Journal of Financial Research

Journal of Financial Research articles

415 total articles

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Recently added articles from Journal of Financial Research:

Letter from the editor.(Editorial)
September 22, 2005 ... Dear Friends: I believe you will find this issue to be as stimulating and interesting as any we have published. We have two conceptual articles on bond valuation. John Finnerty leads off with an extension of pure diffusion models to...

Exact formulas for pricing bonds and options when interest rate diffusions contain jumps.
September 22, 2005 ... Abstract I develop Heath-Jarrow-Morton extensions of the Vasicek and Jamshidian pure-diffusion models, extend these models to incorporate Poisson-Gaussian interest rate jumps, and obtain closed-form models for valuing default-free,...

Exponential duration: a more accurate estimation of interest rate risk.
September 22, 2005 ... Abstract We develop a new method to estimate the interest rate risk of an asset. This method is based on modified duration and is always more accurate than traditional estimation with modified duration. The estimates by this method are...

Estimating the value of delivery options in futures contracts.
September 22, 2005 ... Abstract We analyze the effect various delivery options embedded in commodity futures contracts have on the futures price. The two embedded options considered are the timing and location options. We show that early delivery is always...

Agent bank behavior in bank loan syndications.
September 22, 2005 ... Abstract Using Shared National Credit (SNC) Program data from 1995 to 2000, we extend previous empirical work on bank loan syndications. First, we examine recent trends in the volume and examiner-based credit quality of loans syndicated...