As this book goes into its eighth edition, I continue to be amazed at how the derivatives and
risk management world have evolved. When I originally drafted a plan for the first edition, I …

We examine a sample of firms that reset the exercise prices on their executive options. These
repricings follow a period of about one year of poor firm-specific performance in which the …

This article focuses on the re-examination of interest rate sensitivity in the common stocks of
financial institutions. Although no definitive theoretical or empirical link has been developed, …

IN 1980, THE SECURITIES AND Exchange Commission approved rule 12b-1 which authorizes
mutual funds to deduct a sum of money, called a distribution fee, from net assets, with …

This paper applies a contingent claims approach to examine the duration of a zero coupon
bond subject to default risk. One replicating portfolio for a default‐prone zero coupon bond …

We examine the performance of 30 professional market timers during 1986–1994. Prior
studies have analyzed implicit recommendations from mutual fund returns or explicit …

An air crash is a devastating event. The immediate and long-range human loss cannot be
fully measured, much less adequately compensated. The ramifications on the companies …

Randall S. Billingsley and Don M. Chance he benefits of diversification have been well-established
since the early work of Markowitz| 1952] and the formal proofs of Samuelson| 1967]. …

This paper provides a direct method of obtaining an accurate estimate of the implied volatility
of a call option. It adds a quadratic adjustment term to an already‐known formula for at‐the‐…

The finance literature has revealed no fewer than 11 alternative versions of the binomial
option pricing model for pricing options on lognormally distributed assets. These models are …