Yildiray Yildirim, associate professor of finance, researches mathematical finance on modeling the term structure of interest rates, credit risk (theoretical and empirical), real estate finance- prepayment modeling, and valuation, corporate finance, and applied probability. He has been published in leading journals, including Journal of Financial and Quantitative Analysis, Journal of Fixed Income, Journal of Derivatives, The Journal of Real Estate Finance and Economics, Real Estate Economics, and Annals of Applied Probability, among others. 
 
Selected Publications:
"Dynamic Correlations Among Asset Classes: REIT and Stock Returns," (forthcoming), Journal of Real Estate Finance and Economics, with Case, B., and Wang, Y. 

"The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence," forthcoming, The Journal of Financial and Quantitative Analysis, with Agarwal, S., Ambrose, B., and Huang, H.

"Price Discovery in Real Estate Markets: A Dynamic Analysis of the REIT Premium ," forthcoming, The Journal of Real Estate Finance and Economics, with Yavas, A.

"Leverage, Options Liabilities, and Corporate Bond Pricing," 2009, The Review of Derivatives Research, Vol. 11, Issue3, Page 245-276, with Huang, H.

"Estimating Default Probabilities Implicit in CMBS," 2009, The Journal of Real Estate Finance and Economics, Vol. 39, No. 2, with Kau, J. and Keenan, D.

"The Dynamics of Operational Loss Clustering," 2008, Journal of Banking and Finance, Vol. 32/12, 2,655-2,666, with Chernobai, A.

"Credit Risk and Term Structure of Lease Rates: A Reduced Form Model," 2008, The Journal of Real Estate Finance and Economics, Vol. 37, N0 3, pp. 281-298, with Ambrose, B.

"Valuing TIPS Bond Futures in Jarrow-Yildirim Model," 2008, Risk, 21 (6), with Huang, H.

"Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," 2008, Real Estate Economics, Vol. 36, No. 3, pp. 441-4, with A. Christopoulos, and R. Jarrow.

"Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring," 2008, The Journal of Real Estate Finance and Economics, Vol. 37, No. 2, pp. 93-11.

"Modeling Default Risk: A New Structural Approach" - Finance Research Letters, 3, 165-172, 2006.

"Modeling Default Risk with Partial Information" - Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, Cetin, U., Jarrow, R., Protter, P.