Educational Background

       New York University

          Ph.D., finance and economics, dissertation, “Asset Pricing with Investment Restrictions:  Theory and International Evidence,” Marti Subrahmanyan, Chairman, 1983. 

              M.Phil., finance and economics, 1982.

       Vassar College

               B.A., major in East Asian Studies, thesis, “Elementary School Education in Taiwan,” 1975.

          Certificate in Mandarin and Classical Chinese, National Taiwan Normal University, Mandarin Center, Taipei, Taiwan, June-December 1974.

Academic Appointments

Georgetown University, Associate Professor, Finance/International Business,
1996-present.

The University of Michigan, Assistant Professor, Finance/International Business, 1988-1996.

The Ohio State University, Assistant Professor, Finance, 1982-1988.

New York University, Instructor, Finance/International Business, 1981-1982.
and Lecturer, International Business, Summer 1980.

Scholarly Honors and Awards

        Herman A. Kroos Dissertation Award, New York University, 1983.

        AACSB - R.J.Reynolds, Inc. Doctoral Fellowship, for dissertation proposal, “Essays on Market Segmentation in International Financial Markets,” 1980.

        Jules I. Bogen Fellowship, New York University, 1979.

Refereed Publications

        “Divergent FAS-133 and IAS 39 Interest Rate Risk Hedge Effectiveness: Problem and Remedies,” Journal of Derivatives Accounting, 2005, 2(1), 1-13.

        “FAS 133 Option Fair Value Hedges: Financial-Engineering and Financial-Accounting Perspectives,” (with Daniel B. Thornton.), Journal of Derivatives, 10(1), Fall 2002, 62-79.

        “Non-Parametric Estimation of an Implied Volatility Surface,” (with Martin Jermakyan), Journal of Computational Finance, 2, 4, Summer 1999,  pp. 29-61.

        “Closed-End Country Funds and U.S. Market-Sentiment,” (with D.S. Kim and C. Lee), Review of Financial Studies, 8, 3, 1995: pp. 879-918.

        “Discrete-time Valuation of American Options with Stochastic Interest Rates,” (with K. Amin), Review of Financial Studies, 8, 1, 1995: pp. 193-233.

        “Probabilities and Values of Early Exercise: Spot and Futures Foreign Currency Options,” (with G. Courtadon), Journal of Derivatives, Fall 1995: pp. 57-75.

        “Testing the CAPM with Time-Varying Risks and Returns,” (with N. Mark). The Journal of Finance, 46, 4, September 1991: pp. 1485-1507.

        “Economic Forces and the Stock Market: An International Perspective,” (with D. Cho and L. Senbet). Global Finance Journal, Fall 1989: pp. 21-46.

        “Innovation in the International Money and Bond Markets: A Source of Lower Borrowing Costs?” (with F. Valnet).  In Recent Developments in International Banking and Finance, S. Khoury and A. Ghosh, eds., Lexington, MA, Lexington Books, 1988: pp. 45-86.

        The Pricing of Foreign Currency Options, (with G. Courtadon).  Salomon Brothers Center for the Study of Financial Institutions Monograph, April 1987.

        “Tests of an American Option Pricing Model on the Foreign Currency Options Market,” (with G. Courtadon).  Journal of Financial and Quantitative Analysis, June 1987: pp. 153-167.

        “Efficiency Tests of the Foreign Currency Options Market,” (with G. Courtadon).  The Journal of Finance, 41, 1, March 1986: pp. 151-162.

        “On Determination of Stochastic Dominance Optimal Sets,” (with V.S. Bawa, M.R. Rao and H.L. Suri).  The Journal of Finance, 40, 2, June 1985: pp. 417-431.

Other Publications

         “Risk-weights on Sovereign Debt under the Foundation and Advanced Internal Ratings-Based Approaches,” “The New Basel Capital Accord: Comments received on the Third Consultative Paper, 2004,  http://www.bis.org/bcbs/cp3/bodujame.pdf

        “Exchange Rate Volatility and Equity Returns - Discussion,” Exchange Rate Effects on Corporate Financial Performance and Strategies, , Yakov Amihud and Richard Levich, New York, Irwin, 1994, pp. 149-155.

        “Discussion on Integration vs. Segmentation in the Canadian Stock Market,”  The Journal of Finance, 41, 3, July 1986: pp. 613-615.

        “The Trade Weapon,” Executive, 5, 3, June 1979: pp. 24-27.

Working Papers and Other Research        

        “Optimal Project Investment Choices”

        “On Determination of Dominated and Undominated Portfolios”

        “Optimal Generalized Location-Scale Distribution Investments”

        “An Asset Allocation Puzzle – Prior Perspective and Posterior Resolution”

        “A Linearization-Based Solution to the Ill-Posed Local Volatility Estimation Problem.” 

        “Historical and Implied Measures of “Value at Risk”:  The DM and Yen Case,” with Qi Shen.

        “International Investment Restrictions and Factor Pricing”

        “For Normal Returns, Mean-Variance Admissible Choices are Optimal,” with Qi Shen.

        “SFAS 133 and IAS-39 Hedge Effectiveness and Objective Probability Derivative Valuation.”

