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An automated FX trading system using adaptive reinforcement learning. Special Issue on Financial Engineering, Expert Systems with Applications 30 (2006) 543-552 (with V Leemans).
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Empirical copulas for CDO tranche pricing using relative entropy. International Journal of Theoretical and Applied Finance 10.4 (2007) 679-702 (with E A Medova and S W Yang).
D C pension fund benchmarking with fixed-mix portfolio optimization. Quantitative Finance 7.4 (2007) 365-370 (with M Germano, E A Medova, M I Rietbergen, F Sandrini, M Scrowston and N Zhang).
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Determinants of oil futures prices and convenience yields. Submitted to Management Science (with E A Medova and K Tang).
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Long-term interest rates and consol bond valuation. Journal of Asset Management 11.2-3 (2010) 113-135 (with E A Medova and M Villaverde).
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Growing wealth with fixed mix strategies. In: The Kelly Capital Growth Investment Criterion, L C MacLean, E O Thorpe and W T Ziemba,eds. Singapore: World Scientific (2011) 427-458 (with I V Evstigneev and K R Schenk-Hoppé).
Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities. Journal of Banking and Finance 35.3 (2011) 639-652 (with K Tang).
Planning for retirement: Asset liability management for individuals. In: Asset Liability Management Handbook, G Mitra and K Schwaiger, eds. London: Palgrave Macmillan (2011) 409-432 (with E A Medova).
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Asset liability management for individual households. British Actuarial Journal 16.2 (2011), with discussion, 405-464 (with E A Medova).
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Comparison of sampling methods for dynamic stochastic programming. Chapter 16 in Stochastic Optimization Methods in Finance and Energy, op. cit., 389-425 (with E A Medova and Y S Yong).
Economic and monetary union: The reset option. Essay submitted to the Wolfson Economics Prize Competition, January 2012 (with J S Chadha and D Pickford).
Review of Emmanuel Derman's Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life. Quantitative Finance 12.4 (2012) 511-513.
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Determinants of oil futures prices and convenience yields. Quantitative Finance 12.12 (2012) 1795-1809 (with E A Medova and K Tang).
Commodity Special Issue. Quantitative Finance 12.12 (2012) 192pp. (Co-editor with K Tang).
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Developing a practical yield curve model: An odyssey. In: New Developments in Macro-Finance Yield Curves, J Chadha, A Durre, M Joyce & L Sarnio, eds., Cambridge University Press (2014) 251-290 (with J Evans and E A Medova).
Stabilizing implementable decisions in dynamic stochastic programming. In: Optimal Financial Decision Making Under Uncertainty, G Consigli, D Kuhn & P Brandimarte, eds. International Series in Operations Research and Management Science, New York: Springer Verlag, 2015, to appear (with E A Medova and Y S Yong).