When using market prices to t the parameters of models for the price of bonds, the rst step is to strip the market bonds of their coupons. The standard bootstrapping technique of stripping coupons can cause mispricing if there are no bonds that mature for some periods or if there are several bonds that mature at the same time. The authors suggest a new linear programming formulation to strip ou...

The spline-based models are widely used in practice to estimate the term structure of interest rates from a set of observed coupon-bond prices. The most popular method can be traced back to McCulloch (1971). Assuming that the price of a bond is equal to the present value of its future coupon payments and redemption, cash flows are regressed on a set of basis functions to estimate discount funct...

The recent quest for primary votes in the state of Nevada led to renewed headlines about radioactive waste disposal at Yucca Mountain. The image of intense debate among the candidates over this issue—in the context of an ongoing war and the threat of terrorism, of a housing collapse, of a potentially declining economy, and of a looming crisis in funding medical care—prompted me to ruminate yet ...

We explore the relationship between possibility measures (supremum preserving normed measures) and p-boxes (pairs of cumulative distribution functions) on totally preordered spaces, extending earlier work in this direction by De Cooman and Aeyels, among others. We start by demonstrating that only those p-boxes who have 0–1-valued lower or upper cumulative distribution function can be possibilit...

Firms that manufacture products and services have an incentive to develop innovations that appeal as strongly as possible to as wide a customer base as possible in order to enhance their innovation-related profits. Research into the incentives operating on user-innovators, however, leads us to hypothesize that this category of innovators will display a very different pattern. Prior research has...

In this paper, we extend the framework of Leland (1994b) who proposed a structural model of roll-over debt structure in a Black-Scholes framework to the case of a double exponential jump diffusion process. We consider a trade-off model with firm’s parameters as firm risk, riskfree interest rate, payout rate as well as tax benefit of coupon payments, default costs, violation of the absolute prio...