• Publications
  • Influence
Disasters Implied by Equity Index Options
We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarizeExpand
  • 270
  • 39
  • PDF
Simple Variance Swaps
The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely. This paper defines andExpand
  • 100
  • 21
  • PDF
The Lucas Orchard
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees;Expand
  • 138
  • 20
Consumption-Based Asset Pricing with Higher Cumulants
I extend the Epstein-Zin-lognormal consumption-based asset-pricing model to allow for general i.i.d. consumption growth. Information about the higher moments--equivalently, cumulants--of consumptionExpand
  • 144
  • 14
  • PDF
The Forward Premium Puzzle in a Two-Country World
I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, theExpand
  • 41
  • 7
  • PDF
Disasters and the Welfare Cost of Uncertainty
The combination of power utility and i.i.d. lognormal consumption growth makes for a benchmark model in which asset prices and expected returns can be found in closed form. Introducing theExpand
  • 43
  • 5
  • PDF
The structuration of blended learning: putting holistic design principles into practice
TLDR
This paper considers the challenges faced by those seeking to design effective blended learning. Expand
  • 94
  • 4
  • PDF
Refugees: Asylum in Europe?
In 1972 there were 13000 people in asylum in Europe - 20 years on there are over a quarter of a million. Refugees are one of the major international political and humanitarian issues of the 1990s,Expand
  • 36
  • 4
Community work, citizenship and democracy: re-making the connections
This paper is an attempt to do four things: first, to review key phases in the post-war development of community work and to identify the discourses of citizenship implicit within them (i.e. socialExpand
  • 78
  • 4