graphics/frog2.gif">
”Local Volatility and the Recovery Rate of Credit Default Swaps”,
(with Jeroen Jansen and Frank Fabozzi).
<a href="Papers/LocalVolatility.pdf">[PDF]</a>.
<LI><img src="graphics/frog2.gif">
"Efficient Rebalancing of Taxable Portfolios" (with Dan Ostrov, Dennis Ding, Vincent Newell),
<a href="Papers/taxopt.pdf">[PDF]</a>.
<a href="Papers/taxopt_slides_RFinance_2015_05.pdf">[SLIDES RFinance]</a>.
<a href="Papers/taxopt_slides2.pdf">[SLIDES JOIM]</a>.
<LI><img src="graphics/frog2.gif">
"The Fast and the Curious: VC Drift"
(with Amit Bubna and Paul Hanouna),
<a href="Papers/vcstyle.pdf">[PDF]</a>
<LI><img src="graphics/frog2.gif">
"Venture Capital Communities" (with Amit Bubna and Nagpurnanand Prabhala),
<a href="Papers/vccomm.pdf">[PDF]</a>
</OL>
</UL>
<p>
My page on SSRN (with downloadable papers) is <a
href="http://ssrn.com/author=17108">here</a>.
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