Last updated in 2020. For latest research, please visit the research page.

Papers on Credit Risk:

1. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach, European Journal on Operations Research, Volume 249, Issue 2, 1 March 2016, Pages 525-539 [link] (with J. Kim)

2. Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims [pdf], Annals of Operations Research, August 2016, Volume 243, Issue 1–2, pp 117–146 (with J. Kim)

3. Default Swap Games Driven by Spectrally Negative Lévy Processes, Stochastic Processes & their Applications, 123(2): 347-384, 2013 (with K. Yamazaki and M. Egami)

4. American Step-Up and Step-Down Default Swaps under Lévy Models, Quantitative Finance, 13(1): 137-157, 2013 (with K. Yamazaki)

5. Credit Risk (A Survey) in Wiley Encyclopedia of Operations Research & Management Science, pp.1-10, 2013 (with R. Sircar) 

6. Risk Premia and Optimal Liquidation of Credit Derivatives, International Journal of Theoretical & Applied Finance, 15(8): 1-34, 2012 (with P. Liu) 

7. Credit Derivatives and Risk Aversion, in Advances in Econometrics, T. Fomby et al. eds., vol.22, pp.275-291, 2008 (with R. Sircar and T. Zariphopoulou)