Full CV

Ph.D. (Finance), Cornell University, 2000

M.BA, University of Chicago, 1996

H.BA, University of Western Ontario, 1994

Academic Positions Held

Current Appointment:

Assistant Professor, Singapore Management University (2001 – Present)

Previous Appointments:

Assistant Professor of Finance, National University of Singapore (2000 – 01)

Courses Taught in SMU

Analysis of Derivative Securities
• Analysis of Fixed Income Securities

Research Areas

Asset Pricing

Derivative Securities

Risk Management

Publications and Current Projects

Testing Market Efficiency using Statistical Arbitrage with Applications to Momentum and Value Strategies. 2004, Journal of Financial Economics 73, 525-565.

The Effect of Taxes on the Pricing of Defaultable Debt. 2004, Journal of Risk 6, 1-29.

A Quantum Field Theory Term Structure Model Applied to Hedging. 2004, International Journal of Theoretical and Applied Finance 6, 443-468.

Pricing Options in an Extended Black-Scholes Economy with Illiquidity: Theory and Empirical Evidence. Forthcoming in Review of Financial Studies.

The Implied Jump Risk of LIBOR Rates, 2005, Journal of Banking and Finance 29, 2503-2522.

Incorporating Diversification into Risk Management. Chapter 2 in Advances in Risk Management, Palgrave Macmillan, 2006.

Implied Measures of Relative Fund Performance.

Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading.

A Joint-Hypothesis Critique Proof Test of Market Efficiency.

Optimal Liquidation Strategies and Their Implications.

A Field Theory Model for Pricing and Hedging LIBOR Derivatives.

Unifying Behavioral Biases Under a Market Probability with an Application to Analysts' Forecasts.

Return Uncertainty and the Appearance of Biases in Expected Returns.

The Term Structure of Analyst Earnings Forecasts and the Errors-in-Expectations Hypothesis