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

Selected Articles:  

(w. student co-authors underlined)  h-index: 23; i10-index: 44

80. A Coupled Optimal Stopping Approach to Pairs Trading over a Finite Horizon, submitted, 2024 (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, Investment Analyst Journal, to appear, 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