Praise for Dynamic Term Structure Modeling" This book offers the most comprehensive
coverage of term-structure models I have seen so far, encompassing equilibrium and no-…

… NAWALKHA I would like to express my gratitude to Sanjay Nawalkha. His good judgment
and his ability to bring out the best in everyone involved have undoubtedly been the driving …

A well‐known problem in finance is the absence of a closed form solution for volatility in
common option pricing models. Several approaches have been developed to provide closed …

This paper presents a continuous-time contingent claims framework for the traditional
duration vector models of Chambers et al. (Journal of Financial and Quantitative Analysis (March …

Current immunization models have limited power in interest rate risk protection. A new
approach, entitled M-Absolute, is designed to provide powerful and practical single-risk-measure …

… In this article, Beliaeva and Nawalkha show how to get around the problem by transforming
the returns process tO create two uncorrelated path~independent trees for returns and …

This article derives and tests a multiple-factor extension of the M-square model (see Fong
and Vasicek [1984] and Fong and Fabozzi [1985]), termed as the M-vector model. Tests of the …

This paper generalizes the M-square and M-vector models [Fong and Fabozzi, Appendix E:
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …

We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables fixed…

This paper presents efficient binomial and trinomial trees for the Cox, Ingersoll, and Ross (CIR)
and the constant-elasticity-of-variance (CEV) short rate models. We correct an error in the …