Fixed Income Securities
Work in the area of Fixed Income Securities includes work undertaken by the following faculty members:-
- Dr. Duane Stock
- Dr. Yi Zhou
- Dr. Louis Ederington (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=942
Selected Working papers:
- The Distribution of the Value of the Firm and Stochastic Interest Rates, Duane Stock, S. Lakshmivarahan and Shengguang Qian
- Explaining the Hump in Credit Spreads: First Passage Default, Covenants, and Term Structures of Default Risky Rates and Credit Spreads, Duane Stock, S. Lakshmivarahan and Shengguang Qian
- “The Effects of Leverage on the Pricing of S&P 500 Index Call Options Yi Zhou and Robert Geske