Working Papers

  1. The Empirical Foster-Hart Risk of the Global Banking Stock Market (with A. Anand, T. Kurosaki, and T. Li)
  2. Bessel Tempered Stable Processes: Theory and Modeling (with D.M. Chung)
  3. Multivariate Tempered Stable Model with Long-range Dependence and Time-varying Volatility.
  4. Quanto Option Pricing in the Presence of Fat Tails and Asymmetric Dependence (With S. Mittnik, J. Park, and J. Lee)
  5. Coherent Risk Measure and Normal Mixture Distributions (with X. Shi)
College of Business • Stony Brook University, Stony Brook, NY 11794-3775 • Phone: 631.632.7171 • Fax: 631.632.8181
Login to Edit