Broad functional areas : Finance, Statistics, Operations Research
Specific topics : Credit Risk, Financial Derivatives
2015-2016 : National University of Singapore.
2004-2014 : City University, London.
2001-2003 : University of Michigan at Ann Arbor.
Conferences and Paper Presentations
Dec 2016 : Annual Conference on Macroeconomics and Finance, IGIDR, Mumbai.
Supply Portfolio Risk, with Cagri Haksoz, Journal of Operational Risk (2009), 4(1), 59-77.
Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration, with Peter Lenk, Journal of Banking and Finance (2008) 32(10), 2267-2274.
Supply Risk in Fragile Contracts, with Cagri Haksoz, Sloan Management Review (2008) 49(2), 7-8.
Perpetual call options with non-tradability, with Peter Lakner and Anand Srinivasan, Optimal Control Applications and Methods (2005) 26(3), 107-127.
Continuous-time mover-stayer model for bond rating evolution, with Halina Frydman, Applied Stochastic Models in Business and Industry (2004) 20(2), 155-170.
Optimal bankruptcy time and consumption/investment policies, on an infinitehorizon with continuous debt repayment until bankruptcy, with Monique JeanBlanc and Peter Lakner, Mathematics of Operations Research (2004) 29(3), 649-671.