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"Merton's Model, Credit Risk, and Volatility Skews" Journal of Credit Risk, 1, 1 (2004),
1-27, (with Izzy Nelken and Alan White)
"The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit
Rating Announcements," Journal of Banking and Finance, 28 (Nov 2004), 2789-2811
(with Mirela Predescu and Alan White)
"Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation,"
Journal of Derivatives, 12, 2 (Winter 2004), 8-23 (with Alan White)
"Accounting for Employee Stock Options: A Practical Approach to Handling Valuation
Issues" Journal of Derivatives Accounting, 1, 1 (March 2004), 3-9 (with Alan White).
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"How to Value Employee Stock Options," Financial Analysts Journal, 60, 1,
(January/February 2004), 114-119. (with Alan White)
“Valuing Credit Default Swap Options" Journal of Derivatives, 10, 3 (Spring 2003), 40-
50 (with Alan White)
“A methodology for assessing model risk and its application to the implied volatility
function model.” Journal of Financial and Quantitative Analysis, Vol. 37, No.2 (June
2002), 297-318 (with Wulin Suo)
“The general Hull-White model and supercalibration” Financial Analysts Journal, Vol.
57, No. 6 (Nov/Dec 2001), 34-43 (with Alan White)
“The Estimation of Default Probabilities: A Review of Alternative Methodologies and
Why They Give Different Results” pp171-180 in Mastering Risk, Volume 2, ed: Carol
Alexander, 2001, Prentice Hall, (with Alan White).
“Risk-neutral and real-world measures of default risk" in Visions of Risk, ed: Carol
Alexander, Pearson Education, 2000. (with Alan White)
“Valuing credit default swaps I: No counterparty default risk” Journal of Derivatives,
Vol. 8 No. 1 (Fall 2000), pp 29-40 (with Alan White)
“Valuing credit default swaps II: Modeling default correlations” Journal of Derivatives
Vol. 8 No. 3 (Spring 2001) pp12-22 (with Alan White)
“Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR
market model” Journal of Fixed Income, Vol. 10, No. 3, September 2000, pp 46-62
(with Alan White)
“Quantifying credit risk: Why different approaches give different answers” Canadian
Journal of Administrative Studies, September 1999, Vol. 16, No. 3 (with Alan White;
invited article)
“Incorporating volatility updating into the historical simulation method for VaR”
The Journal of Risk, Fall 1998, Vol 1, No 1, pp 5-19 (with Alan White)
"Value at risk when daily changes in market variables are not normally distributed"
Journal of Derivatives, Spring, 1998, Vol 5, No3, pp 9-19 (with Alan White)
"Evaluating the impact of skewness and kurtosis on derivative prices" Net Exposure, Dec
1997, pp 81-90 (with Alan White)
5
"A Note on the models of Hull and White for pricing options on the term structure:
Response" Journal of Fixed Income, Vol 5, No 2 (Sept 1995), pp 97-102 (with Alan
White).
"Using Hull-White interest rate trees," Journal of Derivatives, Vol. 3, No. 3 (Spring
1996), pp 26-36 (with Alan White).
"Numerical procedures for implementing term structure models I," Journal of
Derivatives, Fall 1994, pp 7-16 (with Alan White).
"Numerical procedures for implementing term structure models II," Journal of
Derivatives, Winter 1994, pp 37-48 (with Alan White).
"The impact of default risk on the prices of options and other derivative securities,''
Journal of Banking and Finance, Vol 19 (1995), pp 299-322 (with Alan White).
"Interest-Rate Options: Choosing a Model for Trading" in Advanced Strategies in
Financial Risk Management, Chapter 3, pp 49-58 (with Alan White).
"The pricing of options on interest rate caps and floors using the Hull-White model" in
Advanced Strategies in Financial Risk Management, Chapter 4, pp 59-67. Reprinted in
Journal of Financial Engineering, Vol 2, No 3 (September 1993), pp 287-296 (with
Alan White)
"Bond option pricing based on a model for the evolution of bond prices" Advances in
Futures and Options Research, Vol 6 (1993) pp 1-13 (with Alan White).
"Efficient procedures for valuing European and American path-dependent options,"
Journal of Derivatives, Vol 1, No 1 (Fall 1993), pp 21-31 (with Alan White).
"One factor interest rate models and the valuation of interest rate derivative securities,"
Journal of Financial and Quantitative Analysis, Vol 28, No 2, (June 1993) pp 235-254
(with Alan White)
"Analisi del rischio connesso al credito e indici di inadeguatezza del capitale" Rivista di
Sistemi Finanziari, Vol 3, No.3, (1991) (with Alan White).
"Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4
(1990) pp. 573-592 (reprinted in Options: Recent Developments in Theory and Practice,
Vol 2, 1992, pp 160-180. (with Alan White). Also reprinted in Options Markets by
George Constantinides and A. G. Malliaris and The Debt Market by Stephen Ross.
