"Algorithms for Unevenly Spaced Time Series: Moving Averages and Other Rolling Operators," April 2019. An implementation of the algorithms is available in the C library utsAlgorithms and in the R package utsOperators.

"A Note on Trend and Seasonality Estimation for Unevenly Spaced Time Series," June 2018. An R package is forthcoming.

"Some Properties of Operators for Unevenly Spaced Time Series," April 2017 (this paper is a shortened and more focused version of "A Framework for the Analysis of Unevenly Spaced Time Series Data")

"A Framework for the Analysis of Unevenly Spaced Time Series Data," August 2012

"Computational Techniques for basic Affine Models of Portfolio Credit Risk," 2009, Journal of Computational Finance 13, 63-97 An implementation is available in Matlab

"Frailty Correlated Default" (with Darrell Duffie, Guillaume Horel and Leandro Saita), 2009, Journal of Finance 64, 2089-2123

"Risk Premia in Structured Credit Derivatives," Working Paper, Stanford University, September 2007 The implementation is available in Matlab.

"A multivariate GARCH model with volatility spill-over and time-varying correlations," Working Paper, Stanford University, March 2006

Swiss Finance Institute Outstanding Paper Award 2008 - Award for the paper "Frailty Correlated Default", Fall 2008

Research assistant for BIS Working Paper on credit risk transfer

"Multi-Name Credit Derivatives Pricing and Risk Premia," Slides for Econ/Finance/Investment Science Colloquy, Stanford University, May 2007

"Corporate Default Risk: Charter Communications" (with Darrell Duffie), Slides for GSB F320 Debt Markets, February 2007