        “’Unfair Values’” - Enron's Shell Game”

        “Dilution and Multiple-Issue Tranches Inherent in Employee Stock Option Valuation”

        The PHLX Currency Options Database

        “Pricing International Derivatives with Stochastic Interest Rates,” with Vadim Linetsky.

        “Integrating Interest Rate and Currency Risk Management.”

Funded Research

        “Pricing International Derivatives with Stochastic Interest Rates,” $110,000, Nikko Securities, May 1998,with Vadim Linetsky.

        “Research in Global Risk Management,” $50,000, Citibank, N.A., September, 1989.

        “Research in Global Risk Management,” $50,000, Citibank, N.A., August 1988.

        “Economic Effects of the Internationalization of Financial Markets,” Ohio Research Challenge Grant, $6,000, 1986.

        “The PHLX/OSU Currency Options Database,” Philadelphia Stock Exchange, $40,000, 1983.

Doctoral Committees

        The University of Michigan
                Giuseppe D’Archangelis, Ph. D. Thesis, 1996.
                Dong Song Kim, Business Ph. D. Thesis, 1992.
                Vijay Singal, Business Ph. D. Thesis, 1991.
                Tae Yung Chung, Business Ph. D. Thesis, 1991.

        The Ohio State University
                Tong Suk Kim, Finance Ph.D. Thesis, 1987-88, completed 1989.
                Yi Long Jaw, International Business Ph.D. Thesis, 1987.
                Ramon DeGennaro, Finance Ph.D. Thesis, 1986.
                Dan Kaufman, Finance Ph.D. Thesis, 1986.

Referee

        American Economic Review, Financial Management, Global Finance Journal, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Computational Finance, Journal of Derivatives, Journal of Empirical Finance, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of International Business Studies, Journal of International Financial Management and Accounting, Journal of International Money and Finance, Journal of Money, Credit and Banking, Quarterly Journal of Economics, Review of Financial Studies and Southern Economic Review.

Course and Curriculum Development

        Enron Bankruptcy Case Analysis: http://bodurtha.georgetown.edu/enron/

        Georgetown University Industrial Physics Ph.D. steering committee, 1999-2000.

        Derivatives and Financial Market Analytics, M.B.A. Seminar, 1999.

        GU Wall Street Alliance - MBA Summer Associate Mentor Program, 1998-present.

        University of Michigan Rackam Graduate Financial Engineering Program, steering committee, 1995-1996.

        University of Michigan ad-hoc Summer Financial Mathematics seminar (joint finance and mathematics departments.)

        Derivatives and Financial Markets Concepts, class notes, exercises and spreadsheets.

        Derivative Concepts, one week-intensive course.

        International Money Markets, class notes, exercises and spreadsheets.

        International Portfolio Investment, class notes, exercises and spreadsheets.

        Equity and Currency American Option Pricing and Analysis, A Lotus-123 model and exercise.  

       Real-Time FX Trading        

Executive Seminar and Curriculum Development

        Developing a Customer-Focused Network Strategy, SG-USA, October 1997.

        Cross-selling Financial Product Strategies, SG-USA, April 1996.

        Derivative Analytics, Citibank, N.A., August 1995.

        Derivative Concepts, JP Morgan Securities, Inc., London, November 1994.

        FX and Interest Rate Derivative Analytics, Citibank, N.A., October 1994.

        Analytic FX Options, Citibank, N.A. (with M. Garman), August 1993.

        Corporate Financial Management, Michigan Executive Education (core faculty with M. Bradley and E. H. Kim), U.S. and Hong Kong, 1987 - 1995.

        Finance for the Non-Financial Manager, Michigan Executive Education (core faculty with E.H. Kim and M.P. Narayannan), 1992 - 1995, Hong Kong.

        Meeting Customer Needs with Option-Based Products, Citibank, N.A., 1987-1990, New York, London and Singapore.

        Meeting Investors' Global Fixed-Income Investment Objectives - Government Bonds, Citibank, 1989.

Funded Curriculum Development

        “Option Concepts,” $22,500, Citibank, N.A. 1993-1995, and $18,000, Bloomberg L.P., 1994.

        “Meeting Investors' Global Fixed-Income Investment Needs,” $56,000, Citibank, N.A., June-December, 1989.

Courses and Seminars Taught

        Georgetown University, Derivatives and Financial Market Concepts, 1996 - present.

        The University of Michigan, Derivatives 618, 1995, Derivative Concepts 628, 1993-1994, International Financial Markets 613,  1987-1991. International Corporate Finance 620, 1988.

        The University of Michigan Executive Education, Corporate Financial Management, 1987-present, Finance for Non-Financial Managers, 1992-1995, Deutsche Bank Group Executive Seminar: Investment Banking, November 1990; Banking and Financial Services Program, International Finance, May 1988.

        Ohio State University, Managerial Finance 721, International Finance 725, International Finance (Graduate) 825, 1982-1987.

        New York University, Corporate Finance, Spring 1982; International Trade and Finance, Winter 1981 and Summer 1980; Economics of Multinational Enterprises, Winter 1981 and Summer 1980.