(These are two volumes of the Critical Writings in Financial Economics series edited by
Richard Roll)
"Contingent claim valuation with a random evolution of interest rates: Commentary" The
Review of Futures Markets, Vol 9, No. 1 (1990) pp. 77-78.
6
"Monitoring a company's operating cash flow using variance analysis", Accounting
Horizons, Vol. 4, No. 3 (Sept. 1990), pp 50-57.
"Valuing derivative securities using the explicit finite difference method" Journal of
Financial and Quantitative Analysis, Vol. 25 No. 1 (March 1990), pp 87-99 (with Alan
White).
"Assessing credit risk in a financial institution's off-balance sheet commitments" Journal
of Financial and Quantitative Analysis, Vol. 24 No. 4 (Dec. 1989) pp 489-502.
"An analysis of the bias in option pricing caused by a stochastic volatility" Advances in
Options and Futures Research, Vol. 3, 1988, pp 29-61 (with Alan White).
"An analysis of the credit risks in interest rate swaps and currency swaps" in Recent
Developments in International Banking and Finance, Vol III, 1989.
"The Use of the Control Variate Technique in Option Pricing", Journal of Financial and
Quantitative Analysis, Sept. 1988, pp 237-251 (with Alan White).
"An Overview of Contingent Claims Pricing" Canadian Journal of Administrative
Sciences, Sept. 1988, pp 55-61 (with Alan White).
"Hedging through the Cap: Implications for Market Efficiency, Hedging and Option
Pricing" International Options Journal, Vol 4, pp 17-22, 1987 (with Alan White).
"The Management of a Bank's Off-Balance Sheet Exposures: The Case of Interest Rate
Swaps" Banking Law and Finance Review, Vol. 2, No. 1, pp 47-60, 1987.
"The Pricing of Options on Assets with Stochastic Volatilities" Journal of Finance, Vol.
42, No. 2, pp. 281-300, June 1987 (with Alan White). Reprinted in "Options: Classic
Approaches to Pricing and Modeling," edited by Lane Hughston.
"Hedging the Risks from Writing Foreign Currency Options" Journal of International
Money and Finance, Vol. 6, No. 2, pp 131-152, June 1987 (with Alan White).
"A Note on the Risk-Adjusted Discount Rate Method" Journal of Business Finance and
Accounting, Vol. 13, No. 3, pp. 445-450, 1986.
"Risk in Capital Investment Proposals: Three Viewpoints," Managerial Finance, Vol. 12,
No. 3, pp. 12-15, 1986.
"The Use of Exchange-Traded Currency Options to Hedge the Risks from Writing Non-
Exchange-Traded Currency Options'', International Options Journal, Vol. 2, pp. 7-18,
1985 (with Alan White).
7
"The Effect of a Stochastic Variance on Option Pricing," International Options Journal,
Vol. 2, pp. 39-47, 1985 (with Alan White).
"The Valuation of Currency Options - Reply," Financial Management, Vol. 13, 2, 1984.
"The Impact of Taxes on the Valuation of Low-Interest Household Mortgages,"
Canadian Tax Journal, Vol. 31, No. 5, pp. 797-804, 1983.
"Valuation of Currency Options," Financial Management, Vol. 12, 1, pp. 24-28, 1983.
Reprinted in International Options Journal, Vol. 1, 1, pp. 5-11, 1984 (with Nahum
Biger).
"The Bargaining Positions of the Parties to a Lease Agreement," Financial Management,
Vol. 11, 3, pp. 71-79, 1982.
"Conflicts of Interest Between Shareholders and Managers," The Investment Analyst,
Vol. 67, pp. 4-8, September 1982.
"The Impact of Stock Relief on the Attractiveness of Capital Investment Opportunities,"
Accounting and Business Research, No. 45, pp. 30-34, Winter 1981.
"Lease Evaluation in the U.K. Current Theory and Practice," Journal of Business Finance
and Accounting, Vol. 7, 4, pp. 619-637,1980 (with Graham Hubbard).
"The Interpretation of the Output from a Sensitivity Analysis in Investment Appraisal,"
Journal of Business Finance and Accounting, Vol. 5, 1. pp. 109-122, 1978.
"The Accuracy of the Means and Standard Deviations of Subjective Probability
Distributions," Journal of the Royal Statistical Society, A., Vol. 141, 1, pp. 79-85, 1978.
"Reducing the Number of Probabilistic Variables in a Risk Simulation," Omega, Vol. 5,
5, pp. 605-608, 1977.
"The Input to and Output from Risk Evaluation Models," European Journal of
Operational Research, Vol. 1, 6, pp. 368-375, 1977.
"Dealing with Dependence in Risk Simulations," Operational Research Quarterly, Vol.
28, 1, ii, pp. 201-218, 1977.
"The Impact of Inflation on Corporate Financial Performance," Management Decision,
Vol. 14, 1. pp. 7-16, 1976. Reprinted in Managerial Finance, 1977 (with Bill Alexander)
"A Note on Risk Simulation," Omega, Vol. 3, 3, p. 358, 1975.
