Articles

Several of the articles below are posted with permission from Institutional Investor Journals. Go to Institutional Investor Journals.

Interest Rate Articles

• "Assessing Interest Rate Caps," AFP Exchange, July/August 2009
• "Free Money," AFP Exchange, March 2009
• "Pricing Swaps: Once Upon a Time," Bank Asset / Liability Management, February 2009
• "Hedging Portfolios," Bank Asset / Liability Management, May 2007
• "Interest Rate Swaps: Accounting vs. Economics," Financial Analysts Journal, Vol. 63, No. 2, March/April 2007
• "Long Haul Hedge Accounting" Bank Asset/Liability Management, December 2006
• "Incorporating Prepayment Risk Considerations When Making Hedging Decisions" (With Timothy Koch) Bank Asset/Liability Management, March 2006
• "Accounting and Economics: Will the Twain Meet for Mortgage Originators?" Journal of Derivatives Accounting, Vol. 2, No. 2 (2005) v–xi, December 2005
• "Tactical Hedging: A Tricky Balancing Act," GARP Risk Review, July/August 2005
• "Disciplined Hedging: Controlling Interest Rate Risk in an Uncertain World," AFP Exchange, March/April 2005
• "Hedging with Swaps: When Shortcut Accounting Can’t Be Applied," Bank Asset and Liability Management, Vol. 19, No. 6, June 2003
• "Interest Rate Swaps: A Primer… and a Caution," AFP Exchange, March/April 2003
• "Documenting Interest Rate Hedges," Bank Asset/Liability Management, March 2002
• "Partial-Term Hedging," (with D. Goone) Risk Magazine (Energy & Power Risk Management Supplement), May 2001
• "Impact of Accounting Rules on the Market for Swaps," Derivatives Quarterly, Spring 2001
• "Yield Curve Implications of Interest Rate Hedges,"  A Chicago Mercantile Exchange Strategy Paper.  Originally published as "Hedge Interest Rates Now. . . Before It's Too Late," Journal of Derivatives, Spring 1998. 
• "Base-Line Solutions for Managing Interest Rate Risk," TMA Journal, November/December 1997.
• "The Ted Spread," Derivatives Quarterly, Spring, 1997.
• "Comparing Eurodollar Strips to Interest Rate Swaps," based on an original article of the same title published in the Journal of Derivatives, Fall, 1994.

Currency Articles

• "Hedging Currency Exposures by Multinationals: Things to Consider," Journal of Applied Finance Spring/Summer 2008
• “Alternative Hedge Accounting Treatments for Foreign Exchange Forwards,” (with Walter Teets) Journal of Derivatives Accounting, Vol. 1, No. 2 September 2004
• “Using Swaps to Borrow Overseas at Bargain Rates,” APF Exchange, September/October 2003
• “Basic Strategies for Managing U.S. Dollar/Brazilian Real Exchange Rate Risk for Dollar-Denominated Investors,” Chicago Mercantile Exchange Strategy Paper, Revised May 2003
• "The New World Under FAS 133 – (Strategies Involving Cross-Currency Interest Rate Swap Contracts)," GARP Review, December 2001/January 2002
• "Complying with FAS 133: Hedging Currency Transactions," (with Elie Zabal), AFP Exchange, September/October 2001.

Equity Articles

• "Determining the Relevant Fair Value(s) of S&P 500 Futures: A Case Study Approach," The Journal of Futures Markets, Volume 11 No. 4, August 1991. (Reprinted as a Chicago Mercantile Exchange Strategy Paper.)

Articles Relating to General Derivatives Markets

• "Say When," AFP Exchange, January/February 2010.
• "Paved with Good Intentions," The CPA Journal, August 2009.
• "What Hedgers (and Auditors) Should Know About Regression," AFP Exchange, September 2008.
• "Watching out for FAS 157: Fair Value Measurement," Bank Asset/Liability Management, March 2008.
• "Hedge Effectiveness: The Wild Card in Accounting for Derivatives," AFP Exchange, January/February 2008.
• "Assessing the Strengths of a Hedge Fund Manager," HFM Week, September 13, 2006.
• "10 Tenets of Derivatives," AFP Exchange, June 2006.
• "FAS 133 Hedge Documentation: Points to Consider," Bank Asset/Liability Management, August 2005.
• "Ways to Test Hedge Effectiveness: Reconsidering Regression Analysis," APF Exchange, May/June 2004.
• "What Analysts Need to Know about Accounting for Derivatives," Financial Analysts Journal, March/April 2004.
• "Hedge Accounting: What's the Big Deal?" AFP Pulse Online, July 9, 2003
• "Calendar Spreads, Outright Futures Positions, and Risk,” The Journal of Alternative Investments, Winter 2002
• "Hedge Effectiveness Testing: Using Regression Analysis,” AFP Exchange, September/October, 2002
• "The Impact of FAS 133 on the Risk Management Practices of End Users of Derivatives – 2002 Survey Results," Association for Financial Professionals, September 2002
• “What’s ‘Normal’ in Derivatives Accounting,” Financial Executive, July / August 2002
• "Risk Management – Getting Started," AFP Exchange, November / December 2001
• "Minimizing Income Volatility When Hedging with Options," AFP Exchange, March/April 2001
• "FAS 133: System Worries," Bank Asset/Liability Management, May 2001.
• "The 80/125 Problem," Derivatives Strategy, March 2001
• "The Fallout from FAS 133," (with John Ensminger), Regulation (The CATO Review of Business and Government), Vol. 23, No. 4, 2000.
• "Meeting the 'Highly Effective Expectation' Criterion for Hedge Accounting," (with P. Koch), The Journal of Derivatives, Summer 2000.
• "Futures Versus Forwards: Implications of FAS 133," (with D. Goone), Derivatives Quarterly, Spring 2000.
• "Implementing FAS 133: From Theory to Practice," (with V. Ittoop), TMA Journal, September/October 1999.
• "Tailing Futures Hedges/Tailing Spreads," Journal of Derivatives, Winter, 1997.