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Category Archives: Publications and Papers
Fitting Forward Rates To Market Data
This paper has two purposes. First, to outline a general framework or methodology for fitting the forward curve to market data. Second, to report on and compare results from fitting forward curves using three particular functional forms: piece-wise constant forward … Continue reading
Effective degrees of freedom during the radiation era
This is a physics paper that grew out of my collaboration with Matts Roos in his publication of the 3rd edition of his text Introduction to Cosmology. This paper updates the curves of the effective degrees of freedom for the … Continue reading
Compensating Fund Managers for Risk-Adjusted Performance
This paper (Journal of Alternative Investments, volume 2, number 3, winter 1999, by Thomas S. Coleman and Laurence B. Siegel) explores a risk-adjusted performance fee structure for hedge funds that addresses incentive compatibility and helps reduce asymmetry, while at the … Continue reading
Convexity Adjustment for Constant Maturity Swaps
Both CMS (Constant Maturity Swap) and LIBOR-in-arrears swaps have payments that are linear with respect to an index while the offsetting hedges are convex. The linearity of the payment (relative to the convex hedges) imposes a cost that requires a … Continue reading
A Dynamic Model of Labor Supply Under Uncertainty 1985
This paper lays out the model as in the 1981 paper but also discusses estimation and identification in some detail. Simplifies to a stationary environment with a single wage and then fits gross flow data. Includes empirical results showing interesting … Continue reading
A Dynamic Model of Labor Supply Under Uncertainty 1981
This paper lays out the theory of a three-state model of labor supply (job, unemployed, and out of the labor force) in full detail – stationary and non-stationary, discrete and continuous time. Proves existence and uniqueness of the value function. … Continue reading