2005 Archives

Volume 3, Number 1, First Quarter

Practitioner’s Digest

Design of Financial Systems: Towards a Syntheses of Function and Structure
Robert C. Merton and Zvi Bodie

A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment
Sanjiv R. Das and Alistair Sinclair

Asset/Liability Management and Enterprise Risk Management of an Insurer
Thomas S. Y. Ho

Implications of Correlated Default for Portfolio Allocation to Corporate Bonds
Mark B.Wise and Vineer Bhansali

Investors Like Firms that Expense Employee Stock Options and they Dislike Firms that Fail to Expense
Fayez A. Elayan, Kuntara Pukthuanthong and Richard Roll

The Year-End Price of Risk in a Market for Liquidity
Mark D. Griffiths and Drew B.Winters

CASE STUDIES: Betting on Management
Jack L. Treynor

SURVEY OF THE LITERATURE: Recovery Risk
Sanjiv R. Das

BOOK REVIEWS: Credit Risk Modeling (by David Lando) & My Life as a Quant Reflections on Physics and Finance (by Emanuel Derman)

Volume 3, Number 2, Second Quarter

Practitioner’s Digest

INSIGHTS: The Lorenz Curve
Jack L. Treynor

Developing Better Fee Structures for Mutual Funds
Ronald T.Wilcox

How New Entry in Options Markets Affected Market Making and Trading Costs
Patrick de Fontnouvelle, Raymond P. H. Fishe and Jeffrey H. Harris

The Kiss Of Death: A 5-Star Morningstar Mutual Fund Rating?
Matthew R. Morey

Global Diversification
Meir Statman and Jonathan Scheid

Motivation and Performance Following Open-Ending of Closed-End Funds
Aigbe Akhigbe, Jeff Madura and Alan Tucker

CASE STUDIES: Financial Literacy
Jack L. Treynor

SURVEY OF THE LITERATURE: Genetic Algorithms
Sanjiv R. Das

BOOK REVIEWS: Neoclassical Finance By Stephen A. Ross (Reviewed by Jennifer Chu) & Experimental Economics By Ross M. Miller (Reviewed by Ritirupa Samanta)

Volume 3, Number 3, Third Quarter

Practitioner’s Digest

Investment Banker Directors and Affiliated Analysts’ Forecasts
Murali Jagannathan and Srinivasan Krishnamurthy

Call Protection in Convertible Bonds: How Much and Why?
Timo P. Korkeamaki and William T. Moore

Regulation Fair Disclosure and Volatility: An Intraday Analysis
Robert B. Mendelson, Rajneesh Sharma and Daniel G.Weaver

NASDAQ-100 Index Futures: Intraday Momentum or Reversal?
Susana Yu, Joel Rentzler and AvnerWolf

CASE STUDIES: Cereal Mergers
Jack L. Treynor

SURVEY OF THE LITERATURE: Power Laws
Sanjiv R. Das and Jacob Sisk

BOOK REVIEWS: Fischer Black and the Revolutionary Idea of Finance (by Perry Mehrling) & The Sociology of Financial Markets (by Karin Knorr Cetina and Alex Preda)

Volume 3, Number 4, Fourth Quarter

Practitioner’s Digest

Revisiting the Slope of the Credit Curve
David Lando and Allan Mortensen

Default Correlation in Reduced-Form Models
Fan Yu

Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models
Navneet Arora, Jeffrey R. Bohn and Fanlin Zhu

Decomposing and Managing Multivariate Risks: The Case of Variable Annuities
Thomas S. Y. Ho and Blessing Mudavanhu

Great Moments in Financial Economics: IV. The Fundamental Theorem (Part I)
Mark Rubinstein

CASE STUDIES: Quiz for Fed Candidates
Jack L. Treynor

BOOK REVIEWS: Freakonomics (by Steven D. Levitt and Stephen J. Dubner) & The Future for Investors: Why the Tried and True Triumph Over the Bold and the New (by Jeremy J. Siegel)