Working Papers:

``Diffusion Approximation in Arrow's Model of Exhaustible Resources,'' (with Michael Taksar) Technical Report Number 416, Stanford Institute for Mathematical Studies in The Social Sciences (Economics Series), Stanford University, August, 1983.

``Price Operators: Extensions, Potentials, and the Markov Valuation of Securities'', Research Paper No. 813, Graduate School of Business, Stanford University, July, 1985.

``Stochastic Production-Exchange Equilibria'' (with Chi-Fu Huang), Research Paper, Graduate School of Business, Stanford University, May 1986.

``Equilibrium and The Role of the Firm in Incomplete Markets'' (with Wayne Shafer), Graduate School of Business, Stanford University, August, 1986.

``A Liquidity-Based Model of Asset-Backed Security Design'' (with Peter DeMarzo), Working Paper, Kellogg Graduate School of Management, Northwestern University, November, 1993.

``Swap Rates and Credit Quality -- Supplementary Results'' (with Ming Huang), containing technical material beyong that published in our 1996 article in The Journal of Finance , Working Paper, Graduate School of Business, Stanford University, March, 1995. (.ps file download) (.pdf file download),

``First-to-Default Valuation'', (.ps file download) (.pdf file download), Institut de Finance, University of Paris, Dauphine, and Graduate School of Business, Stanford University, May 10, 1998.

``Defaultable Term Structure Models with Fractional Recovery of Par,'' (.ps file download) (.pdf file download), Graduate School of Business, Stanford University, August 1, 1998.

``Simulating Correlated Defaults'' (.ps file download) (.pdf file download), (with Kenneth Singleton), Graduate School of Business, Stanford University, September, 1998.

``Risk and Valuation of Collateralized Debt Obligations,'' (the working-paper version, with additional details, of an article of the same title published in the Financial Analysts Journal , January-February 2001, co-authored with Nicolae Garleanu) (.ps file download) (.pdf file download), Graduate School of Business, Stanford University, April, 2000.

``The Exact Law of Large Numbers for Independent Random Matching,'' (.pdf file download), (with Yeneng Sun), Graduate School of Business, Stanford University, July, 2004.

``Measuring Default-Risk Premia from Default Swap Rates and EDFs'' (.pdf file download), (with Antje Berndt, Rohan Douglas, Mark Ferguson, and David Schranz), Graduate School of Business, Stanford University, November, 2005.

``Innovations in Credit Risk Transfer: Implications for Financial Stability'' , Graduate School of Business, Stanford University, June, 2007.

Competing for a Share of the Global Derivatives Market: Trends and Policy Choices for the United States (with Henry T.C. Hu), Working Paper, Graduate School of Business, Stanford University.

"When Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), February, 2009, Graduate School of Business, Stanford University..

"How Should We Regulate Derivatives Markets," Briefing Paper Number 5, The Pew Financial Reform Project.

"Capital Mobility and Asset Pricing," (with Bruno Strulovici), Stanford University, Working Paper, September, 2009.

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), working paper, Graduate School of Business, Stanford University, January, 2010. .