Faculty & Research

Latest Publications

1. H. Liu, Jiongman Yong, 2001, Optimal Investment and Consumption with Fixed and Proportional Transaction Costs, Mathematical Finance

2. Koop, Gary , and Kai Li, 2001, The Valuation of IPO and SEO Firms, Journal of Empirical Finance

3. Wang, Tan, 2001, Valuation of New Securities in an Incomplete Market: the Catch 22 of Derivative Pricing, Mathematical Finance

4. Chen, Joseph, Jeremy C. Stein, and Harrison Hong, 2001, Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness Harrison Hong 4 of 6 7/6/11 in Stock Prices, Journal of Financial Economics

5. Dammon, Robert M., Chester S. Spatt and Harold H. Zhang, 2001, Optimal Consumption and Investment with Capital Gains Taxes, The Review of Financial Studies

6. Chang, Chun, 2001, The Informational Requirement on Financial Systems at Different Stages of Economic Development: The Case of South Korea, China Economic Review

7. Chen, Son-Nan, 2001, Hedging and Arbitrage Warrants Under Simile Effects: Analysis and Evidence, International Journal of Theoretical and Applied Finance

8. Chao, Xiuli, 2001, Queueing networks with instantaneous sequential transitions, Journal of Systems Science & Complexity

9. Chao, Xiuli, W Henderson, and P. G. Taylor, 2001, State-Dependent Coupling in General Networks, Queueing Systems: Theory and Applications

10. Chen, Fangruo, and Jing-Sheng Song, 2001, Optimal Policies for Multi-echelon Inventory Problems with Markov-modulated Demand, Operations Research