Editorial:

• IEEE Special Issue on AI and FinTech: The Challenge Ahead [pdf;link],  in IEEE Intelligent Systems, vol. 35, no. 2, pp. 3-6, 1 March-April 2020 (Editor)

Selected Articles:  

(w. student co-authors underlined)  h-index: 23; i10-index: 45

81. Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics [pdf], submitted, 2025 (w. K. Lu)

80. A Coupled Optimal Stopping Approach to Pairs Trading over a Finite Horizon [DOI, pdf], Computational Economics, to appear, 2025 (w. Yerkin Kitapbayev)

79. A Flexible Regime-Switching Framework for FX Dynamics [DOI], Studies in Economics and Finance, Vol. 42 No. 4, pp. 631-645, 2025  (w. Kiseop Lee, Qihui Feng)

78. Threshold Overnight Comovement Analysis of Intraday and Overnight Returns [DOI, pdf], Investment Analyst Journal, published, Sep 2025 (w. Kiseop Lee, Jiwon Jung)

77. Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery [pdf], International Journal of Financial Engineering, 2025 (w. Matt Lorig)

76. Optimal Positioning in Derivative Securities in Incomplete Markets [pdf, link], Frontiers of Mathematical Finance, 3(4), pp.466-489, 2024 (w. Matt Lorig, Yoshihiro Shirai)

75. Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs [DOI, pdf], Mathematics and Financial Economics, Volume 18, pages 671–705, 2024  (w. Hyungbin Park, Heejun Yeo)

74. Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework [pdf, DOI], Applied Mathematical Finance, 2024 (w. Kevin Lu)

73. A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Data, [pdf, DOI] Mathematics 12(6), 2024 (w. Theo Zhao) Special Issue Advanced Statistical Applications in Financial Econometrics)

72. Multiscale Volatility Analysis for Noisy High-Frequency Prices [pdf; DOI], Risks, 11(7), 117, 2023  (w. Theo Zhao) *cover story 

71. A Diversification Framework for Multiple  Pairs Trading Strategies [DOI], Risks, 11 (5), 93, 2023 (w. Kiseop Lee, Boming Ning) *cover story for the Special Issue on Emerging Topics in Finance & Risk Engineering

70. Constrained Dynamic Futures Portfolios with Stochastic Basis [pdf; read online; link], Annals of Finance, volume 18, 2022 (w.  Xiaodong Chen, Yang Zhou) 

69. Optimal Trading with a Trailing Stop [pdf;link], Applied Mathematics and Optimization, 83(2), pp.669-698, 2021 (w. Hongzhong Zhang)

68. Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning [pdf;link], 37( 6), pp.993– 1016, Applied Stochastic Models in Business and Industry 2021 (w. Theo Zhao) *Journal's most cited article 2021-22

67. Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework [pdf; link], International Journal of Theoretical and Applied Finance, Vol. 24, No. 5, p.2150028, 2021 (w. R. Yan, Yang Zhou)

66. Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics [pdf; link], Vol. 14, Issue 10, p.464, Journal of Risk and Financial Management, 2021 (w. T. Zhao)

65. Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices [pdf;link], International Journal of Financial Engineering, 2021 (w. Theo Zhao)

64. Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model [pdf;link], Proceedings of the 2021 American Control Conference (ACC), 2021, pp. 1168-1173, doi: 10.23919/ACC50511.2021.9483199. (w. Yang Zhou)

63. Sparse Mean-Reverting Portfolios via Penalized Likelihood Optimization [pdf;link], Automatica, Volume 111, 108651, Jan 2020 (w. Jize Zhang and Aleksandr Aravkin)

62. Optimal Trading of a Basket of Futures Contracts [pdf;link], Annals of Finance, published online, Jan 2020 (w. Bahman Angoshtari)

61. A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options [pdf;link], International Journal of Theoretical and Applied Finance, Vol. 23, No. 02, 2050004, 2020 (with Yang Zhou)

60. On the Efficacy of Optimized Exit Rule for Mean Reversion Trading, [pdf,link] International Journal of Financial Engineering, Vol. 07, No. 03, 2050024, 2020 (w. D. Lee)

59. A Stochastic Control Approach to Futures Trading with Regime Switching [link], in the Proceedings of the American Control Conference, 2020 (with Yang Zhou)

58. Optimal Dynamic Basis Trading [pdf;link;read online], Annals of Finance, Vol.15, Issue 3, pp. 307–335,  2019 (w. Bahman Angoshtari)

57. Tracking VIX with VIX Futures: Portfolio Construction and Performance [pdf;link], in Handbook of Applied Investment Research, J. Guerard and W. Ziemba eds., World Scientific Publishing Co, in print, 2020 (w. Brian Ward)

