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Interest rate futures: A comprehensive introduction
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Interest rate futures: A comprehensive introduction (1982)Interest rate futures: A comprehensive in…Duration gaps with futures and swaps for managing interest rate risk at depository institutions (1992)Duration gaps with futures an…Are there arbitrage opportunities in the treasury‐bond futures market? (1982)Are there arbitrage opportuni…Duration: Its Development and Use in Bond Portfolio Management (1983)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Duration Analysis: Managing Interest Rate Risk. (1988)Risk management with a duration gap approach (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The pricing of commodity contracts (1976)An Efficiency Analysis of the T‐Bond Futures Market (1985)Optimal exercise of the switching option in treasury bond arbitrages (1988)Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices (1990)
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  • 1982Are there arbitrage opportunities in the treasury‐bond futures market?21 cited
  • 1992Duration gaps with futures and swaps for managing interest rate risk at depository institutions13 cited

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