Research

Working papers & works in progress

• “Model Selection by Market Selection,” (with Christian Heyerdahl-Larsen and Philipp Illeditsch).

• “Psychological Distance and Subjective Beliefs,” (with Harjoat Bhamra and Raman Uppal).

• “Fundamental Value Pricing and Bubbles for Nontraditional Assets: The Case of Cryptocurrencies,” (with Rustam Ibragimov and Christine Parlour).

• “Optimal Bundling Strategies for Complements and Substitutes with Heavy-Tailed Valuations,” (with Rustam Ibragimov and Arthem Prokhorov)

• “Two Trees and a Gardener,” (with Sebastien Betermeier, Laurent Calvet, and Evan Jo).

Publications

1. “On Efficiency in Disagreement Economies,” (with Christian Heyerdahl-Larsen), Social Choice and Welfare, 2023, 61, 763-799.

2. “Visibility Bias in the Transmission of Consumption Beliefs and Undersaving” (with Bing Han and David Hirshleifer), Journal of Finance, 2023, 78(3), 1647-1704.

3. “Non-Banks and Mortgage Securitization” (with You Suk Kim, Karen Pence, Richard Stanton, and Nancy Wallace), Annual Review of Financial Economics, 2022, 14, 137-166.

4. “Distortions and Efficiency in Production Economies with Heterogeneous Beliefs,” (with Christian Heyerdahl-Larsen), Review of Financial Studies, 2022, 35(4), 1775-1812.

5. “Payment System Externalities,” (with Christine Parlour and Uday Rajan), Journal of Finance, 2022, 77(2), 1019-1053.

6. “Social Transmission Bias and Investor Behavior,” (with Bing Han and David Hirshleifer), Journal of Financial and Quantitative Analysis, 2022, 57(1), 390-412.

7. “Numerical Ross Recovery for Diffusion Processes using a PDE Approach,” (with Lina von Sydow), Applied Mathematical Finance, 2020, 27(1-2), 46-66.

8. “Trading, Profits, and Volatility in a Dynamic Information Network Model,” Review of Economic Studies, 2019, 86(5), 2248-2283.

9. “BENCHOP-SLV: The Benchmarking Project in Option Pricing – Stochastic and Local Volatility Problems,” (with Lina von Sydow et al.), International Journal of Computer Mathematics, 2019, 96(10), 1910-1923.

10. Mortgage Loan Flow Networks and Financial Norms,” (with Richard Stanton and Nancy Wallace), Review of Financial Studies, 2018, 31(9), 3595-3642.

11. “Equilibrium with Monoline and Multiline Insurers,” (with Rustam Ibragimov and Dwight Jaffee), Review of Finance, 2018, 22(2), 595-632.

12. “Recovery with Unbounded Diffusion Processes,” Review of Finance, 2017, 21(4), 1403-1444.

13. “Comment on: The Intended an Unintended Consequences of Financial-Market Regulations,” Journal of Monetary Economics, 2016, 81, 44-47.

14. “Beauty is in the Bid of the Beholder: An Empirical Basis for Style,” (with Will Goetzmann, Peter Jones, and Mauro Maggioni), Research in Economics, 2016, 70(3), 388-402.

15. “BENCHOP – The Benchmarking Project in Options Pricing,” (with Lina von Sydow et al.), International Journal of Computer Mathematics, 2015, 92(12), 2361-2379.

16. “Bounds for Path-Dependent Options,” (with Rustam Ibragimov and Donald Brown), Annals of Finance, 2015, 11(3), 433-451.

17. “Markup Cycles, Dynamic Misallocation and Amplification” (with Marcus Opp and Christine Parlour), Journal of Economic Theory, 2014, 154, 126-161.

18. “Optimal Insurance with Costly Internal Capital,” (with Dwight Jaffee), Risk Management & Insurance Review, 2014, 17(2), 137-161.

19. “Investor Networks in the Stock Market,” (with Han Ozsoylev, Deniz Yavuz and Recep Bildik), Review of Financial Studies, 2014, 27(5), 1323-1366.

20. “The Industrial Organization of the U.S. Residential Mortgage Market,” (with Richard Stanton and Nancy Wallace), Annual Review of Financial Economics, 2014, 6, 259-288.

21. “Limited Capital Market Participation and Human Capital Risk,” (with Jonathan Berk), Review of Asset Pricing Studies, 2013, 3(1), 1-37. 

22. “Market Selection and Welfare in a Multi-Asset Economy,” (with Yurii Fedyk and Christian Heyerdahl-Larsen), Review of Finance, 2013, 17, 1179-1237.

23. “Financial Flexibility, Bank Capital Flows and Asset Prices,” (with Christine Parlour and Richard Stanton), Journal of Finance, 2012, 67(5), 1685-1722.

24. “Hedging Labor Income Risk,” (with Sebastien Betermier, Christine Parlour and Thomas Jansson), Journal of Financial Economics, 2012, 105(3), 622-639.