56. Effort Expenditure for Cash Flow in a Mean-Field Equilibrium [pdf;link], International Journal of Theoretical & Applied Finance, Vol. 22, No. 04, p.1950014, 2019 (with Ryan Donnelly) - featured article

55. Dynamic Optimal Futures Portfolio in a Regime-Switching Market Framework [pdf;link], International Journal of Financial Engineering, Vol. 6, No. 4, 1950034, 2019 (with Yang Zhou)

54. A Relaxed Optimization Approach for Cardinality-Constrained Portfolios [pdf;IEEE link], Proceedings of the 18th European Control Conference (ECC), pp.2885-2892, 2019 (w. Jize Zhang and Aleksandr Aravkin)

53. Constructing and Trading Cointegrated Cryptocurrency Portfolios [pdf;link], Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599,  2019 (w. H. Nguyen)

52. A Stochastic Control Approach to Managed Futures Portfolios [pdf;link], International Journal of Financial Engineering, Vol. 6, No. 1, p.1950005, 2019 (w. Raphael Yan)

51. How to Mine Gold Without Digging [pdf;link], International Journal of Financial Engineering, Vol. 6, No. 1, p.1950009, 2019 (with Kevin Guo and Brian Ward)

50. Optimal Risk Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics [pdf;link], Annals of Finance, Volume 15, Issue 1, pp.1–28, 2019 (with Z. Wang)

49. Dynamic Index Tracking and Exposure Control Using Derivatives [pdf;link], Applied Mathematical Finance, Vol. 25, Issue 2, pp.180-212, 2018 (with B. Ward)

48. Mean Reverting Portfolios via Penalized Maximum Likelihood Estimation and Optimization [pdf;IEEE link], IEEE Conference on Decision and Control (CDC), pp.5795-5800, 2018 (w. Jize Zhang and Aleksandr Aravkin)

47. Mean Reversion Trading with Sequential Deadlines and Transaction Costs [pdf;link], International Journal of Theoretical & Applied Finance, Vol. 21, no. 1, p.1850004, 2018 (with Yerkin Kitapbayev)

46. Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model [pdf; link], International Journal of Financial Engineering, Volume 5, Issue 3, p. 1850027, 2018 (with Raphael Yan)

45. Optimal Timing to Trade Along a Randomized Brownian Bridge [pdf;link], International Journal of Financial Studies, 6(3),75, pp.1-23, 2018 (with Jiao Li, Xin Li)

44. Leveraged ETF Implied Volatilities from ETF Dynamics [pdf;link], Mathematical Finance, Volume 27, Issue 4, pp.1035–1068 2017  (with M. Lorig, A. Pascucci)

43. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach [pdf;link], International Journal of Theoretical & Applied Finance, Vol. 20, No. 6, p.1750037, 2017 (with. H. Park)

42. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options [pdf;link], Journal of Commodity Markets, Volume 6, pp. 32-49, 2017 (with K. Guo)

41. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach [pdf;link], Annals of Finance, 13(2), pp.181-203, 2017 (with Y. Kitapbayev)

40. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty [pdf;link], International Journal of Financial Engineering, Vol. 4, issue 2, p.1750020, 2017 (with B. Bulthuis (KCG), J. Concha (Two Sigma), B. Ward)

39. Fast & Precautious: Order Controls for Trade Execution, RISK, April Issue, [pdf] 2017 (with B. Bulthuis (KCG), J. Concha (Two Sigma), B. Ward)

38. Timing Options for a Startup with Early Termination and Competition Risks [pdf;link], Risk & Decision Analysis, volume 6, issue 2, pp.151-166, 2017 (with Z. Li)

37. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies [pdf;link], Studies in Economics and Finance, vol 34, issue 4, pp.580-596 2017 (with J. Kang)  - featured in Interactive Broker Trader's Insight

36. Optimal Quadratic Static Hedging [pdf], Quantitative Finance, vol. 16, issue 9, pp.1341-1355, 2016  (with M. Lorig)

35. Implied Volatility of Leveraged ETF Options [pdf], Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015 (with R. Sircar)

34. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach [pdf], European Journal on Operations Research, vol 249, Issue 2, pp.525--539, 2016 (with J. Kim)

33. Speculative Futures Trading under Mean Reversion [pdf; link], Asia-Pacific Financial Markets, vol. 23, issue 4, pp. 281–304, 2016 (with J. Li, X. Li, Z. Wang)

32. ESO Valuation with Job Termination Risk and Jumps in Stock Price [pdf], SIAM Journal on Financial Mathematics, vol. 6, no. 1, pp. 487-516, 2015 (with H. Wan)

31. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models [pdf], SIAM Journal on Control and Optimization, vol. 53, no. 4, pp. 2373–2405, 2015 (with K. Yamazaki & HZ. Zhang) 

