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Publications

• "Innovation in Decentralized Markets: Technology vs. Synthetic Products" (with M. Rostek), American Economic Journal: Microeconomics (2024) 16, 63-109. [paper]

• "Ambiguity in Dynamic Contracts" (with M. Szydlowski), Journal of Economic Theory (2022) 199, 105229. [paper]

• "Exchange Design and Efficiency" (with M. Rostek), Econometrica (2021) 89, 2887-2928. [paper]

• "Business Cycle and Credit Risk Modeling with Jump Risks" (with B.G. Jang and Y. Rhee), Journal of Empirical Finance (2016) 39, 15-36. [paper]

• "An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with B.G. Jang and K.H. Roh), Operation Research Letters (2011) 39, 180-187. [paper]

• "Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with B.G. Jang), Journal of Banking and Finance (2010) 34, 2132-2145. [paper]

Working Papers

• "Imperfect Competition in Financial Markets: Recent Developments" (with M. Rostek), [paper], Revise and resubmit, Journal of Economic Literature.

• "Financial Product Design in Decentralized Markets" (with M. Rostek) [paper], Revise and resubmit, Journal of Political Economy.

• "Endogenous Market Structure: Over-the-Counter versus Exchange Trading" [paper]

• "The More Illiquid, The More Expensive: A Search-Based Explanation of Illiquidity Premium" (with J. Choi, J. Han, and S. Shin) [paper] 

• "Futures Contracts and Imperfect Competition" (with C. Lyu and M. Rostek) [paper]

• "Dynamic Trading and Inference in Non-Markovian Equilibria" (with M. Rostek and X. Wu)

• "Dynamic Imperfectly Competitive Markets with Private Information" (with M. Rostek) [paper]

• "Privacy in Markets" (with M. Ollar and M. Rostek) [paper]

• "Supply Function Games with General Gaussian Information Structures" (with M. Rostek), available by e-mail.