My Research




"The classical theorists resemble Euclidean geometers in a non-Euclidean world, who, discovering that in experience straight lines apparently parallel often meet, rebuke the lines for not keeping straight -- as the only remedy for the unfortunate collisions which are occurring. Yet, in truth, there is no remedy except to throw over the axiom of parallels and to work out a non-Euclidean geometry. Something similar is required in economics." --Keynes (1936, p.16) The General Theory

"By `uncertain' knowledge, let me explain, I do not mean merely to distinguish what is known for certain from what is only probable. The game of roulette is not subject, in this sense, to uncertainty...The sense in which I am using the term is that in which the prospect of a European war is uncertain, or the price of copper and the rate of interest twenty years hence...About these matters there is no scientific basis on which to form any calculable probability whatever. We simply do not know." -- Keynes (1937, QJE, pp. 213-214)

My research fields are: finance and macroeconomics. My main research areas are:

         Bubbles and crashes and their implications for macroeconomics

         Theory and applications of ambiguity-sensitive preferences

         Recursive contracts

         Firm investment and financial policies with market frictions (costly external finance, uninsurable idiosyncratic risk, adjustment costs, and taxation)

         Real options approach to investment under uncertainty

         Dynamic general equilibrium models and incomplete markets models

         Asset pricing and market microstructure

         Applications of decision theory and behavioral economics