"Utility and Its Measurement," Journal of the Royal Statistical Society, A,
Vol. 136, 2, pp. 226-247, 1973 (with Peter Moore and Howard Thomas).
8
"The Application of Decision Analysis to a New Product Planning Decision - A
Comment," Operational Research Quarterly, Vol. 24, 3, pp. 469-471, 1973.
Other Articles
“The Power Law,” Risk, 20, 3 (March 2007), 72-74
“VaR vs Expected Shortfall,” Risk, 19, 12 (December 2006), 48-49
“Defining Copulas” Risk, 19, 10 (October 2006), 62-64.
“New layers of protection” in Mastering Risk section of Financial Times, Sept 16, 2005
with Alan White)
“The Credit Spread Puzzle” Journal of Financial Transformation, 13 (April 2005), 131-134
(with Mirela Predescu and Alan White)
"Advisor's guide to risk management" co-editor, 2002.
"Approaches to managing portfolio risk" in Advisor's guide to risk management, pp 14-
18, 2002.
"Advisor's guide to new investment opportunities" co-editor, 2001.
"Avoiding irrational exuberance" in Advisor's guide to new investment opportunities, pp
20-25 (with Alan White), 2001.
"Using derivatives to achieve international diversification" in Advisor's guide to
international financial research, pp 42-47, 2000 (with Alan White)
"Advisors guide to international financial research" co-editor, 2000
"Advisors guide to financial research" co-editor, 1999
"Taking rates to the limits," RISK (December 1997) pp 168-169 (with Alan White)
"Pricing credit risk: Introduction" Chapter 5 in Derivative Credit Risk, Risk Publications,
1995 (with Alan White).
"Branching Out," RISK (July, 1994), pp 34-37. Reprinted as Chapter 47 in Over the
Rainbow, Risk Publications, Nov 1995 (with AlanWhite)
"Finding the keys," RISK (September, 1993), pp 109-112. Reprinted as Chapter 32 in
Over the Rainbow, Risk Publications, Nov 1995 (with Alan White)
9
"The price of default," RISK (September, 1992) pp 101-103. Reprinted in Chapter 5 of
Derivative Credit Risk, Risk Publications, 1995 (with Alan White) . Reprinted in Credit
Technology, September 1998, pp 23-34.
"In the common interest" RISK (March 1991) pp 64-68 (with Alan White).
"Buying and selling interest rate options: the new over-the-counter market" Canadian
Investment Review Vol III, No. 2, 1991, pp 71-74 (with Alan White)
"Over-the-counter interest-rate options" The Treasurer, November 1991, pp 12-15 (with
Alan White).
"Modern Greek," RISK Vol. 4 No. 1 (Dec. 1990 - Jan. 1991) pp. 65-67. Reprinted as
chapter 8 in From Black-Scholes to Black Holes (with Alan White).
"New ways with the yield curve," RISK Vol. 3 No. 9 (October 1990) pp 13-17. Reprinted
as chapter 15 in From Black--Scholes to Black Holes (with Alan White).
"Root and branch," RISK Vol.3 No. 8 (September 1990) pp 69-72. Reprinted as chapter
14 in From Black-Scholes to Black Holes (with Alan White).
"Coming to terms," RISK, Vol. 3 No. 1 (Dec 1989-Jan 1990) pp 21-25. Reprinted as
chapter 16 in From Black-Scholes to Black Holes (with Alan White).
"Currency Options and the Bank," Canadian Banker, pp. 46-50, February 1985 (with
Alan White).
"When to Opt for Vendor Mortgage Takeback", Financial Times, p. 28, March 8, 1982.
"Adjusting Mark-ups for Inflation," Management Accounting, pp. 155-156, April 1977.
"Obtaining Probability Distributions for the Evaluation of Investment Risk,"
Management Accounting, pp. 349-351, October 1976.
"Evaluating Investment Risk," Management Accounting, pp. 138-141, April 1976.
"Financial Planning: Terminal Case'', Management Today, pp. 37-47, December 1973
(with Brian Wheeler).
Working Papers
“The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model”
(with Mirela Predescu and Alan White)
“Dynamic Models of Portfolio Credit Risk: A Simplified Approach,”(with Alan White)
“Forwards and European Options on CDO Tranches,” (with Alan White)
10
Current Research Interests
All aspects of financial engineering including: market risk, credit risk, the valuation of
interest rate derivatives, numerical procedures for valuing derivatives, executive stock
options, and credit derivatives.
Other Activities
Founder and Director (1997 to present) of the Centre for Finance. The Centre is
concerned with funding research in all aspects of finance at the Joseph L. Rotman School
of Management, University of Toronto and disseminating the results of that research to
the business community.
Consulting
Consulting projects include litigation support and development of models for valuing,
hedging, and managing n
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