The Investment Advisers Act of 1940 (as amended in 1970) prohibits mutual funds in the US from offering their advisers asymmetric quot;incentive feequot; contracts in which the advises are rewarded for superior performance via-a-vis a chosen index but are not correspondingly penalized for...

We assume the short-term rate to revert towards a central tendency which in, turn, is stochastically changing over time. We impose minimal restrictions on the joint behavior of the short-term rate and the central-tendency factor, and derive implications for the term structure of interest rates....

We assume that the instantaneous riskless rate reverts towards a central tendency which, in turn, is changing stochastically over time, and we derive a model of the term structure of interest rates. Our term-structure model implies that a linear combination of any two rates can be used as a...

Existing regulations require fee structures used to compensate advisers in the mutual fund industry to be the quot;fulcrumquot; variety, decreasing for underperforming a given index in the same way in which they increase for outperforming it. In this paper, we offer a new model for analysing the...

We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short-term rates movements, as it would be the case if the central tendency was...

This paper develops a framework for modelling risky debt and valuing credit derivatives that is exible and simple to implement, and that is, to the maximum extent possible, based on observables. Ourapproach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for...

We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Das and Sundaram (2000) extension of the Heath-Jarrow-Morton (1990) term-structure model to allow for multiple ratings classes of debt....

We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Das and Sundaram (2000) extension of the Heath-Jarrow-Morton (1990) term-structure model to allow for multiple ratings classes of debt....

We develop a model for pricing derivative and hybrid securities whose value may depend on different sources of risk, namely, equity, interest-rate, and default risks. In addition to valuing such securities the framework is also useful for extracting probabilities of default (PD) functions from...

We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Das and Sundaram (2000) extension of the Heath-Jarrow-Morton (1990) term-structure model to allow for multiple ratings classes of debt....