• How Does the Market Value Toxic Assets? (with Brett Myers). Forthcoming in the Journal of Financial and Quantitative Analysis.
• Corporate Bond Default Risk: A 150-Year Perspective (with K. Giesecke, I. Strebulaev and S. Schaefer), Journal of Financial Economics 102, 233-250, 2011.
• Counterparty Credit Risk and the Valuation of Credit Default Swaps (with N. Arora and P. Gandhi), Journal of Financial Economics 103, 280-293, 2012.
• How Sovereign is Sovereign Credit Risk? (with J. Pan, L. Pedersen and K. Singleton), American Economic Journal: Macroeconomics 3, 75-103, 2011.
• Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?, Journal of Finance 66, 721-751, 2011.
• The Subprime Credit Crisis and Contagion in Financial Markets, Journal of Financial Economics 97, 436-450, 2010.
• "Asset Pricing in Markets with Illiquid Assets," American Economic Review.
• "An Empirical Analysis of the Pricing of Collateralized Debt Obligations" (with Arvind Rajan), Journal of Finance, 63, 509-563, 2008
• "Systemic Credit Risk: What is the Market Telling Us?" (with Vineer Bhangali and Robert Gingrich), Financial Analysts Journal, 64, July/August 16-24, 2008
• "Two Trees" (with John Cochrane and Pedro Santa-Clara), Review of Financial Studies, 21, 247-385, 2008
• The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds" (with Bing Han and Craig Merrill), Journal of Finance 62, 2673-2693, 2007.
• "Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?" (with Jefferson Duarte and Fan Yu), Review of Financial Studies, 769-811, 2007.
• Borrower Credit and the Valuation of Mortage-Backed Securities,"Real Estate Economics 33, 619-661, 2005.
• "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks" (with Jun Liu and Ravit Mandell), The Journal of Business 79, 5, 2337-2360, September 2006.
• "Corporate Yield Spreads: Default Risk or Liquity? New Evidence from the Credit-Default Swap Market"(with Sanjay Mithal and Eric Neis), The Journal of Finance 60, 2213-2253, 2005.
• "Corporate Earnings and the Equity Premium" (with Monika Piazzesi), Journal of Financial Economics 74, 401-421, 2004.
• "Electricity Forward Prices: A High-Frequency Empirical Analysis" (with Ashley Wang), The Journal of Finance 59, 1877-1900, 2004.
• "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" (with Jun Liu), The Review of Financial Studies 17, 611-641, 2004.
• "The Flight to Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business 77, 511-526, 2004.
• "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?", The Journal of Financial Economics 67, 385-410, 2003.
• "Dynamic Asset Allocations with Event Risk"(with Jun Liu and Jun Pan), The Journal of Finance 58, 1, 231-259, February 2003.
• "Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market" (with Pedro Santa-Clara & Eduardo S. Schwartz), Journal of Financial Economics 62, 39-66, 2001.
• "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence" (with Pedro Santa-Clara & Eduardo S. Schwartz), The Journal of Finance 56, 6, 2067, December 2001.
• "Optimal Portfolio Choice and the Valuation of Illiquid Securities", forthcoming in Review of Financial Studies
  
• "Valuing American Options By Simulation: A Simple Least-Squares Approach" (with Eduardo S. Schwartz), TheReview of Financial Studies 14, 1, 113-147, Spring 2001.
• "Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program" (with Mark Grinblatt) Journal of Finance 55, 1415-1436, June 2000.
• "The Term Structure of Very Short Term Rates: New Evidence for the Expectations Hypothesis",Journal of Financial Economics 58, 397-415, 2000.
• "Arbitrage and the Expectations Hypothesis", The Journal of Finance 55, 989-994, 2000.
• Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate (with Bradford Cornell and Eduardo Schwartz), Real Estate Economics 24, 23-41, 1996.
• Valuing Futures and Options on Volatility(with Andreas Grunbichler), Journal of Banking & Finance 20, 985-1001, 1996.
• Placing No-Arbitrage Bounds on the Value of Nonmarketable and Thinly-Traded Securities, Advances in Futures and Options Research 8, 203-228, 1996.
• How Much Can Marketability Affect Security Values?The Journal of Finance 50, 1767-1774, 1995.
• Option Pricing and the Martingale Restriction, The Review of Financial Studies 8, 1091-1124, 1995.
• A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (with Eduardo S. Schwartz), The Journal of Finance 50, 789-819, 1995.
• Valuing Credit Derivatives (with Eduardo Schwartz) The Journal of Fixed Income 5, 6-12, June 1995.
• Hedging Interest Rate Risk with Options on Average Interest Rates, The Journal of Fixed Income, 37-45, March 1995.
• Electronic Screen Trading and the Transmission of Information: An Empirical Examination (with Andreas Grunbichler and Eduardo S. Schwartz), Journal of Financial Intermediation 3, 166-187, 1994.
• Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effects (with B.A. Tuckman), Financial Management 23, 21-27, 1994.
• The Valuation of Options on Coupon Bonds, Journal of Banking & Finance 17, 27-42, 1993.
• Multiple Equilibria and Term Structure Models, Journal of Financial Economics 32, 333-344, 1992.
• Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market (with Thomas J. George), Journal of Financial and Quantitative Analysis 28, 381-397, 1993.
• Interest Rate Volatility and Bond Prices (with Eduardo S. Schartz), Financial Analysts Journal 49, 70-74, July-August 1993.
• Implementation of the Longstaff-Schwartz Interest Rate Model (with Eduardo S. Schwartz), The Journal of Fixed Income 3, 7-14, September 1993.
• An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (with K.C. Chan, G. Andrew Karolyi, and Anthony B. Sanders), Journal of Finance 47, 1209-1227, 1992.
• Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (with Eduardo S. Schartz), The Journal of Finance 47, 1259-1282, 1992.
• A Two-Factor Interest-Rate Model and Contingent Claims Valuation (with Eduardo S. Schwartz), The Journal of Fixed Income 2, 16-23, December 1992.
• Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle, Journal of Business 65, 571-592, 1992.
• General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence (with Michael L. Hemler), Journal of Financial and Quantitative Analysis 26, 287-308, 1991.
• Dual Trading in Futures Markets (with Michael J. Fishman), The Journal of Finance 47, 643-671, 1990.
• Time Varying Term Premia and Traditional Hypotheses about the Term Structure, The Journal of Finance 45, 1307-1314, 1990.
• Pricing Options with Extendible Maturities: Analysis and Applications, The Journal of Finance 45, 935-957, 1990.
• The Valuation of Options on Yields, Journal of Financial Economics 26, 97-121, 1990.
• Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model, The Journal of Finance 44, 871-887, 1989.
• A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates, Journal of Financial Economics 23, 195-224, 1989.
• Pricing Options on Agricultural Futures: An Application of the Constant Elasticity of Variance Option Pricing Model, The Journal of Futures Markets, 247-258, Summer 1985.

Other Publications

• Comments on 'A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate model' (with Eduardo Schwartz), The Journal of Fixed Income 3, 101-102, March 1994.
• The Impact of Transaction Fees and Tazes on Trading volume and Market Liquidity, The Journal of Financial Engineering 2, 15-17, 1993.
• The Benefits and costs of Dual Trading, The Journal of Financial Engineering 2, 51-54, 1993.