- Real Options
- Commodity Contingent Claims
- Asset Pricing
- Risk Management
- Derivative Securities
- Asset Pricing Theory
This course examines the markets and valuation models for options and future contracts, and their application to hedging and the valuation of the other financial contracts. Prerequisite: FIN 301.
Research - Publications
Equilibrium Investment Strategies and Output Price Behavior: A Real-Options Approach. The Review of Financial Studies, Winter 2003, Vol. 16, No. 4, pp. 1239 – 1272.
What Drives Income Trusts Conversions, with Federica Pazzaglia and Rahul Ravi. Canadian Investment Review Winter 2005, Vol. 18, No. 4, pp. 8 – 15.
Book Review: “What When Wrong at Enron” Energy Studies Review, Vol. 11, No. 1, 2003, pp. 97-99
"La Valuacion de la Empresa" (The Valuation of the Company) in Apertura y privatizacion de las comunicaciones en Venezuela. Eds. Antonio Frances. Caracas, Venezuela. Ediciones IESA. 1993.
Research - Working Papers
Managerial Risk Aversion and Corporate Risk Management: Evidence from U.S. Oil and Gas Producers, with Xuequn Wang
The Role of Learning in Corporate Hedging Behavior, with Xuequn Wang
Storage and the Pricing of Commodity Futures
Irreversible Investment with Time to Build. (Doctoral Program Outstanding Research Paper Award (1997), The Anderson School at UCLA)
Irreversible Investment, Competition and The Term Structure of Commodity Futures Prices
Journal of Finance. Vol 64, No. 2