[1] “Underwriting Services and the New Issues Market”, with George J. Papaioannou. Academic Press/Elsevier, July 2017.eBook ISBN: 9780128032831, Hardcover ISBN: 9780128032824.


[21] “Novel Risks: A Research and Policy Review”. The Journal of Portfolio Management, September 2021, v.47, n.9, 11–34.

[20] “Firm-Level Cybersecurity Risk and Idiosyncratic Volatility”, with Nazli Sila Alan and Tianpeng Zhou. The Journal of Portfolio Management, September 2021, v.47, n.9, 101–140.

[19] “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis”, with Robert F. Engle, Martin Klint Hansen and Asger Lunde. The Journal of Financial Econometrics, Winter 2021, v.19, n.1, pp. 1–38.

[18] “Effects of Short-Sale Constraints and Information Asymmetry on Index Futures Trading”, with Frank Fabozzi and Nina Wang. The Review of Finance, August 2017, v.21, n.5, pp. 1975-2005.

[17] “Volatility Wisdom of Social Media Crowds”, with Frank Fabozzi. The Journal of Portfolio Management, Winter 2017, v.43, n.2, pp. 136-151.

[16] “Credit Risk Signals in CDS Market vs. Agency Ratings” with Michael Jacobs, Jr. and Dina Naples Layish. The Journal of Risk Finance, 2016, v.17, n.2, pp. 71-96.

[15] “Growing Pains: The Evolution of New Stock Index Futures in Emerging Markets”, with Nazli Sila Alan and Sibel Korkmaz. Research in International Business and Finance, May 2016, v.37, pp. 1-16.

[14] “Stress Testing and Model Validation: Application of the Bayesian Approach to a Credit Risk Portfolio”, with Michael Jacobs, Jr. and Frank J. Sensenbrenner. The Journal of Risk Model Validation, September 2015, v.9, n.13, pp. 1-29.

[13] “On the Characteristics of Dynamic Correlations between Asset Pairs”, with Mike Jacobs Jr. Research in International Business and Finance, August 2014, v.32, pp. 60-82.

[12]“Bank Capital and New Regulatory Requirements for Risk in Trading Portfolios”, with Hulusi Inanoglu and Michael Jacobs, Jr. The Journal of Fixed Income, Spring 2014, v.23, n.4, pp. 71-88.

[11]“Resolution of Corporate Financial Distress: An Empirical Analysis of Processes and Outcomes”, with Michael Jacobs, Jr. and Dina Naples Layish. The Journal of Portfolio Management, Winter 2012, v.38, n.2, pp. 117-135.

[10] “Modeling Ultimate Loss-Given-Default on Corporate Debt”, with Michael Jacobs, Jr. The Journal of Fixed Income, Summer 2011, v.21, n.1, pp. 6-20.

[9] “Direct Market Access in Exchange-Traded Derivatives: Effects of Algorithmic Trading on Liquidity in Futures Markets”, The Review of Futures Markets, Summer 2011, v.19, special issue, pp. 95-142.  Link to the Full article @ the IFM The Institute for Financial Markets.

[8] “Information Asymmetry, Speculation and Foreign Trading Activity: Emerging Market Evidence”, with Cetin Ciner. International Review of Financial Analysis September 2008, v.17, n.4, pp. 664-680.

[7] “Relative Performance of Bid-Ask Spread Estimators: Futures Markets Evidence”, with Amber Anand. The Journal of International Financial Markets, Institutions & Money, July 2006, v.16, n.3, pp. 231-245.

[6] “What is so special about KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity”, with Cetin Ciner and Wi Saeng Kim. The Review of Futures Markets, Winter 2005-2006, v.14, n.3, pp. 327-348.

[5] “The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics,” with Terrence F. Martell and George H. K. Wang, Review of Quantitative Finance and Accounting, December 2003, v.21, n.4, pp. 323-348.

[4] “Pricing Interest Rate Options using BDT Term Structure Model: The Effect of Yield Curve Smoothing,” with Turan Bali. The Journal of Futures Markets, March 2000, v. 20, n. 3, pp. 293-306.

[3] “Changing the Size of a Futures Contract: Liquidity and Microstructure Effects,” with Terrence F. Martell. The Financial Review, November 1999, v.34, n. 4, pp. 75-94.

[2] “Implementation of the BDT Model with Different Volatility Estimators: Applications to Eurodollar Futures Options,” with Turan Bali, The Journal of Fixed Income, March 1999, v.8, n.4, pp. 24-34.

[1] “Explicit versus Implicit Contracts: The Case of DIFF and CROSS Futures,” The Financial Review, February 1999, v.34, n.1, pp. 101-118.


[1] “Option Pricing Models: From Black-Scholes-Merton to Present”. Forthcoming in the Journal of Derivatives.


[*] “Impact of Language Complexity on Volatility: Textual Analysis of Earnings Call Transcripts”, with Robert F. Engle and Nazli Sila Alan.

“Inferring Asset Characteristics: Pricing Futures Contracts on Bitcoin”, with Nazli Sila Alan and Frank J. Fabozzi.

“Short Selling Around Insiders’ Sales vs. Gifts”, with Dominique G. Outlaw and Aimee Hoffmann Smith.

“Analysis of Open Interest Patterns in the Foreign Exchange Futures: Implications for Optimal Hedging Strategies”


“Introduction of Derivatives Exchanges in Emerging Markets”, with Hatice Pinar Ersen and Nazli Sila Saylak.

“Hedging with VIX Futures”, with Nancy White

“Price Discovery in Korean Options, Futures and KOSPI 200 Stock Index Markets”, with Cetin Ciner and Wi Saeng Kim.

“Term Structure of Implied Volatilities in LIBOR Futures Options: Pricing Performance of Black-Derman-Toy and Heath-Jarrow-Morton Models”, with Dimosthenis Kostopoulos.

“Cross-Sectional Time Series Analysis of Hedge Fund Investment Styles”, with Nancy White.

“Microstructure Model of Futures Markets: Theory and Evidence for Optimal Hedging Strategies”

2 thoughts on “Publications

  1. Pingback: Dr.K’s Publications Page @ RiskQuant is Updated | Risk Quant

  2. Pingback: Why High-Frequency Trading Is So Hard to Regulate – | RiskQuant

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