Vol. 22, No. 3, 2024 Douglas T. Breeden Option prices contain information about implicit state prices. In their recent article, Breeden and Litzenberger (B-L, 2022) demonstrated how option pricesin bond marketsfrom interest rate cap and floor price data can be used to identify the impacts of central bank policies on the distribution of state prices… Read more
Special Issues
Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims
Vol. 22, No. 3, 2024 Sanjay K. Nawalkha and Xiaoyang Zhuo Nearly half-a-century after the advent of equivalent martingale measures (EMMs), Nawalkha and Zhuo (2022, 2023) generalize these measures to obtain equivalent expectation measures (EEMs) for analyzing risk and return of portfolios of contingent claims over a finite horizon date. The new measures allow the… Read more
About Fischer Black
Vol. 22, No. 3, 2024 Emanuel Derman This speech is based on the chapter about Fischer Black in my 2004 book My Life as a Quant. View PDF… Read more
Retirement Security Bonds
Vol. 22, No. 3, 2024 Robert C. Merton 50th Anniversary Speech by Nobel Laureate Robert C. Merton December 1, 2023 CISDM, UMass Amherst View PDF… Read more
Introduction
Vol. 22, No. 3, 2024 Douglas Breeden, John Hull and Sanjay Nawalkha View PDF… Read more
Letter from the Editor
Vol. 22, No. 3, 2024 View PDF… Read more
In Memoriam—Louis A. Simpson
Vol. 20, No. 2, 2022 by Robert Korajczyk Louis A. Simpson December 23, 1936–January 8, 2022 View PDF… Read more
A Simple Model for the Expected Premium for Hedge Fund Lockups
Emanuel Derman Volume 5, Number 3, Third Quarter 2007 What excess return should a fund of funds expect to earn for investing in a hedge fund with an extended lockup? In this paper, we present a simple model for estimating the premium for long-term lockups. Because there is a demonstrated statistical persistence to the quality… Read more
SURVEY OF THE RECENT LITERATURE: Venture Capital Syndication
Sanjiv R. Das, Hoje Jo and Yongtae Kim Volume 2, Number 4, Fourth Quarter 2004 View PDF… Read more
BOOK REVIEWS: Financial Risk Management – Models, History, and Institutions
Volume 10, Number 2, Second Quarter 2012 Financial Risk Management – Models, History, and Institutions By Allan M. Malz Reviewed by Bruce Grantier View PDF… Read more