This paper develops a valuation model of the firm that provides for the expenditure of
corporate resources in support of community, social or environmental causes. We show that …

Mathematical finance and financial engineering have been rapidly expanding fields of
science over the past three decades. The main reason behind this phenomenon has been …

The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …

Purpose The purpose of this research is to propose a framework for research on Macaulay
duration and establish future research directions. Design/methodology/approach Thematic …

The development of duration analysis has proceeded at a very rapid pace over the last
quarter century years. Its usefulness as a measure of interest rate risk and in the construction …

I extend recent theoretical work on duration and derive an improved model for the risk‐
adjusted duration of corporate bonds. My ex‐ante risk‐adjusted duration is the sum of the …

This paper computes the effective duration of callable corporate bonds, using a contingent-
claims model that incorporates both default risk and call risk. The model generates empirical …

In this paper, we develop a portfolio optimization method to maximize the performance of a
fixed income portfolio. To achieve this aim, we define a two-step optimization problem where …

Call and default can potentially alter the timing and amounts of promised cashflows for
callable, corporate bonds. While prior research has indicated the theoretical importance of …

This article proposes two extensions of current practice in applying duration gaps for
macrohedging the equity position of a financial institution against interest rate risk. The first …