JAMES N. BODURTHA, JR. -- Research

All working paper files below are in Adobe Acrobat (*.pdf) format. To access, click on any of the highlighted items. If you don't have a *.pdf file reader, then you may click for Acrbobat download. Should you have trouble opening the "*.pdf" files, your browser may require an adjustment that is described in this Word document.

Derivatives and Financial Risk Managment

Note on the RFS web page, two pages are missing in "Discrete-time Valuation of American Options with Stochastic Interest Rates," (with K. Amin), Review of Financial Studies, 8, 1, 1995: pp. 196-197. Direct link to full copy from JSTOR (c) is 193-233.

General

"Unfair Values" - Enron's Shell Game, January 2002, last revised March 2003.

Integrating Interest Rate and Currency Risk Management
November 1993, under revision.

Risk Management Summary
1992, last revised - 1996.

Innovation in International Money and Bond Markets: A Source of Lower Borrowing Costs? (With Frederique Valnet), 1988.

Volatility Estimation

A Linearization-Based Solution to the Ill-Posed Local Volatility Estimation Problem, June 1997, last revised December 2000,
Abstract, Presentation (ppt).

Non-Parametric Estimation of an Implied Volatility Surface
with Martin Jermakyan, Journal of Computational Finance, Summer 1999.

Historical and Implied Measures of "Value at Risk": The DM and Yen Case with Qi Shen,
July 1994, last revised - October 1999.

Finance/Accounting Fair Values and Hedge Effectiveness

Divergent FAS-133 and IAS 39 Interest Rate Risk Hedge Effectiveness: Problem and Remedies, forthcoming, Journal of Derivatives Accounting, 2005, 2(1), 1-13.

SFAS 133 and IAS-39 Hedge Effectiveness and Objective Probability Derivative Valuation, January 2001, last revision March 2005.

FAS 133 Option Fair Value Hedges: Financial-Engineering and Financial-Accounting Perspectives with Dan Thornton, January 2001, last revised September 2001, Abstract. (presentation November 29, 2001)

Dilution and Multiple-Issue Tranches Inherent in Employee Stock Option Valuation,
June 2001, last revised August 2002.

International Investment and Asset Pricing

Normally Distributed Admissible Choices are Optimal with Qi Shen,
Forthcoming in Stephen J. Brams, William V. Gehrlein, and Fred S. Roberts, ed.: Essays in Honor of Peter Fishburn: Studies in Social Choice and Welfare Series, Springer, 2007.

An Asset Allocation Puzzle – Prior Perspective and Posterior Resolution
February 2005, last revised - December 2005, Presentation.

Efficient Portfolio Reallocation for All Risk-Averse Investors
(this paper was previously entitled On Determination of Dominated and Dominating Portfolios), December 2004, last revised - April 2007. May 10, 2007 Erasmus Finance Day

International Investment Restrictions and Factor Pricing
August 1998, last revised - March 1999, abstract.

International Factors and U.S. Equity Returns
August 1994, under revision. An early version of this paper was "The Relationship between World Market, Exchange Rate and Inflation Risks and U.S. Equity Excess Returns," 1986.

Two-Country Segmented and Partially Segmented Market Cross-section Regression (CSR) Test Specification and Inference, August 1994, July 1999.

If you have a problem accessing any files, please contact me at either of the following:

Link to Finance Faculty page.

phone (202) 687-6351.

MSB research support web page.

Return to my home page.

Go to http://bodurtha.georgetown.edu/ (personal server)

Go to my teaching page.

Return to the Faculty Index.

To send feedback or suggestions use our feedback form.