Research

Published/Forthcoming Papers:

• Real Options Problem with Non-Smooth Obstacle (with Alain Bensoussan, Dmitrii Rachinskii, and Alejandro Rivera), [Paper Link] [Paper PDF] [Slides]

SIAM Journal of Financial Mathematics, Vol. 12(4), 1508-1552 (2021)

• Inter-Provincial Disparity of COVID-19 Transmission and Control in Nepal (with Buddhi Pantha, Hem Raj Joshi, and Naveen K. Vaidya), [Paper Link]

Scientific Reports by Nature, Vol. 11, 13363 (2021)

Working Papers:

• Present-Bias and the Value of Sophistication (with David Jimenez-Gomez, Dmitrii Rachinskii, and Alejandro Rivera) [available at SSRN], [Slides]

Revise and Resubmit, Games and Economic Behavior  

• Revisiting the Impact of Renewable Energy on PPAs (with Benoit Chevalier-Roignant and Helyette Geman)                                                                                          

Revise and Resubmit, Journal of Banking and Finance

Works in Progress:

• Deep Learning Approach to Contracts with Habit Formation (with Alejandro Rivera)

• Fama-French-Five Enhanced with LLMs (with Haoyang Cao)

• Options Price Influenced by Disease Epidemics with Machine Learning (with Naveen K. Vaidya)

• A Robust Model of Wealth Management for Family Offices (with Alain Bensoussan, Dmitrii Rachinskii, and Alejandro Rivera)