Assistant Professor of Finance
W. P. Carey School of Business
Arizona State University
PO Box 873906
Tempe, AZ 85287
Office: BAC 532
Asset Pricing, Macro-Finance, Derivatives, Portfolio Choice
"Tails, Fears, and Equilibrium Option Prices"
I construct a parsimonious consumption-based asset pricing model that is consistent with index option prices.
"Optimal Volatility Timing: A Life-Cycle Perspective"
with Jan Schneemeier
We study the role of time-varying stock return volatility in a consumption and portfolio choice problem for a life-cycle investor facing short-selling and borrowing constraints.
WORK IN PROGRESS
"Cross-Sectional Asset Pricing in General Equilibrium"
with Lars-Alexander Kuehn
We build a production-based asset pricing model with a cross-section of heterogeneous firms to provide a micro foundation for cross-sectional differences in expected returns.