IN A RECENT ARTICLE (1) in this journal, Myers, Dill and Bautista (otherwise MDB) provide
a valuable contribution to the leasing literature. The authors rigorously derive a simple …

Compound option valuation formulae give rise to the summation of a series of multinormal
distribution functions. This paper presents an identity on sums of nested multinormal …

This paper develops a new reduced form two-factor model for commodity spot prices and
futures valuation. This models extends Schwartz's (1997) two-factor model by adding two new …

The problem of bond portfolio selection may be viewed as consisting of two parts. The first is
concerned with the maturity profile of the total cash flows (the after-tax coupons and …

Much attention has been devoted to understanding and modeling the dynamics of implied
volatility curves and surfaces. This is crucial for both trading, pricing and risk management of …

This paper examines whether the favorite/long-shot bias that has been found in gambling
markets (particularly horse racing) applies to options markets. We investigate this for the S&P …

A number of financial regulators have suggested that risk neutral densities associated with
options markets could provide useful indicators of future market turbulence. Critical to this …

Many objections have been made to the practical implementation of portfolio selection
models, but three of them predominate. Firstly, it is often suggested that the principal potential …

Multiphase metering is becoming increasingly important in the development of marginal oil
and gas fields. Many of these fields are only economically viable if they can be tied back to …

This paper discusses a number of problems which arise in the implementation of portfolio
selection models. It is suggested that the effect of errors and biases in expected return …