
I specialize in turning first‑principles economics into deployable, data‑driven models of asset prices and portfolio choice. My work blends statistical methods, high performance computing (C++, CUDA, Matlab, Python), and advanced numerical techniques to solve and estimate fixed point problems involving stochastic dynamic programs and HJB PDEs. My recent work incorporates machine-learning techniques to tackle higher-dimensional, realistic settings. Published and ongoing works include models of yield‑curve and credit‑risk term structures, dynamic allocation for private assets, central bank communication, and financial-labor market interactions.
Address:
Alfred Lerner College of Business and Economics,
University of Delaware,
Newark, DE
Website:
Email:
Publications
Time-varying Risk Premium and Unemployment Risk Across Age Groups [link] [SSRN version]
Internet Appendix [link]
Joint with Indrajit Mitra
Review of Financial Studies, 2020, 33(8): 3624-3673.
Blog summary [link]
Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads [link] [SSRN version]
Internet Appendix [link]
Joint with Hui Chen and Jun Yang
Journal of Financial Economics, 2021, 139(3): 770-799.
Illiquidity in Sovereign Debt Markets [link] [SSRN version] [download replication kit]
Joint with Juan Passadore
Journal of International Economics, Volume 137, July 2022, 103618.
High Discounts and Low Fundamental Surplus: An Equivalence Result for Unemployment Fluctuations [link] [SSRN version]
Internet Appendix [link]
Joint with Indrajit Mitra and Taeuk Seo
Management Science, 2024, 70(6): 4051-4068
A Theory of the Term Structure of Interest Rates under Limited Household Risk Sharing [link] [SSRN version]
Internet Appendix [link]
Joint with Indrajit Mitra
Review of Financial Studies, 2024, 37(8): 2461-2509
Working papers
A Dynamic Model of Private Asset Allocation [link]
Joint with Hui Chen, Giovanni Gambarotta, and Simon Scheidegger
This version: March 2025
The Science Archive coverage [link]
The Fed Information Effect and the Profitability Channel of Monetary Policy: Evidence and Theory [link] [Summary slides]
This version: March 2025
Joint with Alex Hsu, Indrajit Mitra, and Linghang Zeng
Domestic Banking Fragility and Sovereign Debt Capacity [link]
This version: August 2022