Published Papers

Working Papers

Lectures and Presentations


Lectures and Presentations

-WKB Method for Swaption Smile
NYU, Mathematical Finance Seminar, 2/7/02

-The Uses of Differential Geometry in Finance
Bloomberg, 11/25/05

-Effective Techniques for Risk Management of Mortgage Portfolios

-LIBOR Market Model and Its Uses

-Mortgage Options: Valuation, Risk Management & Relative Value

-Dynamic Mortgage Rate Replication and Risk Management of MBSs
Recent Developments in Derivatives Pricing, NYU, 6/19/10

-Option Smile and the SABR Model of Stochastic Volatility
MIT, 3/20/14

Interest Rate and FX Models

NYU, 2013

Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 5
Lecture 6
Lecture 7
Lecture 8

Interest Rate Volatility

First Baruch Volatility Workshop, June 2015

I. Volatility in fixed income markets
II. SABR and its flavors
III. Working with SABR
IV. The SABR-LMM model
V. Working with SABR-LMM
VI. Managing interest rate volatility risk