Presentations

     “Enron's Shell Game - A Valuation-Based Perspective,” Georgetown University, June 2002, Federal Reserve Bank of New York, May 2002, Queen's University, August 2002.

     “Dilution and Multiple-Issue Tranches Inherent in Employee Stock Option Valuation”, Georgetown University, July 2002, Queen's University, August 2002..

     “For Normal Returns, Mean-Variance Admissible Choices are Optimal,” Georgetown University, August 2001.

     “FAS 133 Option Fair Value Hedges: Financial-Engineering and Financial-Accounting Perspectives,” Mirant Corp., November 2001, Georgetown University, March 2001, October 2000.

     “International Investment Restrictions and Factor Pricing, ” Georgetown University, June 1999.

     “Analytics and Concepts for Measuring Value at Risk, ” Arthur Anderson, Chicago, September 28, 1997.

     “A Linearization-Based Solution to the Ill-Posed Local Volatility Estimation Problem,” Temple University, October 1998, Chicago Risk Management Conference, May 7, 1998, IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering (CIFEr) March 1998 - New York, Georgetown University summer research seminar, 1997.

     “Non-Parametric Estimation of an Implied Volatility Surface,” University of Chicago Applied Mathematics, January 1997, Georgetown University Mathematics, October 1996, University of Maryland, October 1996, IAFE-Stanford Computational Finance Conference, August, 1996 Goldman-Sachs Research, August 1996, Finance, Georgetown University Finance, July 1996.

     “Implied Covariance in PHLX Deutschemark and Yen Option Values,”, CIFEr-New York, April 1999, Hong Kong Science and Technology, May 1995, Georgetown University, February 1995, Stanford University, December 1994, University of California, Berkeley, December 1994, Mitsui Life Symposium on Global Financial Markets, University of Michigan, October 1994,

     “An Eclectic Perspective on the Chinese 'Market',” J.D. Power and Associates, September 1994.

     “Integrating Currency and Interest Rate Risk Management,” Citibank, N.A., December 1993.

     “Closed-End Country Funds and U.S. Market Sentiment,” American Finance Assoc., January 1994, University Rochester, October 1993, Western Finance Assoc., June 1993.

     “Discrete-Time Valuation of American Options with Stochastic Interest Rates,” Dept. of Mathematics Ad-hoc Research Seminar, Summer 1995. Wisconsin, December 1993, Georgia Tech, December 1993, Duke University Conference on Financial Innovation: 20 Years of Black/Scholes and Merton, November 1993, N.Y.U. Stern School, February 1992, University of Michigan, October 1991, Western Finance Assoc., June 1991.

     “International Factors and U.S. Equity Excess Returns,” Western Finance Assoc., June 1990, University of Michigan Seminar, December 1989.  Econometric Society, N.A. Meetings, June 1989, American Finance Association, December 1988, SMU Finance Workshop, April 1988.

     “Testing the CAPM with Time-Varying Risks and Returns,” Federal Reserve Bank of Cleveland, December 1989.  Econometric Society, N.A. Meetings, June 1989, Western Finance Association, Napa, CA, June 1988, University of Michigan Seminar, December 1987, Cornell University, November 1987, Ohio State University, October 1987.

     “Economic Forces and the Stock Market: International Perspective,” Western Finance Association, San Diego, June 1987.

     “Innovations in the International Money and Bond Markets,” University of California Riverside Symposium on Recent Innovations in Money and Banking, April 1987.

     “The Relationship Between World Market, Exchange Rate and Inflation Risks, and U.S. Equity Excess Returns,” University of Wisconsin, April 1987, and Ohio State University, December 1986.

     “Relative Pricing of Foreign Currency Options and Foreign Currency Futures Options,” Chicago Merchantile Exchange, August 1986, Western Finance Association, Colorado Springs, June 1986, New York University, October 1985.

     “Tests of the American Option Pricing Model on the Foreign Currency Options Market,” Western Finance Association Meetings, Scottsdale, Arizona, June 1985.

     “On Determination of Stochastic Dominance Optimal Sets,” ORSA/TIMS Meeting, Dallas, Texas, November 1984, Ohio State University, April 1983.

     “Exchange Listed and Over the Counter Options for Corporate Foreign Exchange Risk Hedges:  the Availability of Substitutes,” Philadelphia Stock Exchange Currency Options Symposium, September 1984.

     “Managing Bank Currency Option Exposure,” Fidelity Bank, London, England, September 1984.

     “Empirical Tests of the Philadelphia Stock Exchange Foreign Currency Options Market,” European Finance Association Meeting, Manchester, England, August 1984; AMEX Options Conference, New York, June 1984.

     “Currency Options: Theoretical Valuation Concepts,” World Trade Institute, New York, June 1984.

     “Asset Pricing in International Markets: Theory and Evidence,” Western Finance Association Meetings, Vancouver, B.C., June 1984; Ohio State University, January 1983; New York University, December 1982.

     “Aggregation in Markets with Taxes and Investment Restrictions,” Western Finance Association Meetings, Long Beach, California, June 1983; Ohio State University, October 1982.

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