Financial Engineering Publications at McCormick

Selected Recent Journal Articles

H. Lan, B. L. Nelson, and J. Staum. (2010) A confidence interval procedure for expected shortfall via two-level simulation.. Operations Research 58(5), pp. 1481-1490.

M. Liu and J. Staum. (2010) Sensitivity analysis of the Eisenberg-Noe model of contagion. Operations Research Letters 38(5), pp. 489-491.

L. Li and V. Linetsky. (2013) Optimal stopping and early exercise: An eigenfunction expansion approach. Operations Research 61(3), pp. 625-643.

R. Mendoza-Arriaga, P. Carr, and V. Linetsky. (2010) Time-changed Markov processes in credit-equity modeling. Mathematical Finance 20(4), pp. 527-569.

R. Mendoza-Arriaga and V. Linetsky. (2011) Pricing equity default swaps under the jump-to-default extended CEV model. Finance and Stochastics 15(3), pp. 513-540.

J. Staum. (2012) Systemic risk components and deposit insurance premia, Quantitative Finance 12(4), pp. 651-662.

J. Staum. (2013) Excess invariance and shortfall risk measures, Operations Research Letters 41(1), pp. 47-53.



Birge, J. R., and V. Linetsky, eds. Financial Engineering.Handbooks in Operations Research and Management Science, vol. 15, North-Holland, 2007.

Olmstead, W. E. Options for the Beginner and Beyond. Prentice Hall - Financial Times, 2006.