This web page is under construction. Papers listed below with no link should be available here soon.

• Modeling the Term Structure of Interest Rates: A New Approach, Journal of Financial Economics, April 2004.
• Market Price of Risk Specifications for Affine Models: Theory and Evidence, with Patrick Cheridito and Damir Filipovic, Journal of Financial Economics, January 2007.
• Maximum Likelihood Estimation of Stochastic Volatility Models, with Y. Aït-Sahalia, Journal of Financial Economics, February 2007.
• A Note on the Canonical Representation of Affine Diffusion Processes, with Patrick Cheridito and Damir Filipovic, forthcoming, Mathematical Finance, September 2008.
• Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihoods, with Y. Aït-Sahalia, forthcoming, Journal of Financial Economics, May 2009.
• Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions, January 2009.
• Changing Times: The Pricing Problem in Non-Linear Models, December 2008.
• On Estimation of Risk Premia in Linear Factor Models, with Kewei Hou, September 2006.
• Affine Latent Variable Term Structure Models: Estimation and Empirical Evidence, 2001.
• Bond Pricing in non-Affine Term Structure Models, 2007.
• Asset Prices and Conditional Moments in Multifactor Non-Affine Models, 2008.