PUBLICATIONS

"Do Call Prices and the Underlying Stock Always Move in the Same Direction?," with Gurdip Bakshi and Charles Cao, forthcoming in the Review of Financial Studies, 1999.


 

"Models of Currency Option Pricing," with Gurdip Bkshi, in Advanced Fixed-Income Valuation Tools, edited by N. Jegadeesh and B. Tuckman, 2000, pp. 320-344.


 

"Pricing and Hedging Long-Term Options," with Gurdip Bakshi and Charles Cao, Journal of Econometrics 94, January 2000, pp. 277-318.


 

"Empirical Performance of Alternative Option Pricing Models", with Gurdip Bakshi and Charles Cao, Journal of Finance, Vol. 52, No. 5, December 1997.


 

"An Alternative Valuation Model for Contingent Claims",  with Gurdip Bakshi, Journal of Financial Economics 44, (1997), pp. 123-165.


 

"Equilibrium Valuation of Foreign Exchange Claims", with Gurdip Bakshi, Journal of Finance, (June 1997), pp. 799-826.


 

"The Spirit of Capitalism and Stock Market Prices," with Gurdip Bakshi, American Economic Review, Vol. 86 No. 1, (March 1996), pp. 133-157.


 

"Portfolio Performance Measurement: Theory and Applications," with Peter Knez, Review of Financial Studies, Vol. 9 No. 2, (June 1996), pp. 507-551.


 

"Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics," with Gurdip Bakshi, Review of Financial Studies, Vol. 9 No. 1, (March 1996), 237-271.


 

"Financial Innovation and Arbitrage Pricing in Frictional Economies," Journal of Economic Theory, Vol. 65 No. 1, (Feb 1995), pp. 117-135.


 

"Measurement of Market Integration and Arbitrage," with Peter Knez, Review of Financial Studies, Vol. 8 No. 2, (June 1995), pp. 287-325.


 

"Baby Boom, Population Aging, and Capital Markets," with Gurdip Bakshi, Journal of Business, Vol. 67 No. 2, (1994), pp. 165--202.


 

"A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing Models," with Peter Knez, Mathematical Finance, Vol. 4 No. 2, (April 1994), pp. 121-141.


 

"Production-Based Asset Pricing in Japan," with Gurdip Bakshi and Atsuyuki Naka, Pacific-Basin Finance Journal, Vol. 3, (1995), pp. 217-240.