2025

"Lost in the LIBOR Transition", with Andrea Macrina, Erik Schlögl and David Skovmand, Quantitative Finance, 25(1): 17-30. (Article) (SSRN preprint)

2023

"Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach", with Andrea Macrina, Erik Schlögl and David Skovmand, Frontiers of Mathematical Finance, 2(3): 340-384. (Article) (SSRN preprint)

"Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments", with Ralph Rudd, Applied Economics, 55(18): 2060-2069. (Article) (SSRN preprint)

2022

"Expected and unexpected jumps in the overnight rate: consistent management of the Libor transition", with Joshua Hayes, Journal of Banking and Finance, 145, 106669. (Article) (SSRN preprint)

"Volatility level dependence and linear-rational term structure models", with Kalind Ramnarayan, Emerging Markets Finance and Trade, 58(13), 3622-3638. (Article) (Preprint)

"On buybacks, dilutions, dividends, and the pricing of stock-based claims", with Tom McWalter and Peter Ritchken, Mathematical Finance, 32(1), 273-308. (Article) (SSRN preprint)

2021

​"Unspanned stochastic volatility from an empirical and practical perspective", Journal of Banking and Finance, 122, 105993. (Article) (SSRN preprint)

2015

"State prices and implementation of the recovery theorem", Journal of Risk and Financial Management, 8(1), 2-16. (Article)