During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

This paper provides the solution to an intertemporal investment problem. The investor has
power utility and can invest in stocks and bonds in a complete market setting where the …

ABSTRACT A sukuk is an Islamic financial asset structured to offer investors a cash flow
equivalent to that of a bond. The difference between them is in their contractual mechanism …

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 …

Classic bond pricing centralizes bond valuation across all maturities by specifying the
dynamics of the short-term interest rate. This article develops a decentralized theory that …

Purpose This paper determines a simple transformation that nearly linearizes the bond price
formula. The transformed price can be used to derive a highly accurate approximation of the …

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 …

This paper develops a decentralized theory that determines the fair value of the yield-to-
maturity of a bond or bond portfolio based purely on the near-term dynamics of the yield …

To immunize an insurance company's surplus against interest-rate fluctuations, asset-
liability managers commonly adopt the so-called classical immunization strategy to set the …