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can't remember author's name (similar to chuck and bret easton) - see inside

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I remember reading this book about 15-20 years ago by an author whose name I'm trying to find now... his style is kinda similar to Chuck's and Bret Easton Ellis'
It's about this "normal" guy (wife+kids) who starts to adopt a transvestite lifestyle... things start spiraling and in the end he jumps from a tall building (empire state bldg. perhaps?). It takes place in Chicago or NYC.

Another book, I think from the same author but not sure, is about a serial killer in chicago.

Please help me identify the author(s)!