Anh Le

Assistant Professor of Finance
Finance Department
Kenan-Flagler Business School
University of North Carolina at Chapel Hill 


McColl Building, CB# 3490
Chapel Hill, NC 27599-3490
Tel:  919-962-8747
Fax: 919-962-2068
E-mail: leanh@kenan-flagler.unc.edu

Publications:

• "Discrete-Time AffineQ Term Structure Models with Generalized Market Prices of Risk," (with Ken Singleton and Qiang Dai), accepted for publication at the Review of Financial Studies, pdf, matlab code

A rich class of discrete-time nonlinear dynamic term-structure models is developed with analytical bond prices and conditional likelihood.