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)

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Stony Brook Moment: Mallory Rothstein. The moment is different for everyone. Here's how Mallory Rothstein found hers. [Video]


Upcoming Events

Innovation Lab Open House
October 28, 11:30 to 1:00 pm in Harriman 210 
Richard Gelfond, '76, CEO of IMAX
Lecture and Reception
Tuesday, November 11 at 6:00 pm in Charles B. Wang Center Theater [PDF]
Organizations, Management and Groups (OMG) Seminar Series:
November 7 at 1:00 pm in Wang 102
November 21 at 1:00 pm in Harriman 102
December 5 at 1:00 pm in Wang 301
December 19 at 1:00 pm in Wang 301




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