This paper derives an arbitrage‐free interest rate movements model (AR model). This
model takes the complete term structure as given and derives the subsequent stochastic …

This paper demonstrates that valuable insights into the determination of Federal funds rates
can be gained through modeling the micro‐decisions of market participants. Fed fund …

This paper has developed a model of bank margins or spreads in which the bank is viewed
as a risk-averse dealer. It was demonstrated that an interest spread or margin would always …

The behavior of competing dealers in securities markets is analyzed. Securities are
characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of …

Convertible bonds provide investors an option to convert the bond into the underlying equity.
For this reason, a convertible bond is exposed to both equity and interest rate risk. …

This paper establishes three empirical results. We find positive autocorrelation in actual intra‐day
stock returns, in intra‐day returns computed from quote midpoints, and in the arrival of …

This paper, utilizing dealer's “trading book” information, presents some empirical evidence
supporting the validity of a dealer pricing model. It shows that much of the transaction prices …

The purpose of this paper is to analyze the optimal individual behavior in acquiring information
and to determine the amount of information incorporated in a stock at equilibrium, in the …

This paper develops a normative model to analyze the hedging and fee-pricing decisions of
a financial institution supplying fixed rate loan commitments to its customers. In supplying …

The essential premise of this book is that theory and practice are equally important in describing
financial modeling. In it the authors try to strike a balance in their discussions between …