25. “Asset Pricing in Large Information Networks,” (with Han Ozsoylev), Journal of Economic Theory, 2011, 146(6), 2252-2280.

26. “Revisiting Asset Pricing Puzzles in an Exchange Economy” (with Christine Parlour and Richard Stanton), Review of Financial Studies, 2011, 24(3), 629-674.

27. “Diversification Disasters,” (with Rustam Ibragimov and Dwight Jaffee), Journal of Financial Economics, 2011, 99(2), 333-348.

    • Reprinted in “Heavy-Tailed Distributions and Robustness in Economics and Finance,” Springer, 2015.

28. “General Equilibrium Returns to Human and Investment Capital under Moral Hazard” (with Christine Parlour), Review of Economic Studies, 2011, 78(1), 394-428.

29. “Value at Risk and Efficiency under Dependency and Heavy-Tailedness” (with Rustam Ibragimov), Annals of Finance, 2011, 7(3), 285-319.

30. “Pricing and Capital Allocation for Multiline Insurance Firms,” (with Rustam Ibragimov and Dwight Jaffee), Journal of Risk and Insurance, 2010, 77(3), 551-578.

31. “Optimal Bundling Strategies under Heavy Tailed Valuations” (with Rustam Ibragimov), Management Science, 2010, 56(11), 1963-1976.

    • Reprinted in “Heavy-Tailed Distributions and Robustness in Economics and Finance,” Springer, 2015.

32. “Nondiversification Traps in Catastrophe Insurance Markets” (with Rustam Ibragimov and Dwight Jaffee), Review of Financial Studies, 2009, 22(3), 959-993.

    • Reprinted in “Heavy-Tailed Distributions and Robustness in Economics and Finance,” Springer, 2015.

33. “Portfolio Diversification Under Local and Moderate Deviations From Power Laws” (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008, 42(2), 594-599.

34. “The Limits of Diversification When Losses May be Large” (with Rustam Ibragimov), Journal of Banking and Finance, 2007, 31(8), 2551-2569.

    • Reprinted in “Heavy-Tailed Distributions and Robustness in Economics and Finance,” Springer, 2015.

35. “Situational Awareness: Estimating the Size and Time of a Bioterror Attack” (with Edward Kaplan), Emerging Infectious Diseases, 2004, 10(7), 1202-1205.

36. “Analysis of The Direct Fourier Method for Computer Tomography”, IEEE Transactions on Medical Imaging, 2000, 19(3), 211-222.

37. “A General Adaptive Solver for Hyperbolic PDEs Based on Filter Bank Subdivisions”, Applied Numerical Mathematics, 2000, 33(1-4), 317-325.

38. “Filter Bank Subdivisions of Bounded Domains”, Applied Numerical Mathematics, 2000, 32(3), 331-357.

39. “Filter Bank Methods for Hyperbolic PDEs”, SIAM Journal on Numerical Analysis, 1999, 36(4), 1183-1233.

40. “On the Approximation of Singular Source Terms in Differential Equations”, Numerical Methods for Partial Differential Equations, 1999, 15(4), 503-520.

41. “Adaptive Wavelet Methods for Hyperbolic PDE” (with Mats Holmström), Journal of Scientific Computing, 1998, 13(1), 19-49.

42. “Spectral Analysis of the Differential Operator in Wavelet Bases”, Applied and Computational Harmonic Analysis, 1995, 2(4), 382-391.

Books & proceedings

• “Heavy-Tailed Distributions and Robustness in Economics and Finance,” (with Marat Ibragimov and Rustam Ibragimov), Lecture Notes in Statistics, Springer, 2015.

• Situational Awareness in a bioterror attack via probability modeling, in Risk Assessment and Risk Communication Strategies in Bioterrorism Preparedness, (Green et. al. Eds.), Springer 2007.

• Filter Banks, L-cycles and Hyperbolic PDE in Hackbusch W. and Wittum G. (Ed. by) Numerical Treatment of Multi-Scale Problems, Vieweg-Verlag (1999).

Research reports

• “The Pseudopolar FFT and its Applications” (with Amir Averbuch, Ronald Coifman, David Donoho, Moshe Israeli), Research Report DCS/RR-1178, Yale University, Dept. of Computer Science, New Haven CT, 1999.

• “Fast Slant Stack: A Notion of Radon Transform for Data in a Cartesian Grid which is Rapidly Computable, Algebraically Exact, Geometrically Faithful and Invertible” (with Amir Averbuch, Ronald Coifman, David Donoho, and Moshe Israeli), Stanford University, Department of Statistics, 2001.

• “Solving the Compressible Euler and Navier-Stokes Equations with the Filter Bank Method”. Research Report DCS/RR-1184, Yale University, Dept. of Computer Science, New Haven CT, 1999.

• “Filter Bank Preconditioners for Finite Difference Discretizations of PDEs”, Technical Report 198, Uppsala University, Department of Scientific Computing, 1997.

• “Orthonormal, Compactly Supported Wavelets for Solving Hyperbolic PDEs”, Technical Report 170, Uppsala University, Department of Scientific Computing, 1995.