30. An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting [pdf], International Journal of Theoretical & Applied Finance, vol. 18, issue 5, p.1550032, 2015 (with K. Yamazaki & HZ. Zhang)

29. Optimal Mean Reversion Trading with Transaction Costs & Stop-Loss Exit [pdf; link], International Journal of Theoretical & Applied Finance, vol 18, issue 3, p.1550020, 2015 (with X. Li)

28. Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs [pdf; link], Stochastic Models, vol 31, issue 4, pp.554-587, 2015 (with X. Li, Z. Wang)

27. An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions [pdf; link], Journal of Economic Dynamics & Control, vol. 53, pp.251-267, 2015 (with E. Dahlgren)

26. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties [pdf], International Journal of Financial Engineering, vol 2, issue 1, p.1550004, 2015  (with Y. Shirai) 

25. The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs [pdf], Studies in Economics and Finance, vol 32, issue 3, pp.278-297, 2015  (with B. Ward) [Winner of the 2016 Emerald Literati Network Award]

24. Understanding the Tracking Errors of Commodity Leveraged ETFs [pdf] in Commodities, Energy & Environmental Finance, Fields Institute Communications,  R. Aid et al. Editors, pp.39-63, Springer, 2015 (with K. Guo)

23. Commodity Leveraged ETFs: Tracking Errors, Volatility Decay and Trading Strategies [pdf] Energy Risk (Risk.net), pp.44-49, Oct 2014

22. Accounting for Earnings Announcements in the Pricing of Equity Options [pdf;link], Journal of Financial Engineering, vol. 1, issue 4, p.1450031, 2014  (with M. Santoli) 

21. Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs [pdf; link], Risk & Decision Analysis, vol. 5, no.2-3, pp. 149-161, 2014  (with X. Li,Z. Wang)

20. Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims [pdf;link], Annals of Operations Research, 243(1), pp.117-146, 2016 (with J. Kim)

19. Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing [pdf], Finance & Stochastics, 17(4), pp.839-870, 2013 (with Q. Song and J. Yang)

18. Stochastic Modeling and Fair Valuation of Drawdown Insurance [pdf], Insurance: Mathematics & Economics, 53(3), pp.840-850, 2013 (with O. Hadjiliadis and HZ. Zhang)

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

16. American Step-Up and Step-Down Default Swaps under Lévy Models [pdf], Quantitative Finance, 13(1), pp.137-157, 2013 (with K. Yamazaki)

15. An Optimal Timing Approach to Option Portfolio Risk Management [pdf], in Advances in Financial Risk Management, Batten et al. eds., pp.391-403, 2013 (with P. Liu)

14. Risk Premia and Optimal Liquidation of Credit Derivatives [pdf], International Journal of Theoretical & Applied Finance, 15(8), pp.1-34, 2012 (with P. Liu)

13. Leveraged Exchange-Traded Funds: Admissible Leverage and Risk Horizon [pdf] [AQR library], Journal of Investment Strategies, 2(1):39-61, 2012 (with M. Santoli)

12. Forward Indifference Valuation of American Options [pdf], Stochastics, 84(5-6): 741-770, 2012 (with R. Sircar and T. Zariphopoulou)

11. Accounting for Risk Aversion in Derivatives Purchase Timing [pdf], Mathematics & Financial Economics, 6(4): 363-386, 2012  (with M. Ludkovski)

10.  Optimal Timing to Purchase Options [pdf], SIAM Journal on Financial Mathematics, 2(1): 768-793, 2011 (with M. Ludkovski)

9.  Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation [pdf], SIAM Journal on Control and Optimization, 48(3): 1422-1451, 2009 (with R. Sircar)

8.  Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options, Mathematical Finance, 19(1): 99-128, 2009  (with R. Sircar)

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

Refereed Survey:

6. Credit Risk in Wiley Encyclopedia of Operations Research & Management Science [pdf], pp.1-10, 2013 (with R. Sircar) 

Earlier Refereed Proceedings:

5. Sequential Static-Dynamic Hedging for Long-Term Derivatives [pdf], Procedia Computer Science, vol. 9, pp.1211-1218, 2012

4. Random Graphs Based on Self-Exciting Messaging Activities [pdf], International Conference on Business Intelligence and Financial Engineering, 2011 (with C. Priebe and N. Lee)

3. Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets [pdf], International Conference on Business Intelligence and Financial Engineering, 2011 (with Q. Song and J. Yang)

2.  A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance [pdf], Proceedings of the 49th IEEE Conference on Decision and Control (CDC), 2010

1. Accounting for risk aversion in the valuation of employee stock options and credit derivatives, [link] Ph.D. Thesis, Princeton University, 2008