In a typical soft dollar arrangement, a security broker provides an institutional portfolio manager with credits to buy research from independent vendors in consideration for the manager's promise to send the broker premium commission business when trading his portfolio securities. Because...

This study examines implied volatility from options on crude oil futures surrounding OPEC meetings. Studies suggest that the implied volatility embedded in option prices should drift upward prior to scheduled information releases and drop afterward. As predicted, volatility drifts upward as the...

Dissatisfaction occasionally has been expressed with traditional measures of duration for immunization on conceptual grounds. However, more elegant duration measures have not been found to be superior to the traditional ones in empirical tests of immunization efficacy. Under the assumption that...